/* 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 * ------------------------------------------------------------------- * MHL Matthew Lindblom * MF Mario Fortier * * Change history: * * MMDDYY BY Description * ------------------------------------------------------------------- * 120802 MF Template creation. * 032003 MHL Implementation of T3 * 040503 MF Adapt for compatibility with published code * for TradeStation and Metastock. * See "Smoothing Techniques For More Accurate Signals" * from Tim Tillson in Stock&Commodities V16:1 Page 33-37 * 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::T3Lookback( int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ double optInVFactor ) /* From 0 to 1 */ /* Generated */ /* Generated */ #elif defined( _JAVA ) /* Generated */ public int t3Lookback( int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ double optInVFactor ) /* From 0 to 1 */ /* Generated */ /* Generated */ #else /* Generated */ int TA_T3_Lookback( int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ double optInVFactor ) /* From 0 to 1 */ /* 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 < 2) || ((int)optInTimePeriod > 100000) ) /* Generated */ return -1; /* Generated */ /* Generated */ if( optInVFactor == TA_REAL_DEFAULT ) /* Generated */ optInVFactor = 7.000000e-1; /* Generated */ else if( (optInVFactor < 0.000000e+0) ||/* Generated */ (optInVFactor > 1.000000e+0) ) /* Generated */ return -1; /* Generated */ /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */ /**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/ /* insert lookback code here. */ UNUSED_VARIABLE(optInVFactor); return 6 * (optInTimePeriod-1) + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_T3,T3); } /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ /* * TA_T3 - Triple Exponential Moving Average (T3) * * Input = double * Output = double * * Optional Parameters * ------------------- * optInTimePeriod:(From 2 to 100000) * Number of period * * optInVFactor:(From 0 to 1) * Volume Factor * * */ /* Generated */ /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY ) /* Generated */ enum class Core::RetCode Core::T3( int startIdx, /* Generated */ int endIdx, /* Generated */ SubArray^ inReal, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ double optInVFactor, /* From 0 to 1 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::T3( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ double optInVFactor, /* From 0 to 1 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode t3( int startIdx, /* Generated */ int endIdx, /* Generated */ double inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ double optInVFactor, /* From 0 to 1 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_T3( int startIdx, /* Generated */ int endIdx, /* Generated */ const double inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ double optInVFactor, /* From 0 to 1 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ { /* insert local variable here */ int outIdx, lookbackTotal; int today, i; double k, one_minus_k; double e1, e2, e3, e4, e5, e6; double c1, c2, c3, c4; double tempReal; /**** 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 = 5; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ if( optInVFactor == TA_REAL_DEFAULT ) /* Generated */ optInVFactor = 7.000000e-1; /* Generated */ else if( (optInVFactor < 0.000000e+0) ||/* Generated */ (optInVFactor > 1.000000e+0) ) /* 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: * * Magazine articles written by Tim Tillson * * Essentially, a T3 of time serie 't' is: * EMA1(x,Period) = EMA(x,Period) * EMA2(x,Period) = EMA(EMA1(x,Period),Period) * GD(x,Period,vFactor) = (EMA1(x,Period)*(1+vFactor)) - (EMA2(x,Period)*vFactor) * T3 = GD (GD ( GD(t, Period, vFactor), Period, vFactor), Period, vFactor); * * T3 offers a moving average with less lags then the * traditional EMA. * * Do not confuse a T3 with EMA3. Both are called "Triple EMA" * in the litterature. * */ lookbackTotal = 6 * (optInTimePeriod - 1) + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_T3,T3); if( startIdx <= lookbackTotal ) startIdx = lookbackTotal; /* Make sure there is still something to evaluate. */ if( startIdx > endIdx ) { VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); return ENUM_VALUE(RetCode,TA_SUCCESS,Success); } VALUE_HANDLE_DEREF(outBegIdx) = startIdx; today = startIdx - lookbackTotal; k = 2.0/(optInTimePeriod+1.0); one_minus_k = 1.0-k; /* Initialize e1 */ tempReal = inReal[today++]; for( i=optInTimePeriod-1; i > 0 ; i-- ) tempReal += inReal[today++]; e1 = tempReal / optInTimePeriod; /* Initialize e2 */ tempReal = e1; for( i=optInTimePeriod-1; i > 0 ; i-- ) { e1 = (k*inReal[today++])+(one_minus_k*e1); tempReal += e1; } e2 = tempReal / optInTimePeriod; /* Initialize e3 */ tempReal = e2; for( i=optInTimePeriod-1; i > 0 ; i-- ) { e1 = (k*inReal[today++])+(one_minus_k*e1); e2 = (k*e1)+(one_minus_k*e2); tempReal += e2; } e3 = tempReal / optInTimePeriod; /* Initialize e4 */ tempReal = e3; for( i=optInTimePeriod-1; i > 0 ; i-- ) { e1 = (k*inReal[today++])+(one_minus_k*e1); e2 = (k*e1)+(one_minus_k*e2); e3 = (k*e2)+(one_minus_k*e3); tempReal += e3; } e4 = tempReal / optInTimePeriod; /* Initialize e5 */ tempReal = e4; for( i=optInTimePeriod-1; i > 0 ; i-- ) { e1 = (k*inReal[today++])+(one_minus_k*e1); e2 = (k*e1)+(one_minus_k*e2); e3 = (k*e2)+(one_minus_k*e3); e4 = (k*e3)+(one_minus_k*e4); tempReal += e4; } e5 = tempReal / optInTimePeriod; /* Initialize e6 */ tempReal = e5; for( i=optInTimePeriod-1; i > 0 ; i-- ) { e1 = (k*inReal[today++])+(one_minus_k*e1); e2 = (k*e1)+(one_minus_k*e2); e3 = (k*e2)+(one_minus_k*e3); e4 = (k*e3)+(one_minus_k*e4); e5 = (k*e4)+(one_minus_k*e5); tempReal += e5; } e6 = tempReal / optInTimePeriod; /* Skip the unstable period */ while( today <= startIdx ) { /* Do the calculation but do not write the output */ e1 = (k*inReal[today++])+(one_minus_k*e1); e2 = (k*e1)+(one_minus_k*e2); e3 = (k*e2)+(one_minus_k*e3); e4 = (k*e3)+(one_minus_k*e4); e5 = (k*e4)+(one_minus_k*e5); e6 = (k*e5)+(one_minus_k*e6); } /* Calculate the constants */ tempReal = optInVFactor * optInVFactor; c1 = -(tempReal * optInVFactor); c2 = 3.0 * (tempReal - c1); c3 = -6.0 * tempReal - 3.0 * (optInVFactor-c1); c4 = 1.0 + 3.0 * optInVFactor - c1 + 3.0 * tempReal; /* Write the first output */ outIdx = 0; outReal[outIdx++] = c1*e6+c2*e5+c3*e4+c4*e3; /* Calculate and output the remaining of the range. */ while( today <= endIdx ) { e1 = (k*inReal[today++])+(one_minus_k*e1); e2 = (k*e1)+(one_minus_k*e2); e3 = (k*e2)+(one_minus_k*e3); e4 = (k*e3)+(one_minus_k*e4); e5 = (k*e4)+(one_minus_k*e5); e6 = (k*e5)+(one_minus_k*e6); outReal[outIdx++] = c1*e6+c2*e5+c3*e4+c4*e3; } /* Indicates to the caller the number of output * successfully calculated. */ 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::T3( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ double optInVFactor, /* From 0 to 1 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode t3( int startIdx, /* Generated */ int endIdx, /* Generated */ float inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ double optInVFactor, /* From 0 to 1 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_S_T3( int startIdx, /* Generated */ int endIdx, /* Generated */ const float inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ double optInVFactor, /* From 0 to 1 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /* Generated */ { /* Generated */ int outIdx, lookbackTotal; /* Generated */ int today, i; /* Generated */ double k, one_minus_k; /* Generated */ double e1, e2, e3, e4, e5, e6; /* Generated */ double c1, c2, c3, c4; /* Generated */ double tempReal; /* 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 = 5; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ if( optInVFactor == TA_REAL_DEFAULT ) /* Generated */ optInVFactor = 7.000000e-1; /* Generated */ else if( (optInVFactor < 0.000000e+0) || (optInVFactor > 1.000000e+0) ) /* 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 */ lookbackTotal = 6 * (optInTimePeriod - 1) + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_T3,T3); /* Generated */ if( startIdx <= lookbackTotal ) /* Generated */ startIdx = lookbackTotal; /* Generated */ if( startIdx > endIdx ) /* Generated */ { /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ } /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* Generated */ today = startIdx - lookbackTotal; /* Generated */ k = 2.0/(optInTimePeriod+1.0); /* Generated */ one_minus_k = 1.0-k; /* Generated */ tempReal = inReal[today++]; /* Generated */ for( i=optInTimePeriod-1; i > 0 ; i-- ) /* Generated */ tempReal += inReal[today++]; /* Generated */ e1 = tempReal / optInTimePeriod; /* Generated */ tempReal = e1; /* Generated */ for( i=optInTimePeriod-1; i > 0 ; i-- ) /* Generated */ { /* Generated */ e1 = (k*inReal[today++])+(one_minus_k*e1); /* Generated */ tempReal += e1; /* Generated */ } /* Generated */ e2 = tempReal / optInTimePeriod; /* Generated */ tempReal = e2; /* Generated */ for( i=optInTimePeriod-1; i > 0 ; i-- ) /* Generated */ { /* Generated */ e1 = (k*inReal[today++])+(one_minus_k*e1); /* Generated */ e2 = (k*e1)+(one_minus_k*e2); /* Generated */ tempReal += e2; /* Generated */ } /* Generated */ e3 = tempReal / optInTimePeriod; /* Generated */ tempReal = e3; /* Generated */ for( i=optInTimePeriod-1; i > 0 ; i-- ) /* Generated */ { /* Generated */ e1 = (k*inReal[today++])+(one_minus_k*e1); /* Generated */ e2 = (k*e1)+(one_minus_k*e2); /* Generated */ e3 = (k*e2)+(one_minus_k*e3); /* Generated */ tempReal += e3; /* Generated */ } /* Generated */ e4 = tempReal / optInTimePeriod; /* Generated */ tempReal = e4; /* Generated */ for( i=optInTimePeriod-1; i > 0 ; i-- ) /* Generated */ { /* Generated */ e1 = (k*inReal[today++])+(one_minus_k*e1); /* Generated */ e2 = (k*e1)+(one_minus_k*e2); /* Generated */ e3 = (k*e2)+(one_minus_k*e3); /* Generated */ e4 = (k*e3)+(one_minus_k*e4); /* Generated */ tempReal += e4; /* Generated */ } /* Generated */ e5 = tempReal / optInTimePeriod; /* Generated */ tempReal = e5; /* Generated */ for( i=optInTimePeriod-1; i > 0 ; i-- ) /* Generated */ { /* Generated */ e1 = (k*inReal[today++])+(one_minus_k*e1); /* Generated */ e2 = (k*e1)+(one_minus_k*e2); /* Generated */ e3 = (k*e2)+(one_minus_k*e3); /* Generated */ e4 = (k*e3)+(one_minus_k*e4); /* Generated */ e5 = (k*e4)+(one_minus_k*e5); /* Generated */ tempReal += e5; /* Generated */ } /* Generated */ e6 = tempReal / optInTimePeriod; /* Generated */ while( today <= startIdx ) /* Generated */ { /* Generated */ e1 = (k*inReal[today++])+(one_minus_k*e1); /* Generated */ e2 = (k*e1)+(one_minus_k*e2); /* Generated */ e3 = (k*e2)+(one_minus_k*e3); /* Generated */ e4 = (k*e3)+(one_minus_k*e4); /* Generated */ e5 = (k*e4)+(one_minus_k*e5); /* Generated */ e6 = (k*e5)+(one_minus_k*e6); /* Generated */ } /* Generated */ tempReal = optInVFactor * optInVFactor; /* Generated */ c1 = -(tempReal * optInVFactor); /* Generated */ c2 = 3.0 * (tempReal - c1); /* Generated */ c3 = -6.0 * tempReal - 3.0 * (optInVFactor-c1); /* Generated */ c4 = 1.0 + 3.0 * optInVFactor - c1 + 3.0 * tempReal; /* Generated */ outIdx = 0; /* Generated */ outReal[outIdx++] = c1*e6+c2*e5+c3*e4+c4*e3; /* Generated */ while( today <= endIdx ) /* Generated */ { /* Generated */ e1 = (k*inReal[today++])+(one_minus_k*e1); /* Generated */ e2 = (k*e1)+(one_minus_k*e2); /* Generated */ e3 = (k*e2)+(one_minus_k*e3); /* Generated */ e4 = (k*e3)+(one_minus_k*e4); /* Generated */ e5 = (k*e4)+(one_minus_k*e5); /* Generated */ e6 = (k*e5)+(one_minus_k*e6); /* Generated */ outReal[outIdx++] = c1*e6+c2*e5+c3*e4+c4*e3; /* 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 ****/