/* 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 * ------------------------------------------------------------------- * 112400 MF Template creation. * 052603 MF Adapt code to compile with .NET Managed C++ * 062804 MF Resolve div by zero bug on limit case. */ /**** 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::RsiLookback( int optInTimePeriod ) /* From 2 to 100000 */ /* Generated */ /* Generated */ #elif defined( _JAVA ) /* Generated */ public int rsiLookback( int optInTimePeriod ) /* From 2 to 100000 */ /* Generated */ /* Generated */ #else /* Generated */ int TA_RSI_Lookback( int optInTimePeriod ) /* From 2 to 100000 */ /* Generated */ /* Generated */ #endif /**** END GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/ { /* insert local variable here */ int retValue; /**** 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 < 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. */ retValue = optInTimePeriod + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_RSI,Rsi); if( TA_GLOBALS_COMPATIBILITY == ENUM_VALUE(Compatibility,TA_COMPATIBILITY_METASTOCK,Metastock) ) retValue--; return retValue; } /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ /* * TA_RSI - Relative Strength Index * * 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::Rsi( 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::Rsi( 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 rsi( 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_RSI( 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. */ int outIdx; int today, lookbackTotal, unstablePeriod, i; double prevGain, prevLoss, prevValue, savePrevValue; double tempValue1, tempValue2; /**** 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 = 14; /* 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. */ /* The following algorithm is base on the original * work from Wilder's and shall represent the * original idea behind the classic RSI. * * Metastock is starting the calculation one price * bar earlier. To make this possible, they assume * that the very first bar will be identical to the * previous one (no gain or loss). */ /* If changing this function, please check also CMO * which is mostly identical (just different in one step * of calculation). */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Adjust startIdx to account for the lookback period. */ lookbackTotal = LOOKBACK_CALL(RSI)( optInTimePeriod ); if( startIdx < lookbackTotal ) startIdx = lookbackTotal; /* Make sure there is still something to evaluate. */ if( startIdx > endIdx ) return ENUM_VALUE(RetCode,TA_SUCCESS,Success); outIdx = 0; /* Index into the output. */ /* Trap special case where the period is '1'. * In that case, just copy the input into the * output for the requested range (as-is !) */ if( optInTimePeriod == 1 ) { VALUE_HANDLE_DEREF(outBegIdx) = startIdx; i = (endIdx-startIdx)+1; VALUE_HANDLE_DEREF(outNBElement) = i; #if defined( USE_SUBARRAY ) && !defined( USE_SINGLE_PRECISION_INPUT ) ARRAY_MEMMOVE( outReal, 0, (inReal->mDataArray), (inReal->mOffset)+startIdx, i ); #else ARRAY_MEMMOVE( outReal, 0, inReal, startIdx, i ); #endif return ENUM_VALUE(RetCode,TA_SUCCESS,Success); } /* Accumulate Wilder's "Average Gain" and "Average Loss" * among the initial period. */ today = startIdx-lookbackTotal; prevValue = inReal[today]; unstablePeriod = TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_RSI,Rsi); /* If there is no unstable period, * calculate the 'additional' initial * price bar who is particuliar to * metastock. * If there is an unstable period, * no need to calculate since this * first value will be surely skip. */ if( (unstablePeriod == 0) && (TA_GLOBALS_COMPATIBILITY == ENUM_VALUE(Compatibility,TA_COMPATIBILITY_METASTOCK,Metastock))) { /* Preserve prevValue because it may get * overwritten by the output. *(because output ptr could be the same as input ptr). */ savePrevValue = prevValue; /* No unstable period, so must calculate first output * particular to Metastock. * (Metastock re-use the first price bar, so there * is no loss/gain at first. Beats me why they * are doing all this). */ prevGain = 0.0; prevLoss = 0.0; for( i=optInTimePeriod; i > 0; i-- ) { tempValue1 = inReal[today++]; tempValue2 = tempValue1 - prevValue; prevValue = tempValue1; if( tempValue2 < 0 ) prevLoss -= tempValue2; else prevGain += tempValue2; } tempValue1 = prevLoss/optInTimePeriod; tempValue2 = prevGain/optInTimePeriod; /* Write the output. */ tempValue1 = tempValue2+tempValue1; if( !TA_IS_ZERO(tempValue1) ) outReal[outIdx++] = 100*(tempValue2/tempValue1); else outReal[outIdx++] = 0.0; /* Are we done? */ if( today > endIdx ) { VALUE_HANDLE_DEREF(outBegIdx) = startIdx; VALUE_HANDLE_DEREF(outNBElement) = outIdx; return ENUM_VALUE(RetCode,TA_SUCCESS,Success); } /* Start over for the next price bar. */ today -= optInTimePeriod; prevValue = savePrevValue; } /* Remaining of the processing is identical * for both Classic calculation and Metastock. */ prevGain = 0.0; prevLoss = 0.0; today++; for( i=optInTimePeriod; i > 0; i-- ) { tempValue1 = inReal[today++]; tempValue2 = tempValue1 - prevValue; prevValue = tempValue1; if( tempValue2 < 0 ) prevLoss -= tempValue2; else prevGain += tempValue2; } /* Subsequent prevLoss and prevGain are smoothed * using the previous values (Wilder's approach). * 1) Multiply the previous by 'period-1'. * 2) Add today value. * 3) Divide by 'period'. */ prevLoss /= optInTimePeriod; prevGain /= optInTimePeriod; /* Often documentation present the RSI calculation as follow: * RSI = 100 - (100 / 1 + (prevGain/prevLoss)) * * The following is equivalent: * RSI = 100 * (prevGain/(prevGain+prevLoss)) * * The second equation is used here for speed optimization. */ if( today > startIdx ) { tempValue1 = prevGain+prevLoss; if( !TA_IS_ZERO(tempValue1) ) outReal[outIdx++] = 100.0*(prevGain/tempValue1); else outReal[outIdx++] = 0.0; } else { /* Skip the unstable period. Do the processing * but do not write it in the output. */ while( today < startIdx ) { tempValue1 = inReal[today]; tempValue2 = tempValue1 - prevValue; prevValue = tempValue1; prevLoss *= (optInTimePeriod-1); prevGain *= (optInTimePeriod-1); if( tempValue2 < 0 ) prevLoss -= tempValue2; else prevGain += tempValue2; prevLoss /= optInTimePeriod; prevGain /= optInTimePeriod; today++; } } /* Unstable period skipped... now continue * processing if needed. */ while( today <= endIdx ) { tempValue1 = inReal[today++]; tempValue2 = tempValue1 - prevValue; prevValue = tempValue1; prevLoss *= (optInTimePeriod-1); prevGain *= (optInTimePeriod-1); if( tempValue2 < 0 ) prevLoss -= tempValue2; else prevGain += tempValue2; prevLoss /= optInTimePeriod; prevGain /= optInTimePeriod; tempValue1 = prevGain+prevLoss; if( !TA_IS_ZERO(tempValue1) ) outReal[outIdx++] = 100.0*(prevGain/tempValue1); else outReal[outIdx++] = 0.0; } VALUE_HANDLE_DEREF(outBegIdx) = startIdx; 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::Rsi( 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 rsi( 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_RSI( 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 */ int outIdx; /* Generated */ int today, lookbackTotal, unstablePeriod, i; /* Generated */ double prevGain, prevLoss, prevValue, savePrevValue; /* Generated */ double tempValue1, tempValue2; /* 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 = 14; /* 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(outBegIdx); /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Generated */ lookbackTotal = LOOKBACK_CALL(RSI)( optInTimePeriod ); /* Generated */ if( startIdx < lookbackTotal ) /* Generated */ startIdx = lookbackTotal; /* Generated */ if( startIdx > endIdx ) /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ outIdx = 0; /* Generated */ if( optInTimePeriod == 1 ) /* Generated */ { /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* Generated */ i = (endIdx-startIdx)+1; /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = i; /* Generated */ #if defined( USE_SUBARRAY ) && !defined( USE_SINGLE_PRECISION_INPUT ) /* Generated */ ARRAY_MEMMOVE( outReal, 0, (inReal->mDataArray), (inReal->mOffset)+startIdx, i ); /* Generated */ #else /* Generated */ ARRAY_MEMMOVE( outReal, 0, inReal, startIdx, i ); /* Generated */ #endif /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ } /* Generated */ today = startIdx-lookbackTotal; /* Generated */ prevValue = inReal[today]; /* Generated */ unstablePeriod = TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_RSI,Rsi); /* Generated */ if( (unstablePeriod == 0) && /* Generated */ (TA_GLOBALS_COMPATIBILITY == ENUM_VALUE(Compatibility,TA_COMPATIBILITY_METASTOCK,Metastock))) /* Generated */ { /* Generated */ savePrevValue = prevValue; /* Generated */ prevGain = 0.0; /* Generated */ prevLoss = 0.0; /* Generated */ for( i=optInTimePeriod; i > 0; i-- ) /* Generated */ { /* Generated */ tempValue1 = inReal[today++]; /* Generated */ tempValue2 = tempValue1 - prevValue; /* Generated */ prevValue = tempValue1; /* Generated */ if( tempValue2 < 0 ) /* Generated */ prevLoss -= tempValue2; /* Generated */ else /* Generated */ prevGain += tempValue2; /* Generated */ } /* Generated */ tempValue1 = prevLoss/optInTimePeriod; /* Generated */ tempValue2 = prevGain/optInTimePeriod; /* Generated */ tempValue1 = tempValue2+tempValue1; /* Generated */ if( !TA_IS_ZERO(tempValue1) ) /* Generated */ outReal[outIdx++] = 100*(tempValue2/tempValue1); /* Generated */ else /* Generated */ outReal[outIdx++] = 0.0; /* Generated */ if( today > endIdx ) /* Generated */ { /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = outIdx; /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ } /* Generated */ today -= optInTimePeriod; /* Generated */ prevValue = savePrevValue; /* Generated */ } /* Generated */ prevGain = 0.0; /* Generated */ prevLoss = 0.0; /* Generated */ today++; /* Generated */ for( i=optInTimePeriod; i > 0; i-- ) /* Generated */ { /* Generated */ tempValue1 = inReal[today++]; /* Generated */ tempValue2 = tempValue1 - prevValue; /* Generated */ prevValue = tempValue1; /* Generated */ if( tempValue2 < 0 ) /* Generated */ prevLoss -= tempValue2; /* Generated */ else /* Generated */ prevGain += tempValue2; /* Generated */ } /* Generated */ prevLoss /= optInTimePeriod; /* Generated */ prevGain /= optInTimePeriod; /* Generated */ if( today > startIdx ) /* Generated */ { /* Generated */ tempValue1 = prevGain+prevLoss; /* Generated */ if( !TA_IS_ZERO(tempValue1) ) /* Generated */ outReal[outIdx++] = 100.0*(prevGain/tempValue1); /* Generated */ else /* Generated */ outReal[outIdx++] = 0.0; /* Generated */ } /* Generated */ else /* Generated */ { /* Generated */ while( today < startIdx ) /* Generated */ { /* Generated */ tempValue1 = inReal[today]; /* Generated */ tempValue2 = tempValue1 - prevValue; /* Generated */ prevValue = tempValue1; /* Generated */ prevLoss *= (optInTimePeriod-1); /* Generated */ prevGain *= (optInTimePeriod-1); /* Generated */ if( tempValue2 < 0 ) /* Generated */ prevLoss -= tempValue2; /* Generated */ else /* Generated */ prevGain += tempValue2; /* Generated */ prevLoss /= optInTimePeriod; /* Generated */ prevGain /= optInTimePeriod; /* Generated */ today++; /* Generated */ } /* Generated */ } /* Generated */ while( today <= endIdx ) /* Generated */ { /* Generated */ tempValue1 = inReal[today++]; /* Generated */ tempValue2 = tempValue1 - prevValue; /* Generated */ prevValue = tempValue1; /* Generated */ prevLoss *= (optInTimePeriod-1); /* Generated */ prevGain *= (optInTimePeriod-1); /* Generated */ if( tempValue2 < 0 ) /* Generated */ prevLoss -= tempValue2; /* Generated */ else /* Generated */ prevGain += tempValue2; /* Generated */ prevLoss /= optInTimePeriod; /* Generated */ prevGain /= optInTimePeriod; /* Generated */ tempValue1 = prevGain+prevLoss; /* Generated */ if( !TA_IS_ZERO(tempValue1) ) /* Generated */ outReal[outIdx++] = 100.0*(prevGain/tempValue1); /* Generated */ else /* Generated */ outReal[outIdx++] = 0.0; /* Generated */ } /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* 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 ****/