/* 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 * ------------------------------------------------------------------- * 060306 MF 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::NatrLookback( int optInTimePeriod ) /* From 1 to 100000 */ /* Generated */ /* Generated */ #elif defined( _JAVA ) /* Generated */ public int natrLookback( int optInTimePeriod ) /* From 1 to 100000 */ /* Generated */ /* Generated */ #else /* Generated */ int TA_NATR_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 = 14; /* 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 ****/ /* insert lookback code here. */ /* The ATR lookback is the sum of: * 1 + (optInTimePeriod - 1) * * Where 1 is for the True Range, and * (optInTimePeriod-1) is for the simple * moving average. */ return optInTimePeriod + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_NATR,Natr); } /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ /* * TA_NATR - Normalized Average True Range * * Input = High, Low, Close * 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::Natr( int startIdx, /* Generated */ int endIdx, /* Generated */ SubArray^ inHigh, /* Generated */ SubArray^ inLow, /* Generated */ SubArray^ inClose, /* 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::Natr( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inHigh, /* Generated */ cli::array^ inLow, /* Generated */ cli::array^ inClose, /* 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 natr( int startIdx, /* Generated */ int endIdx, /* Generated */ double inHigh[], /* Generated */ double inLow[], /* Generated */ double inClose[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_NATR( int startIdx, /* Generated */ int endIdx, /* Generated */ const double inHigh[], /* Generated */ const double inLow[], /* Generated */ const double inClose[], /* 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 ****/ { /* insert local variable here */ ENUM_DECLARATION(RetCode) retCode; int outIdx, today, lookbackTotal; int nbATR; VALUE_HANDLE_INT(outBegIdx1); VALUE_HANDLE_INT(outNbElement1); double prevATR, tempValue; ARRAY_REF( tempBuffer ); ARRAY_LOCAL(prevATRTemp,1); /**** 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 */ /* Verify required price component. */ /* Generated */ if(!inHigh||!inLow||!inClose) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ #endif /* !defined(_JAVA)*/ /* Generated */ /* min/max are checked for optInTimePeriod. */ /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 14; /* 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. */ /* This function is very similar as ATR, except * it is being normalized as follow: * * NATR = (ATR(period) / Close) * 100 * * * Normalization make the ATR function more relevant * in the folllowing scenario: * - Long term analysis where the price changes drastically. * - Cross-market or cross-security ATR comparison. * * More Info: * Technical Analysis of Stock & Commodities (TASC) * May 2006 by John Forman */ /* Average True Range is the greatest of the following: * * val1 = distance from today's high to today's low. * val2 = distance from yesterday's close to today's high. * val3 = distance from yesterday's close to today's low. * * These value are averaged for the specified period using * Wilder method. This method have an unstable period comparable * to an Exponential Moving Average (EMA). */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Adjust startIdx to account for the lookback period. */ lookbackTotal = LOOKBACK_CALL(NATR)( optInTimePeriod ); if( startIdx < lookbackTotal ) startIdx = lookbackTotal; /* Make sure there is still something to evaluate. */ if( startIdx > endIdx ) return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Trap the case where no smoothing is needed. */ if( optInTimePeriod <= 1 ) { /* No smoothing needed. Just do a TRANGE. */ return FUNCTION_CALL(TRANGE)( startIdx, endIdx, inHigh, inLow, inClose, outBegIdx, outNBElement, outReal ); } /* Allocate an intermediate buffer for TRANGE. */ ARRAY_ALLOC(tempBuffer, lookbackTotal+(endIdx-startIdx)+1 ); /* Do TRANGE in the intermediate buffer. */ retCode = FUNCTION_CALL(TRANGE)( (startIdx-lookbackTotal+1), endIdx, inHigh, inLow, inClose, VALUE_HANDLE_OUT(outBegIdx1), VALUE_HANDLE_OUT(outNbElement1), tempBuffer ); if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) ) { ARRAY_FREE( tempBuffer ); return retCode; } /* First value of the ATR is a simple Average of * the TRANGE output for the specified period. */ retCode = FUNCTION_CALL_DOUBLE(INT_SMA)( optInTimePeriod-1, optInTimePeriod-1, tempBuffer, optInTimePeriod, VALUE_HANDLE_OUT(outBegIdx1), VALUE_HANDLE_OUT(outNbElement1), prevATRTemp ); if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) ) { ARRAY_FREE( tempBuffer ); return retCode; } prevATR = prevATRTemp[0]; /* Subsequent value are smoothed using the * previous ATR value (Wilder's approach). * 1) Multiply the previous ATR by 'period-1'. * 2) Add today TR value. * 3) Divide by 'period'. */ today = optInTimePeriod; outIdx = TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_NATR,Natr); /* Skip the unstable period. */ while( outIdx != 0 ) { prevATR *= optInTimePeriod - 1; prevATR += tempBuffer[today++]; prevATR /= optInTimePeriod; outIdx--; } /* Now start to write the final ATR in the caller * provided outReal. */ outIdx = 1; tempValue = inClose[today]; if( !TA_IS_ZERO(tempValue) ) outReal[0] = (prevATR/tempValue)*100.0; else outReal[0] = 0.0; /* Now do the number of requested ATR. */ nbATR = (endIdx - startIdx)+1; while( --nbATR != 0 ) { prevATR *= optInTimePeriod - 1; prevATR += tempBuffer[today++]; prevATR /= optInTimePeriod; tempValue = inClose[today]; if( !TA_IS_ZERO(tempValue) ) outReal[outIdx] = (prevATR/tempValue)*100.0; else outReal[0] = 0.0; outIdx++; } VALUE_HANDLE_DEREF(outBegIdx) = startIdx; VALUE_HANDLE_DEREF(outNBElement) = outIdx; ARRAY_FREE( tempBuffer ); return retCode; } /**** 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::Natr( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inHigh, /* Generated */ cli::array^ inLow, /* Generated */ cli::array^ inClose, /* 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 natr( int startIdx, /* Generated */ int endIdx, /* Generated */ float inHigh[], /* Generated */ float inLow[], /* Generated */ float inClose[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_S_NATR( int startIdx, /* Generated */ int endIdx, /* Generated */ const float inHigh[], /* Generated */ const float inLow[], /* Generated */ const float inClose[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /* Generated */ { /* Generated */ ENUM_DECLARATION(RetCode) retCode; /* Generated */ int outIdx, today, lookbackTotal; /* Generated */ int nbATR; /* Generated */ VALUE_HANDLE_INT(outBegIdx1); /* Generated */ VALUE_HANDLE_INT(outNbElement1); /* Generated */ double prevATR, tempValue; /* Generated */ ARRAY_REF( tempBuffer ); /* Generated */ ARRAY_LOCAL(prevATRTemp,1); /* 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(!inHigh||!inLow||!inClose) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 14; /* 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 */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Generated */ lookbackTotal = LOOKBACK_CALL(NATR)( optInTimePeriod ); /* Generated */ if( startIdx < lookbackTotal ) /* Generated */ startIdx = lookbackTotal; /* Generated */ if( startIdx > endIdx ) /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ if( optInTimePeriod <= 1 ) /* Generated */ { /* Generated */ return FUNCTION_CALL(TRANGE)( startIdx, endIdx, /* Generated */ inHigh, inLow, inClose, /* Generated */ outBegIdx, outNBElement, outReal ); /* Generated */ } /* Generated */ ARRAY_ALLOC(tempBuffer, lookbackTotal+(endIdx-startIdx)+1 ); /* Generated */ retCode = FUNCTION_CALL(TRANGE)( (startIdx-lookbackTotal+1), endIdx, /* Generated */ inHigh, inLow, inClose, /* Generated */ VALUE_HANDLE_OUT(outBegIdx1), VALUE_HANDLE_OUT(outNbElement1), /* Generated */ tempBuffer ); /* Generated */ if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) ) /* Generated */ { /* Generated */ ARRAY_FREE( tempBuffer ); /* Generated */ return retCode; /* Generated */ } /* Generated */ retCode = FUNCTION_CALL_DOUBLE(INT_SMA)( optInTimePeriod-1, /* Generated */ optInTimePeriod-1, /* Generated */ tempBuffer, optInTimePeriod, /* Generated */ VALUE_HANDLE_OUT(outBegIdx1), VALUE_HANDLE_OUT(outNbElement1), /* Generated */ prevATRTemp ); /* Generated */ if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) ) /* Generated */ { /* Generated */ ARRAY_FREE( tempBuffer ); /* Generated */ return retCode; /* Generated */ } /* Generated */ prevATR = prevATRTemp[0]; /* Generated */ today = optInTimePeriod; /* Generated */ outIdx = TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_NATR,Natr); /* Generated */ while( outIdx != 0 ) /* Generated */ { /* Generated */ prevATR *= optInTimePeriod - 1; /* Generated */ prevATR += tempBuffer[today++]; /* Generated */ prevATR /= optInTimePeriod; /* Generated */ outIdx--; /* Generated */ } /* Generated */ outIdx = 1; /* Generated */ tempValue = inClose[today]; /* Generated */ if( !TA_IS_ZERO(tempValue) ) /* Generated */ outReal[0] = (prevATR/tempValue)*100.0; /* Generated */ else /* Generated */ outReal[0] = 0.0; /* Generated */ nbATR = (endIdx - startIdx)+1; /* Generated */ while( --nbATR != 0 ) /* Generated */ { /* Generated */ prevATR *= optInTimePeriod - 1; /* Generated */ prevATR += tempBuffer[today++]; /* Generated */ prevATR /= optInTimePeriod; /* Generated */ tempValue = inClose[today]; /* Generated */ if( !TA_IS_ZERO(tempValue) ) /* Generated */ outReal[outIdx] = (prevATR/tempValue)*100.0; /* Generated */ else /* Generated */ outReal[0] = 0.0; /* Generated */ outIdx++; /* Generated */ } /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = outIdx; /* Generated */ ARRAY_FREE( tempBuffer ); /* Generated */ return retCode; /* Generated */ } /* Generated */ /* Generated */ #if defined( _MANAGED ) /* Generated */ }}} // Close namespace TicTacTec.TA.Lib /* Generated */ #endif /**** END GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/