/* TA-LIB Copyright (c) 1999-2007, Mario Fortier * All rights reserved. * * Redistribution and use in source and binary forms, with or * without modification, are permitted provided that the following * conditions are met: * * - Redistributions of source code must retain the above copyright * notice, this list of conditions and the following disclaimer. * * - Redistributions in binary form must reproduce the above copyright * notice, this list of conditions and the following disclaimer in * the documentation and/or other materials provided with the * distribution. * * - Neither name of author nor the names of its contributors * may be used to endorse or promote products derived from this * software without specific prior written permission. * * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS * ``AS IS'' AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT * LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS * FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE * REGENTS OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, * INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES * (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS * OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS * INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, * WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE * OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, * EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. */ /* List of contributors: * * Initial Name/description * ------------------------------------------------------------------- * MW Michael Williamson * * * Change history: * * MMDDYY BY Description * ------------------------------------------------------------------- * 122006 MW Initial Version */ /**** START GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/ /* All code within this section is automatically * generated by gen_code. Any modification will be lost * next time gen_code is run. */ /* Generated */ /* Generated */ #if defined( _MANAGED ) /* Generated */ #include "TA-Lib-Core.h" /* Generated */ #define TA_INTERNAL_ERROR(Id) (RetCode::InternalError) /* Generated */ namespace TicTacTec { namespace TA { namespace Library { /* Generated */ #elif defined( _JAVA ) /* Generated */ #include "ta_defs.h" /* Generated */ #include "ta_java_defs.h" /* Generated */ #define TA_INTERNAL_ERROR(Id) (RetCode.InternalError) /* Generated */ #else /* Generated */ #include /* Generated */ #include /* Generated */ #include "ta_func.h" /* Generated */ #endif /* Generated */ /* Generated */ #ifndef TA_UTILITY_H /* Generated */ #include "ta_utility.h" /* Generated */ #endif /* Generated */ /* Generated */ #ifndef TA_MEMORY_H /* Generated */ #include "ta_memory.h" /* Generated */ #endif /* Generated */ /* Generated */ #define TA_PREFIX(x) TA_##x /* Generated */ #define INPUT_TYPE double /* Generated */ /* Generated */ #if defined( _MANAGED ) /* Generated */ int Core::BetaLookback( int optInTimePeriod ) /* From 1 to 100000 */ /* Generated */ /* Generated */ #elif defined( _JAVA ) /* Generated */ public int betaLookback( int optInTimePeriod ) /* From 1 to 100000 */ /* Generated */ /* Generated */ #else /* Generated */ int TA_BETA_Lookback( int optInTimePeriod ) /* From 1 to 100000 */ /* Generated */ /* Generated */ #endif /**** END GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/ { /* insert local variable here */ /**** START GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/ /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK /* Generated */ /* min/max are checked for optInTimePeriod. */ /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 5; /* Generated */ else if( ((int)optInTimePeriod < 1) || ((int)optInTimePeriod > 100000) ) /* Generated */ return -1; /* Generated */ /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */ /**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/ return optInTimePeriod; } /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ /* * TA_BETA - Beta * * Input = double, double * Output = double * * Optional Parameters * ------------------- * optInTimePeriod:(From 1 to 100000) * Number of period * * */ /* Generated */ /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY ) /* Generated */ enum class Core::RetCode Core::Beta( int startIdx, /* Generated */ int endIdx, /* Generated */ SubArray^ inReal0, /* Generated */ SubArray^ inReal1, /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::Beta( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal0, /* Generated */ cli::array^ inReal1, /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode beta( int startIdx, /* Generated */ int endIdx, /* Generated */ double inReal0[], /* Generated */ double inReal1[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_BETA( int startIdx, /* Generated */ int endIdx, /* Generated */ const double inReal0[], /* Generated */ const double inReal1[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ { double S_xx = 0.0f; /* sum of x * x */ double S_xy = 0.0f; /* sum of x * y */ double S_x = 0.0f; /* sum of x */ double S_y = 0.0f; /* sum of y */ double last_price_x = 0.0f; /* the last price read from inReal0 */ double last_price_y = 0.0f; /* the last price read from inReal1 */ double trailing_last_price_x = 0.0f; /* same as last_price_x except used to remove elements from the trailing summation */ double trailing_last_price_y = 0.0f; /* same as last_price_y except used to remove elements from the trailing summation */ double tmp_real = 0.0f; /* temporary variable */ double x; /* the 'x' value, which is the last change between values in inReal0 */ double y; /* the 'y' value, which is the last change between values in inReal1 */ double n = 0.0f; int i, outIdx; int trailingIdx, nbInitialElementNeeded; /**** START GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/ /* Generated */ /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK /* Generated */ /* Generated */ /* Validate the requested output range. */ /* Generated */ if( startIdx < 0 ) /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex); /* Generated */ if( (endIdx < 0) || (endIdx < startIdx)) /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex); /* Generated */ /* Generated */ #if !defined(_JAVA) /* Generated */ if( !inReal0 ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ if( !inReal1 ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* !defined(_JAVA)*/ /* Generated */ /* min/max are checked for optInTimePeriod. */ /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 5; /* Generated */ else if( ((int)optInTimePeriod < 1) || ((int)optInTimePeriod > 100000) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ #if !defined(_JAVA) /* Generated */ if( !outReal ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ #endif /* !defined(_JAVA) */ /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */ /* Generated */ /**** END GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/ /* Insert TA function code here. */ /** DESCRIPTION OF ALGORITHM: * The Beta 'algorithm' is a measure of a stocks volatility vs from index. The stock prices * are given in inReal0 and the index prices are give in inReal1. The size of these vectors * should be equal. The algorithm is to calculate the change between prices in both vectors * and then 'plot' these changes are points in the Euclidean plane. The x value of the point * is market return and the y value is the security return. The beta value is the slope of a * linear regression through these points. A beta of 1 is simple the line y=x, so the stock * varies percisely with the market. A beta of less than one means the stock varies less than * the market and a beta of more than one means the stock varies more than market. A related * value is the Alpha value (see TA_ALPHA) which is the Y-intercept of the same linear regression. */ /* Validate the calculation method type and * identify the minimum number of input * consume before the first value is output.. */ nbInitialElementNeeded = optInTimePeriod; /* Move up the start index if there is not * enough initial data. */ if( startIdx < nbInitialElementNeeded ) startIdx = nbInitialElementNeeded; /* Make sure there is still something to evaluate. */ if( startIdx > endIdx ) { VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); return ENUM_VALUE(RetCode,TA_SUCCESS,Success); } /* Consume first input. */ trailingIdx = startIdx-nbInitialElementNeeded; last_price_x = trailing_last_price_x = inReal0[trailingIdx]; last_price_y = trailing_last_price_y = inReal1[trailingIdx]; /* Process remaining of lookback until ready to output the first value. */ i = ++trailingIdx; while( i < startIdx ) { tmp_real = inReal0[i]; if( !TA_IS_ZERO(last_price_x) ) x = (tmp_real-last_price_x)/last_price_x; else x = 0.0; last_price_x = tmp_real; tmp_real = inReal1[i++]; if( !TA_IS_ZERO(last_price_y) ) y = (tmp_real-last_price_y)/last_price_y; else y = 0.0; last_price_y = tmp_real; S_xx += x*x; S_xy += x*y; S_x += x; S_y += y; } outIdx = 0; /* First output always start at index zero */ n = (double)optInTimePeriod; do { tmp_real = inReal0[i]; if( !TA_IS_ZERO(last_price_x) ) x = (tmp_real-last_price_x)/last_price_x; else x = 0.0; last_price_x = tmp_real; tmp_real = inReal1[i++]; if( !TA_IS_ZERO(last_price_y) ) y = (tmp_real-last_price_y)/last_price_y; else y = 0.0; last_price_y = tmp_real; S_xx += x*x; S_xy += x*y; S_x += x; S_y += y; /* Always read the trailing before writing the output because the input and output * buffer can be the same. */ tmp_real = inReal0[trailingIdx]; if( !TA_IS_ZERO(trailing_last_price_x) ) x = (tmp_real-trailing_last_price_x)/trailing_last_price_x; else x = 0.0; trailing_last_price_x = tmp_real; tmp_real = inReal1[trailingIdx++]; if( !TA_IS_ZERO(trailing_last_price_y) ) y = (tmp_real-trailing_last_price_y)/trailing_last_price_y; else y = 0.0; trailing_last_price_y = tmp_real; /* Write the output */ tmp_real = (n * S_xx) - (S_x * S_x); if( !TA_IS_ZERO(tmp_real) ) outReal[outIdx++] = ((n * S_xy) - (S_x * S_y)) / tmp_real; else outReal[outIdx++] = 0.0; /* Remove the calculation starting with the trailingIdx. */ S_xx -= x*x; S_xy -= x*y; S_x -= x; S_y -= y; } while( i <= endIdx ); /* All done. Indicate the output limits and return. */ VALUE_HANDLE_DEREF(outNBElement) = outIdx; VALUE_HANDLE_DEREF(outBegIdx) = startIdx; return ENUM_VALUE(RetCode,TA_SUCCESS,Success); } /**** START GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/ /* Generated */ /* Generated */ #define USE_SINGLE_PRECISION_INPUT /* Generated */ #if !defined( _MANAGED ) && !defined( _JAVA ) /* Generated */ #undef TA_PREFIX /* Generated */ #define TA_PREFIX(x) TA_S_##x /* Generated */ #endif /* Generated */ #undef INPUT_TYPE /* Generated */ #define INPUT_TYPE float /* Generated */ #if defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::Beta( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal0, /* Generated */ cli::array^ inReal1, /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode beta( int startIdx, /* Generated */ int endIdx, /* Generated */ float inReal0[], /* Generated */ float inReal1[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_S_BETA( int startIdx, /* Generated */ int endIdx, /* Generated */ const float inReal0[], /* Generated */ const float inReal1[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /* Generated */ { /* Generated */ double S_xx = 0.0f; /* Generated */ double S_xy = 0.0f; /* Generated */ double S_x = 0.0f; /* Generated */ double S_y = 0.0f; /* Generated */ double last_price_x = 0.0f; /* Generated */ double last_price_y = 0.0f; /* Generated */ double trailing_last_price_x = 0.0f; /* Generated */ double trailing_last_price_y = 0.0f; /* Generated */ double tmp_real = 0.0f; /* Generated */ double x; /* Generated */ double y; /* Generated */ double n = 0.0f; /* Generated */ int i, outIdx; /* Generated */ int trailingIdx, nbInitialElementNeeded; /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK /* Generated */ if( startIdx < 0 ) /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex); /* Generated */ if( (endIdx < 0) || (endIdx < startIdx)) /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex); /* Generated */ #if !defined(_JAVA) /* Generated */ if( !inReal0 ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ if( !inReal1 ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 5; /* Generated */ else if( ((int)optInTimePeriod < 1) || ((int)optInTimePeriod > 100000) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #if !defined(_JAVA) /* Generated */ if( !outReal ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* Generated */ #endif /* Generated */ nbInitialElementNeeded = optInTimePeriod; /* Generated */ if( startIdx < nbInitialElementNeeded ) /* Generated */ startIdx = nbInitialElementNeeded; /* Generated */ if( startIdx > endIdx ) /* Generated */ { /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ } /* Generated */ trailingIdx = startIdx-nbInitialElementNeeded; /* Generated */ last_price_x = trailing_last_price_x = inReal0[trailingIdx]; /* Generated */ last_price_y = trailing_last_price_y = inReal1[trailingIdx]; /* Generated */ i = ++trailingIdx; /* Generated */ while( i < startIdx ) /* Generated */ { /* Generated */ tmp_real = inReal0[i]; /* Generated */ if( !TA_IS_ZERO(last_price_x) ) /* Generated */ x = (tmp_real-last_price_x)/last_price_x; /* Generated */ else /* Generated */ x = 0.0; /* Generated */ last_price_x = tmp_real; /* Generated */ tmp_real = inReal1[i++]; /* Generated */ if( !TA_IS_ZERO(last_price_y) ) /* Generated */ y = (tmp_real-last_price_y)/last_price_y; /* Generated */ else /* Generated */ y = 0.0; /* Generated */ last_price_y = tmp_real; /* Generated */ S_xx += x*x; /* Generated */ S_xy += x*y; /* Generated */ S_x += x; /* Generated */ S_y += y; /* Generated */ } /* Generated */ outIdx = 0; /* Generated */ n = (double)optInTimePeriod; /* Generated */ do /* Generated */ { /* Generated */ tmp_real = inReal0[i]; /* Generated */ if( !TA_IS_ZERO(last_price_x) ) /* Generated */ x = (tmp_real-last_price_x)/last_price_x; /* Generated */ else /* Generated */ x = 0.0; /* Generated */ last_price_x = tmp_real; /* Generated */ tmp_real = inReal1[i++]; /* Generated */ if( !TA_IS_ZERO(last_price_y) ) /* Generated */ y = (tmp_real-last_price_y)/last_price_y; /* Generated */ else /* Generated */ y = 0.0; /* Generated */ last_price_y = tmp_real; /* Generated */ S_xx += x*x; /* Generated */ S_xy += x*y; /* Generated */ S_x += x; /* Generated */ S_y += y; /* Generated */ tmp_real = inReal0[trailingIdx]; /* Generated */ if( !TA_IS_ZERO(trailing_last_price_x) ) /* Generated */ x = (tmp_real-trailing_last_price_x)/trailing_last_price_x; /* Generated */ else /* Generated */ x = 0.0; /* Generated */ trailing_last_price_x = tmp_real; /* Generated */ tmp_real = inReal1[trailingIdx++]; /* Generated */ if( !TA_IS_ZERO(trailing_last_price_y) ) /* Generated */ y = (tmp_real-trailing_last_price_y)/trailing_last_price_y; /* Generated */ else /* Generated */ y = 0.0; /* Generated */ trailing_last_price_y = tmp_real; /* Generated */ tmp_real = (n * S_xx) - (S_x * S_x); /* Generated */ if( !TA_IS_ZERO(tmp_real) ) /* Generated */ outReal[outIdx++] = ((n * S_xy) - (S_x * S_y)) / tmp_real; /* Generated */ else /* Generated */ outReal[outIdx++] = 0.0; /* Generated */ S_xx -= x*x; /* Generated */ S_xy -= x*y; /* Generated */ S_x -= x; /* Generated */ S_y -= y; /* Generated */ } while( i <= endIdx ); /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = outIdx; /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ } /* Generated */ /* Generated */ #if defined( _MANAGED ) /* Generated */ }}} // Close namespace TicTacTec.TA.Lib /* Generated */ #endif /**** END GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/