/* 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 * ------------------------------------------------------------------- * MF Mario Fortier * * * Change history: * * MMDDYY BY Description * ------------------------------------------------------------------- * 010102 MF Template creation. * 052603 MF Adapt code to compile with .NET Managed C++ * */ /**** 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::DemaLookback( int optInTimePeriod ) /* From 2 to 100000 */ /* Generated */ /* Generated */ #elif defined( _JAVA ) /* Generated */ public int demaLookback( int optInTimePeriod ) /* From 2 to 100000 */ /* Generated */ /* Generated */ #else /* Generated */ int TA_DEMA_Lookback( int optInTimePeriod ) /* From 2 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 = 30; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) ) /* Generated */ return -1; /* Generated */ /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */ /**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/ /* insert lookback code here. */ /* Get lookback for one EMA. * Multiply by two (because double smoothing). */ return LOOKBACK_CALL(EMA)( optInTimePeriod ) * 2; } /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ /* * TA_DEMA - Double Exponential Moving Average * * Input = double * Output = double * * Optional Parameters * ------------------- * optInTimePeriod:(From 2 to 100000) * Number of period * * */ /* Generated */ /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY ) /* Generated */ enum class Core::RetCode Core::Dema( int startIdx, /* Generated */ int endIdx, /* Generated */ SubArray^ inReal, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::Dema( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode dema( int startIdx, /* Generated */ int endIdx, /* Generated */ double inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_DEMA( int startIdx, /* Generated */ int endIdx, /* Generated */ const double inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ { /* Insert local variables here. */ ARRAY_REF(firstEMA); ARRAY_REF(secondEMA); double k; VALUE_HANDLE_INT(firstEMABegIdx); VALUE_HANDLE_INT(firstEMANbElement); VALUE_HANDLE_INT(secondEMABegIdx); VALUE_HANDLE_INT(secondEMANbElement); int tempInt, outIdx, firstEMAIdx, lookbackTotal, lookbackEMA; ENUM_DECLARATION(RetCode) retCode; /**** 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( !inReal ) 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 = 30; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((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. */ /* For an explanation of this function, please read * * Stocks & Commodities V. 12:1 (11-19): * Smoothing Data With Faster Moving Averages * Stocks & Commodities V. 12:2 (72-80): * Smoothing Data With Less Lag * * Both magazine articles written by Patrick G. Mulloy * * Essentially, a DEMA of time serie 't' is: * EMA2 = EMA(EMA(t,period),period) * DEMA = 2*EMA(t,period)- EMA2 * * DEMA offers a moving average with less lags then the * traditional EMA. * * Do not confuse a DEMA with the EMA2. Both are called * "Double EMA" in the litterature, but EMA2 is a simple * EMA of an EMA, while DEMA is a compostie of a single * EMA with EMA2. * * TEMA is very similar (and from the same author). */ /* Will change only on success. */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); /* Adjust startIdx to account for the lookback period. */ lookbackEMA = LOOKBACK_CALL(EMA)( optInTimePeriod ); lookbackTotal = lookbackEMA * 2; if( startIdx < lookbackTotal ) startIdx = lookbackTotal; /* Make sure there is still something to evaluate. */ if( startIdx > endIdx ) return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Allocate a temporary buffer for the firstEMA. * * When possible, re-use the outputBuffer for temp * calculation. */ #if defined(USE_SINGLE_PRECISION_INPUT) || defined( USE_SUBARRAY ) tempInt = lookbackTotal+(endIdx-startIdx)+1; ARRAY_ALLOC(firstEMA, tempInt ); #if !defined( _JAVA ) if( !firstEMA ) return ENUM_VALUE(RetCode,TA_ALLOC_ERR,AllocErr); #endif #else if( inReal == outReal ) firstEMA = outReal; else { tempInt = lookbackTotal+(endIdx-startIdx)+1; ARRAY_ALLOC(firstEMA, tempInt ); #if !defined( _JAVA ) if( !firstEMA ) return ENUM_VALUE(RetCode,TA_ALLOC_ERR,AllocErr); #endif } #endif /* Calculate the first EMA */ k = PER_TO_K(optInTimePeriod); retCode = FUNCTION_CALL(INT_EMA)( startIdx-lookbackEMA, endIdx, inReal, optInTimePeriod, k, VALUE_HANDLE_OUT(firstEMABegIdx), VALUE_HANDLE_OUT(firstEMANbElement), firstEMA ); /* Verify for failure or if not enough data after * calculating the first EMA. */ if( (retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success)) || (VALUE_HANDLE_GET(firstEMANbElement) == 0) ) { ARRAY_FREE_COND( firstEMA != outReal, firstEMA ); return retCode; } /* Allocate a temporary buffer for storing the EMA of the EMA. */ ARRAY_ALLOC(secondEMA, VALUE_HANDLE_GET(firstEMANbElement)); #if !defined( _JAVA ) if( !secondEMA ) { ARRAY_FREE_COND( firstEMA != outReal, firstEMA ); return ENUM_VALUE(RetCode,TA_ALLOC_ERR,AllocErr); } #endif retCode = FUNCTION_CALL_DOUBLE(INT_EMA)( 0, VALUE_HANDLE_GET(firstEMANbElement)-1, firstEMA, optInTimePeriod, k, VALUE_HANDLE_OUT(secondEMABegIdx), VALUE_HANDLE_OUT(secondEMANbElement), secondEMA ); /* Return empty output on failure or if not enough data after * calculating the second EMA. */ if( (retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success)) || (VALUE_HANDLE_GET(secondEMANbElement) == 0) ) { #if defined(USE_SINGLE_PRECISION_INPUT) ARRAY_FREE( firstEMA ); #else ARRAY_FREE_COND( firstEMA != outReal, firstEMA ); #endif ARRAY_FREE( secondEMA ); return retCode; } /* Iterate through the second EMA and write the DEMA into * the output. */ firstEMAIdx = VALUE_HANDLE_GET(secondEMABegIdx); outIdx = 0; while( outIdx < VALUE_HANDLE_GET(secondEMANbElement) ) { outReal[outIdx] = (2.0*firstEMA[firstEMAIdx++]) - secondEMA[outIdx]; outIdx++; } #if defined(USE_SINGLE_PRECISION_INPUT) ARRAY_FREE( firstEMA ); #else ARRAY_FREE_COND( firstEMA != outReal, firstEMA ); #endif ARRAY_FREE( secondEMA ); /* Succeed. Indicate where the output starts relative to * the caller input. */ VALUE_HANDLE_DEREF(outBegIdx) = VALUE_HANDLE_GET(firstEMABegIdx) + VALUE_HANDLE_GET(secondEMABegIdx); VALUE_HANDLE_DEREF(outNBElement) = outIdx; 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::Dema( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode dema( int startIdx, /* Generated */ int endIdx, /* Generated */ float inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_S_DEMA( int startIdx, /* Generated */ int endIdx, /* Generated */ const float inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /* Generated */ { /* Generated */ ARRAY_REF(firstEMA); /* Generated */ ARRAY_REF(secondEMA); /* Generated */ double k; /* Generated */ VALUE_HANDLE_INT(firstEMABegIdx); /* Generated */ VALUE_HANDLE_INT(firstEMANbElement); /* Generated */ VALUE_HANDLE_INT(secondEMABegIdx); /* Generated */ VALUE_HANDLE_INT(secondEMANbElement); /* Generated */ int tempInt, outIdx, firstEMAIdx, lookbackTotal, lookbackEMA; /* Generated */ ENUM_DECLARATION(RetCode) retCode; /* 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( !inReal ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 30; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((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 */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); /* Generated */ lookbackEMA = LOOKBACK_CALL(EMA)( optInTimePeriod ); /* Generated */ lookbackTotal = lookbackEMA * 2; /* Generated */ if( startIdx < lookbackTotal ) /* Generated */ startIdx = lookbackTotal; /* Generated */ if( startIdx > endIdx ) /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ #if defined(USE_SINGLE_PRECISION_INPUT) || defined( USE_SUBARRAY ) /* Generated */ tempInt = lookbackTotal+(endIdx-startIdx)+1; /* Generated */ ARRAY_ALLOC(firstEMA, tempInt ); /* Generated */ #if !defined( _JAVA ) /* Generated */ if( !firstEMA ) /* Generated */ return ENUM_VALUE(RetCode,TA_ALLOC_ERR,AllocErr); /* Generated */ #endif /* Generated */ #else /* Generated */ if( inReal == outReal ) /* Generated */ firstEMA = outReal; /* Generated */ else /* Generated */ { /* Generated */ tempInt = lookbackTotal+(endIdx-startIdx)+1; /* Generated */ ARRAY_ALLOC(firstEMA, tempInt ); /* Generated */ #if !defined( _JAVA ) /* Generated */ if( !firstEMA ) /* Generated */ return ENUM_VALUE(RetCode,TA_ALLOC_ERR,AllocErr); /* Generated */ #endif /* Generated */ } /* Generated */ #endif /* Generated */ k = PER_TO_K(optInTimePeriod); /* Generated */ retCode = FUNCTION_CALL(INT_EMA)( startIdx-lookbackEMA, endIdx, inReal, /* Generated */ optInTimePeriod, k, /* Generated */ VALUE_HANDLE_OUT(firstEMABegIdx), VALUE_HANDLE_OUT(firstEMANbElement), /* Generated */ firstEMA ); /* Generated */ if( (retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success)) || (VALUE_HANDLE_GET(firstEMANbElement) == 0) ) /* Generated */ { /* Generated */ ARRAY_FREE_COND( firstEMA != outReal, firstEMA ); /* Generated */ return retCode; /* Generated */ } /* Generated */ ARRAY_ALLOC(secondEMA, VALUE_HANDLE_GET(firstEMANbElement)); /* Generated */ #if !defined( _JAVA ) /* Generated */ if( !secondEMA ) /* Generated */ { /* Generated */ ARRAY_FREE_COND( firstEMA != outReal, firstEMA ); /* Generated */ return ENUM_VALUE(RetCode,TA_ALLOC_ERR,AllocErr); /* Generated */ } /* Generated */ #endif /* Generated */ retCode = FUNCTION_CALL_DOUBLE(INT_EMA)( 0, VALUE_HANDLE_GET(firstEMANbElement)-1, firstEMA, /* Generated */ optInTimePeriod, k, /* Generated */ VALUE_HANDLE_OUT(secondEMABegIdx), VALUE_HANDLE_OUT(secondEMANbElement), /* Generated */ secondEMA ); /* Generated */ if( (retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success)) || (VALUE_HANDLE_GET(secondEMANbElement) == 0) ) /* Generated */ { /* Generated */ #if defined(USE_SINGLE_PRECISION_INPUT) /* Generated */ ARRAY_FREE( firstEMA ); /* Generated */ #else /* Generated */ ARRAY_FREE_COND( firstEMA != outReal, firstEMA ); /* Generated */ #endif /* Generated */ ARRAY_FREE( secondEMA ); /* Generated */ return retCode; /* Generated */ } /* Generated */ firstEMAIdx = VALUE_HANDLE_GET(secondEMABegIdx); /* Generated */ outIdx = 0; /* Generated */ while( outIdx < VALUE_HANDLE_GET(secondEMANbElement) ) /* Generated */ { /* Generated */ outReal[outIdx] = (2.0*firstEMA[firstEMAIdx++]) - secondEMA[outIdx]; /* Generated */ outIdx++; /* Generated */ } /* Generated */ #if defined(USE_SINGLE_PRECISION_INPUT) /* Generated */ ARRAY_FREE( firstEMA ); /* Generated */ #else /* Generated */ ARRAY_FREE_COND( firstEMA != outReal, firstEMA ); /* Generated */ #endif /* Generated */ ARRAY_FREE( secondEMA ); /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = VALUE_HANDLE_GET(firstEMABegIdx) + VALUE_HANDLE_GET(secondEMABegIdx); /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = outIdx; /* 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 ****/