/* 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 * ------------------------------------------------------------------- * 120802 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::HtPhasorLookback( void ) /* Generated */ /* Generated */ #elif defined( _JAVA ) /* Generated */ public int htPhasorLookback( ) /* Generated */ /* Generated */ #else /* Generated */ int TA_HT_PHASOR_Lookback( void ) /* 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 */ /* No parameters to validate. */ /**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/ /* insert lookback code here. */ /* See TA_MAMA_Lookback for an explanation of these */ return 32 + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_HT_PHASOR,HtPhasor); } /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ /* * TA_HT_PHASOR - Hilbert Transform - Phasor Components * * Input = double * Output = double, double * */ /* Generated */ /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY ) /* Generated */ enum class Core::RetCode Core::HtPhasor( int startIdx, /* Generated */ int endIdx, /* Generated */ SubArray^ inReal, /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outInPhase, /* Generated */ cli::array^ outQuadrature ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::HtPhasor( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outInPhase, /* Generated */ cli::array^ outQuadrature ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode htPhasor( int startIdx, /* Generated */ int endIdx, /* Generated */ double inReal[], /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outInPhase[], /* Generated */ double outQuadrature[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_HT_PHASOR( int startIdx, /* Generated */ int endIdx, /* Generated */ const double inReal[], /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outInPhase[], /* Generated */ double outQuadrature[] ) /* Generated */ #endif /**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ { /* insert local variable here */ int outIdx, i; int lookbackTotal, today; double tempReal, tempReal2; double adjustedPrevPeriod, period; /* Variable used for the price smoother (a weighted moving average). */ int trailingWMAIdx; double periodWMASum, periodWMASub, trailingWMAValue; double smoothedValue; /* Variables used for the Hilbert Transormation */ CONSTANT_DOUBLE(a) = 0.0962; CONSTANT_DOUBLE(b) = 0.5769; double hilbertTempReal; int hilbertIdx; HILBERT_VARIABLES( detrender ); HILBERT_VARIABLES( Q1 ); HILBERT_VARIABLES( jI ); HILBERT_VARIABLES( jQ ); double Q2, I2, prevQ2, prevI2, Re, Im; double I1ForOddPrev2, I1ForOddPrev3; double I1ForEvenPrev2, I1ForEvenPrev3; double rad2Deg; double todayValue; /**** 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 */ #if !defined(_JAVA) /* Generated */ if( !outInPhase ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ if( !outQuadrature ) /* 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. */ /* Constant */ rad2Deg = 180.0 / (4.0 * std_atan(1)); /* Identify the minimum number of price bar needed * to calculate at least one output. */ lookbackTotal = 32 + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_HT_PHASOR,HtPhasor); /* Move up the start index if there is not * enough initial data. */ if( startIdx < lookbackTotal ) startIdx = lookbackTotal; /* 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); } VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* Initialize the price smoother, which is simply a weighted * moving average of the price. * To understand this algorithm, I strongly suggest to understand * first how TA_WMA is done. */ trailingWMAIdx = startIdx - lookbackTotal; today = trailingWMAIdx; /* Initialization is same as WMA, except loop is unrolled * for speed optimization. */ tempReal = inReal[today++]; periodWMASub = tempReal; periodWMASum = tempReal; tempReal = inReal[today++]; periodWMASub += tempReal; periodWMASum += tempReal*2.0; tempReal = inReal[today++]; periodWMASub += tempReal; periodWMASum += tempReal*3.0; trailingWMAValue = 0.0; /* Subsequent WMA value are evaluated by using * the DO_PRICE_WMA macro. */ #define DO_PRICE_WMA(varNewPrice,varToStoreSmoothedValue) { \ periodWMASub += varNewPrice; \ periodWMASub -= trailingWMAValue; \ periodWMASum += varNewPrice*4.0; \ trailingWMAValue = inReal[trailingWMAIdx++]; \ varToStoreSmoothedValue = periodWMASum*0.1; \ periodWMASum -= periodWMASub; \ } i = 9; do { tempReal = inReal[today++]; DO_PRICE_WMA(tempReal,smoothedValue); } while( --i != 0); /* Initialize the circular buffers used by the hilbert * transform logic. * A buffer is used for odd day and another for even days. * This minimize the number of memory access and floating point * operations needed (note also that by using static circular buffer, * no large dynamic memory allocation is needed for storing * intermediate calculation!). */ hilbertIdx = 0; INIT_HILBERT_VARIABLES(detrender); INIT_HILBERT_VARIABLES(Q1); INIT_HILBERT_VARIABLES(jI); INIT_HILBERT_VARIABLES(jQ); period = 0.0; outIdx = 0; prevI2 = prevQ2 = 0.0; Re = Im = 0.0; I1ForOddPrev3 = I1ForEvenPrev3 = 0.0; I1ForOddPrev2 = I1ForEvenPrev2 = 0.0; /* The code is speed optimized and is most likely very * hard to follow if you do not already know well the * original algorithm. * To understadn better, it is strongly suggested to look * first at the Excel implementation in "test_MAMA.xls" included * in this package. */ while( today <= endIdx ) { adjustedPrevPeriod = (0.075*period)+0.54; todayValue = inReal[today]; DO_PRICE_WMA(todayValue,smoothedValue); if( (today%2) == 0 ) { /* Do the Hilbert Transforms for even price bar */ DO_HILBERT_EVEN(detrender,smoothedValue); DO_HILBERT_EVEN(Q1,detrender); if( today >= startIdx ) { outQuadrature[outIdx] = Q1; outInPhase[outIdx++] = I1ForEvenPrev3; } DO_HILBERT_EVEN(jI,I1ForEvenPrev3); DO_HILBERT_EVEN(jQ,Q1); if( ++hilbertIdx == 3 ) hilbertIdx = 0; Q2 = (0.2*(Q1 + jI)) + (0.8*prevQ2); I2 = (0.2*(I1ForEvenPrev3 - jQ)) + (0.8*prevI2); /* The variable I1 is the detrender delayed for * 3 price bars. * * Save the current detrender value for being * used by the "odd" logic later. */ I1ForOddPrev3 = I1ForOddPrev2; I1ForOddPrev2 = detrender; } else { /* Do the Hilbert Transforms for odd price bar */ DO_HILBERT_ODD(detrender,smoothedValue); DO_HILBERT_ODD(Q1,detrender); if( today >= startIdx ) { outQuadrature[outIdx] = Q1; outInPhase[outIdx++] = I1ForOddPrev3; } DO_HILBERT_ODD(jI,I1ForOddPrev3); DO_HILBERT_ODD(jQ,Q1); Q2 = (0.2*(Q1 + jI)) + (0.8*prevQ2); I2 = (0.2*(I1ForOddPrev3 - jQ)) + (0.8*prevI2); /* The varaiable I1 is the detrender delayed for * 3 price bars. * * Save the current detrender value for being * used by the "even" logic later. */ I1ForEvenPrev3 = I1ForEvenPrev2; I1ForEvenPrev2 = detrender; } /* Adjust the period for next price bar */ Re = (0.2*((I2*prevI2)+(Q2*prevQ2)))+(0.8*Re); Im = (0.2*((I2*prevQ2)-(Q2*prevI2)))+(0.8*Im); prevQ2 = Q2; prevI2 = I2; tempReal = period; if( (Im != 0.0) && (Re != 0.0) ) period = 360.0 / (std_atan(Im/Re)*rad2Deg); tempReal2 = 1.5*tempReal; if( period > tempReal2) period = tempReal2; tempReal2 = 0.67*tempReal; if( period < tempReal2 ) period = tempReal2; if( period < 6 ) period = 6; else if( period > 50 ) period = 50; period = (0.2*period) + (0.8 * tempReal); /* Ooof... let's do the next price bar now! */ today++; } /* Default return values */ 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::HtPhasor( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outInPhase, /* Generated */ cli::array^ outQuadrature ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode htPhasor( int startIdx, /* Generated */ int endIdx, /* Generated */ float inReal[], /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outInPhase[], /* Generated */ double outQuadrature[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_S_HT_PHASOR( int startIdx, /* Generated */ int endIdx, /* Generated */ const float inReal[], /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outInPhase[], /* Generated */ double outQuadrature[] ) /* Generated */ #endif /* Generated */ { /* Generated */ int outIdx, i; /* Generated */ int lookbackTotal, today; /* Generated */ double tempReal, tempReal2; /* Generated */ double adjustedPrevPeriod, period; /* Generated */ int trailingWMAIdx; /* Generated */ double periodWMASum, periodWMASub, trailingWMAValue; /* Generated */ double smoothedValue; /* Generated */ CONSTANT_DOUBLE(a) = 0.0962; /* Generated */ CONSTANT_DOUBLE(b) = 0.5769; /* Generated */ double hilbertTempReal; /* Generated */ int hilbertIdx; /* Generated */ HILBERT_VARIABLES( detrender ); /* Generated */ HILBERT_VARIABLES( Q1 ); /* Generated */ HILBERT_VARIABLES( jI ); /* Generated */ HILBERT_VARIABLES( jQ ); /* Generated */ double Q2, I2, prevQ2, prevI2, Re, Im; /* Generated */ double I1ForOddPrev2, I1ForOddPrev3; /* Generated */ double I1ForEvenPrev2, I1ForEvenPrev3; /* Generated */ double rad2Deg; /* Generated */ double todayValue; /* 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 !defined(_JAVA) /* Generated */ if( !outInPhase ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ if( !outQuadrature ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* Generated */ #endif /* Generated */ rad2Deg = 180.0 / (4.0 * std_atan(1)); /* Generated */ lookbackTotal = 32 + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_HT_PHASOR,HtPhasor); /* Generated */ if( startIdx < lookbackTotal ) /* Generated */ startIdx = lookbackTotal; /* 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 */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* Generated */ trailingWMAIdx = startIdx - lookbackTotal; /* Generated */ today = trailingWMAIdx; /* Generated */ tempReal = inReal[today++]; /* Generated */ periodWMASub = tempReal; /* Generated */ periodWMASum = tempReal; /* Generated */ tempReal = inReal[today++]; /* Generated */ periodWMASub += tempReal; /* Generated */ periodWMASum += tempReal*2.0; /* Generated */ tempReal = inReal[today++]; /* Generated */ periodWMASub += tempReal; /* Generated */ periodWMASum += tempReal*3.0; /* Generated */ trailingWMAValue = 0.0; /* Generated */ #define DO_PRICE_WMA(varNewPrice,varToStoreSmoothedValue) { \ /* Generated */ periodWMASub += varNewPrice; \ /* Generated */ periodWMASub -= trailingWMAValue; \ /* Generated */ periodWMASum += varNewPrice*4.0; \ /* Generated */ trailingWMAValue = inReal[trailingWMAIdx++]; \ /* Generated */ varToStoreSmoothedValue = periodWMASum*0.1; \ /* Generated */ periodWMASum -= periodWMASub; \ /* Generated */ } /* Generated */ i = 9; /* Generated */ do /* Generated */ { /* Generated */ tempReal = inReal[today++]; /* Generated */ DO_PRICE_WMA(tempReal,smoothedValue); /* Generated */ } while( --i != 0); /* Generated */ hilbertIdx = 0; /* Generated */ INIT_HILBERT_VARIABLES(detrender); /* Generated */ INIT_HILBERT_VARIABLES(Q1); /* Generated */ INIT_HILBERT_VARIABLES(jI); /* Generated */ INIT_HILBERT_VARIABLES(jQ); /* Generated */ period = 0.0; /* Generated */ outIdx = 0; /* Generated */ prevI2 = prevQ2 = 0.0; /* Generated */ Re = Im = 0.0; /* Generated */ I1ForOddPrev3 = I1ForEvenPrev3 = 0.0; /* Generated */ I1ForOddPrev2 = I1ForEvenPrev2 = 0.0; /* Generated */ while( today <= endIdx ) /* Generated */ { /* Generated */ adjustedPrevPeriod = (0.075*period)+0.54; /* Generated */ todayValue = inReal[today]; /* Generated */ DO_PRICE_WMA(todayValue,smoothedValue); /* Generated */ if( (today%2) == 0 ) /* Generated */ { /* Generated */ DO_HILBERT_EVEN(detrender,smoothedValue); /* Generated */ DO_HILBERT_EVEN(Q1,detrender); /* Generated */ if( today >= startIdx ) /* Generated */ { /* Generated */ outQuadrature[outIdx] = Q1; /* Generated */ outInPhase[outIdx++] = I1ForEvenPrev3; /* Generated */ } /* Generated */ DO_HILBERT_EVEN(jI,I1ForEvenPrev3); /* Generated */ DO_HILBERT_EVEN(jQ,Q1); /* Generated */ if( ++hilbertIdx == 3 ) /* Generated */ hilbertIdx = 0; /* Generated */ Q2 = (0.2*(Q1 + jI)) + (0.8*prevQ2); /* Generated */ I2 = (0.2*(I1ForEvenPrev3 - jQ)) + (0.8*prevI2); /* Generated */ I1ForOddPrev3 = I1ForOddPrev2; /* Generated */ I1ForOddPrev2 = detrender; /* Generated */ } /* Generated */ else /* Generated */ { /* Generated */ DO_HILBERT_ODD(detrender,smoothedValue); /* Generated */ DO_HILBERT_ODD(Q1,detrender); /* Generated */ if( today >= startIdx ) /* Generated */ { /* Generated */ outQuadrature[outIdx] = Q1; /* Generated */ outInPhase[outIdx++] = I1ForOddPrev3; /* Generated */ } /* Generated */ DO_HILBERT_ODD(jI,I1ForOddPrev3); /* Generated */ DO_HILBERT_ODD(jQ,Q1); /* Generated */ Q2 = (0.2*(Q1 + jI)) + (0.8*prevQ2); /* Generated */ I2 = (0.2*(I1ForOddPrev3 - jQ)) + (0.8*prevI2); /* Generated */ I1ForEvenPrev3 = I1ForEvenPrev2; /* Generated */ I1ForEvenPrev2 = detrender; /* Generated */ } /* Generated */ Re = (0.2*((I2*prevI2)+(Q2*prevQ2)))+(0.8*Re); /* Generated */ Im = (0.2*((I2*prevQ2)-(Q2*prevI2)))+(0.8*Im); /* Generated */ prevQ2 = Q2; /* Generated */ prevI2 = I2; /* Generated */ tempReal = period; /* Generated */ if( (Im != 0.0) && (Re != 0.0) ) /* Generated */ period = 360.0 / (std_atan(Im/Re)*rad2Deg); /* Generated */ tempReal2 = 1.5*tempReal; /* Generated */ if( period > tempReal2) /* Generated */ period = tempReal2; /* Generated */ tempReal2 = 0.67*tempReal; /* Generated */ if( period < tempReal2 ) /* Generated */ period = tempReal2; /* Generated */ if( period < 6 ) /* Generated */ period = 6; /* Generated */ else if( period > 50 ) /* Generated */ period = 50; /* Generated */ period = (0.2*period) + (0.8 * tempReal); /* Generated */ today++; /* Generated */ } /* 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 ****/