/* 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 First version. * */ /* Description: * Regression test of MACD. */ /**** Headers ****/ #include #include #include "ta_test_priv.h" #include "ta_test_func.h" #include "ta_utility.h" #include "ta_memory.h" /**** External functions declarations. ****/ /* None */ /**** External variables declarations. ****/ /* None */ /**** Global variables definitions. ****/ /* None */ /**** Local declarations. ****/ typedef enum { TA_MACD_TEST, TA_MACDFIX_TEST, TA_MACDEXT_TEST } TA_TestId; typedef struct { TA_Integer doRangeTestFlag; TA_TestId testId; TA_Integer startIdx; TA_Integer endIdx; TA_Integer optInFastPeriod; TA_Integer optInSlowPeriod; TA_Integer optInSignalPeriod_2; TA_Integer compatibility; TA_RetCode expectedRetCode; TA_Integer expectedBegIdx; TA_Integer expectedNbElement; TA_Integer oneOfTheExpectedOutRealIndex0; TA_Real oneOfTheExpectedOutReal0; TA_Integer oneOfTheExpectedOutRealIndex1; TA_Real oneOfTheExpectedOutReal1; TA_Integer oneOfTheExpectedOutRealIndex2; TA_Real oneOfTheExpectedOutReal2; } TA_Test; typedef struct { const TA_Test *test; const TA_Real *close; } TA_RangeTestParam; /**** Local functions declarations. ****/ static ErrorNumber do_test( const TA_History *history, const TA_Test *test ); /**** Local variables definitions. ****/ static TA_Test tableTest[] = { /*********************/ /* MACD - CLASSIC */ /*********************/ { 0, TA_MACD_TEST, 0, 251, 12, 26, 9, TA_COMPATIBILITY_DEFAULT, TA_SUCCESS, 33, 252-33, /* 25, 252-25,*/ 0, -1.9738, /* MACD */ 0, -2.7071, /* Signal */ 0, (-1.9738)-(-2.7071) }, /* Histogram */ /* Test period inversion */ { 0, TA_MACD_TEST, 0, 251, 26, 12, 9, TA_COMPATIBILITY_DEFAULT, TA_SUCCESS, 33, 252-33, /* 25, 252-25,*/ 0, -1.9738, /* MACD */ 0, -2.7071, /* Signal */ 0, (-1.9738)-(-2.7071) }, /* Histogram */ /***********************/ /* MACD - METASTOCK */ /***********************/ /*******************************/ /* MACDEXT - MIMIC CLASSIC */ /*******************************/ { 0, TA_MACDEXT_TEST, 0, 251, 12, 26, 9, TA_COMPATIBILITY_DEFAULT, TA_SUCCESS, 33, 252-33, /* 25, 252-25,*/ 0, -1.9738, /* MACD */ 0, -2.7071, /* Signal */ 0, (-1.9738)-(-2.7071)}, /* Histogram */ /***************************/ /* MACD FIX - CLASSIC */ /***************************/ /***************************/ /* MACD FIX - METASTOCK */ /***************************/ { 1, TA_MACDFIX_TEST, 0, 251, 12, 26, 9, TA_COMPATIBILITY_METASTOCK, TA_SUCCESS, 33, 252-33, /* 25, 252-25,*/ 0, -1.2185, /* MACD */ 0, -1.7119, /* Signal */ 0, (-1.2185)-(-1.7119) }, /* Histogram */ { 0, TA_MACDFIX_TEST, 0, 251, 12, 26, 9, TA_COMPATIBILITY_METASTOCK, TA_SUCCESS, 33, 252-33, 252-34, 0.8764, /* MACD */ 252-34, 1.3533, /* Signal */ 252-34, (0.8764)-(1.3533)}, /* Histogram */ /* Test period inversion */ { 0, TA_MACDFIX_TEST, 0, 251, 26, 12, 9, TA_COMPATIBILITY_METASTOCK, TA_SUCCESS, 33, 252-33, 252-34, 0.8764, /* MACD */ 252-34, 1.3533, /* Signal */ 252-34, (0.8764)-(1.3533)} /* Histogram */ }; #define NB_TEST (sizeof(tableTest)/sizeof(TA_Test)) /**** Global functions definitions. ****/ ErrorNumber test_func_macd( TA_History *history ) { unsigned int i; ErrorNumber retValue; for( i=0; i < NB_TEST; i++ ) { if( (int)tableTest[i].expectedNbElement > (int)history->nbBars ) { printf( "TA_MACD Failed Bad Parameter for Test #%d (%d,%d)\n", i, tableTest[i].expectedNbElement, history->nbBars ); return TA_TESTUTIL_TFRR_BAD_PARAM; } retValue = do_test( history, &tableTest[i] ); if( retValue != 0 ) { printf( "TA_MACD Failed Test #%d (Code=%d)\n", i, retValue ); return retValue; } } /* All test succeed. */ return TA_TEST_PASS; } /**** Local functions definitions. ****/ static TA_RetCode rangeTestFunction( TA_Integer startIdx, TA_Integer endIdx, TA_Real *outputBuffer, TA_Integer *outputBufferInt, TA_Integer *outBegIdx, TA_Integer *outNbElement, TA_Integer *lookback, void *opaqueData, unsigned int outputNb, unsigned int *isOutputInteger ) { TA_RetCode retCode; TA_RangeTestParam *testParam; TA_Real *dummyBuffer1, *dummyBuffer2; TA_Real *out1, *out2, *out3; (void)outputBufferInt; *isOutputInteger = 0; testParam = (TA_RangeTestParam *)opaqueData; dummyBuffer1 = TA_Malloc( ((endIdx-startIdx)+1)*sizeof(TA_Real)); if( !dummyBuffer1 ) return TA_ALLOC_ERR; dummyBuffer2 = TA_Malloc( ((endIdx-startIdx)+1)*sizeof(TA_Real)); if( !dummyBuffer2 ) { TA_Free( dummyBuffer1 ); return TA_ALLOC_ERR; } switch( outputNb ) { case 0: out1 = outputBuffer; out2 = dummyBuffer1; out3 = dummyBuffer2; break; case 1: out2 = outputBuffer; out1 = dummyBuffer1; out3 = dummyBuffer2; break; case 2: out3 = outputBuffer; out2 = dummyBuffer1; out1 = dummyBuffer2; break; default: TA_Free( dummyBuffer1 ); TA_Free( dummyBuffer2 ); return TA_BAD_PARAM; } switch( testParam->test->testId ) { case TA_MACDFIX_TEST: retCode = TA_MACDFIX( startIdx, endIdx, testParam->close, testParam->test->optInSignalPeriod_2, outBegIdx, outNbElement, out1, out2, out3 ); *lookback = TA_MACDFIX_Lookback( testParam->test->optInSignalPeriod_2 ); break; case TA_MACD_TEST: retCode = TA_MACD( startIdx, endIdx, testParam->close, testParam->test->optInFastPeriod, testParam->test->optInSlowPeriod, testParam->test->optInSignalPeriod_2, outBegIdx, outNbElement, out1, out2, out3 ); *lookback = TA_MACD_Lookback( testParam->test->optInFastPeriod, testParam->test->optInSlowPeriod, testParam->test->optInSignalPeriod_2 ); break; case TA_MACDEXT_TEST: retCode = TA_MACDEXT( startIdx, endIdx, testParam->close, testParam->test->optInFastPeriod, TA_MAType_EMA, testParam->test->optInSlowPeriod, TA_MAType_EMA, testParam->test->optInSignalPeriod_2, TA_MAType_EMA, outBegIdx, outNbElement, out1, out2, out3 ); *lookback = TA_MACDEXT_Lookback( testParam->test->optInFastPeriod, TA_MAType_EMA, testParam->test->optInSlowPeriod, TA_MAType_EMA, testParam->test->optInSignalPeriod_2, TA_MAType_EMA ); break; default: retCode = TA_BAD_PARAM; } TA_Free( dummyBuffer1 ); TA_Free( dummyBuffer2 ); return retCode; } static ErrorNumber do_test( const TA_History *history, const TA_Test *test ) { TA_RetCode retCode; ErrorNumber errNb; TA_Integer outBegIdx; TA_Integer outNbElement; TA_RangeTestParam testParam; retCode = TA_SetUnstablePeriod( TA_FUNC_UNST_EMA, 0 ); if( retCode != TA_SUCCESS ) return TA_TEST_TFRR_SETUNSTABLE_PERIOD_FAIL; TA_SetCompatibility( (TA_Compatibility)test->compatibility ); /* Set to NAN all the elements of the gBuffers. */ clearAllBuffers(); /* Build the input. */ setInputBuffer( 0, history->close, history->nbBars ); setInputBuffer( 1, history->close, history->nbBars ); setInputBuffer( 2, history->close, history->nbBars ); setInputBuffer( 3, history->close, history->nbBars ); CLEAR_EXPECTED_VALUE(0); CLEAR_EXPECTED_VALUE(1); CLEAR_EXPECTED_VALUE(2); /* Make a simple first call. */ switch( test->testId ) { case TA_MACDFIX_TEST: retCode = TA_MACDFIX( test->startIdx, test->endIdx, gBuffer[0].in, test->optInSignalPeriod_2, &outBegIdx, &outNbElement, gBuffer[0].out0, gBuffer[0].out1, gBuffer[0].out2 ); break; case TA_MACD_TEST: retCode = TA_MACD(test->startIdx, test->endIdx, gBuffer[0].in, test->optInFastPeriod, test->optInSlowPeriod, test->optInSignalPeriod_2, &outBegIdx, &outNbElement, gBuffer[0].out0, gBuffer[0].out1, gBuffer[0].out2 ); break; case TA_MACDEXT_TEST: retCode = TA_MACDEXT( test->startIdx, test->endIdx, gBuffer[0].in, test->optInFastPeriod, TA_MAType_EMA, test->optInSlowPeriod, TA_MAType_EMA, test->optInSignalPeriod_2, TA_MAType_EMA, &outBegIdx, &outNbElement, gBuffer[0].out0, gBuffer[0].out1, gBuffer[0].out2 ); break; } errNb = checkDataSame( gBuffer[0].in, history->close, history->nbBars ); if( errNb != TA_TEST_PASS ) return errNb; CHECK_EXPECTED_VALUE( gBuffer[0].out0, 0 ); CHECK_EXPECTED_VALUE( gBuffer[0].out1, 1 ); CHECK_EXPECTED_VALUE( gBuffer[0].out2, 2 ); outBegIdx = outNbElement = 0; /* Make another call where the input and the output are the * same buffer. */ switch( test->testId ) { case TA_MACDFIX_TEST: retCode = TA_MACDFIX( test->startIdx, test->endIdx, gBuffer[1].in, test->optInSignalPeriod_2, &outBegIdx, &outNbElement, gBuffer[1].in, gBuffer[1].out1, gBuffer[1].out2 ); break; case TA_MACD_TEST: retCode = TA_MACD(test->startIdx, test->endIdx, gBuffer[1].in, test->optInFastPeriod, test->optInSlowPeriod, test->optInSignalPeriod_2, &outBegIdx, &outNbElement, gBuffer[1].in, gBuffer[1].out1, gBuffer[1].out2 ); break; case TA_MACDEXT_TEST: retCode = TA_MACDEXT( test->startIdx, test->endIdx, gBuffer[1].in, test->optInFastPeriod, TA_MAType_EMA, test->optInSlowPeriod, TA_MAType_EMA, test->optInSignalPeriod_2, TA_MAType_EMA, &outBegIdx, &outNbElement, gBuffer[1].in, gBuffer[1].out1, gBuffer[1].out2 ); break; } /* The previous call should have the same output * as this call. * * checkSameContent verify that all value different than NAN in * the first parameter is identical in the second parameter. */ errNb = checkSameContent( gBuffer[0].out0, gBuffer[1].in ); if( errNb != TA_TEST_PASS ) return errNb; CHECK_EXPECTED_VALUE( gBuffer[1].in, 0 ); CHECK_EXPECTED_VALUE( gBuffer[1].out1, 1 ); CHECK_EXPECTED_VALUE( gBuffer[1].out2, 2 ); outBegIdx = outNbElement = 0; CLEAR_EXPECTED_VALUE(0); CLEAR_EXPECTED_VALUE(1); CLEAR_EXPECTED_VALUE(2); /* Make another call where the input and the output are the * same buffer. */ switch( test->testId ) { case TA_MACDFIX_TEST: retCode = TA_MACDFIX( test->startIdx, test->endIdx, gBuffer[2].in, test->optInSignalPeriod_2, &outBegIdx, &outNbElement, gBuffer[2].out1, gBuffer[2].in, gBuffer[2].out2 ); break; case TA_MACD_TEST: retCode = TA_MACD( test->startIdx, test->endIdx, gBuffer[2].in, test->optInFastPeriod, test->optInSlowPeriod, test->optInSignalPeriod_2, &outBegIdx, &outNbElement, gBuffer[2].out1, gBuffer[2].in, gBuffer[2].out2 ); break; case TA_MACDEXT_TEST: retCode = TA_MACDEXT( test->startIdx, test->endIdx, gBuffer[2].in, test->optInFastPeriod, TA_MAType_EMA, test->optInSlowPeriod, TA_MAType_EMA, test->optInSignalPeriod_2, TA_MAType_EMA, &outBegIdx, &outNbElement, gBuffer[2].out1, gBuffer[2].in, gBuffer[2].out2 ); break; } /* The previous call should have the same output * as this call. * * checkSameContent verify that all value different than NAN in * the first parameter is identical in the second parameter. */ errNb = checkSameContent( gBuffer[1].out1, gBuffer[2].in ); if( errNb != TA_TEST_PASS ) return errNb; CHECK_EXPECTED_VALUE( gBuffer[2].out1, 0 ); CHECK_EXPECTED_VALUE( gBuffer[2].in, 1 ); CHECK_EXPECTED_VALUE( gBuffer[2].out2, 2 ); outBegIdx = outNbElement = 0; CLEAR_EXPECTED_VALUE(0); CLEAR_EXPECTED_VALUE(1); CLEAR_EXPECTED_VALUE(2); /* Make another call where the input and the output are the * same buffer. */ switch( test->testId ) { case TA_MACDFIX_TEST: retCode = TA_MACDFIX( test->startIdx, test->endIdx, gBuffer[3].in, test->optInSignalPeriod_2, &outBegIdx, &outNbElement, gBuffer[3].out1, gBuffer[3].out2, gBuffer[3].in ); break; case TA_MACD_TEST: retCode = TA_MACD(test->startIdx, test->endIdx, gBuffer[3].in, test->optInFastPeriod, test->optInSlowPeriod, test->optInSignalPeriod_2, &outBegIdx, &outNbElement, gBuffer[3].out1, gBuffer[3].out2, gBuffer[3].in ); break; case TA_MACDEXT_TEST: retCode = TA_MACDEXT( test->startIdx, test->endIdx, gBuffer[3].in, test->optInFastPeriod, TA_MAType_EMA, test->optInSlowPeriod, TA_MAType_EMA, test->optInSignalPeriod_2, TA_MAType_EMA, &outBegIdx, &outNbElement, gBuffer[3].out1, gBuffer[3].out2, gBuffer[3].in ); break; } /* The previous call should have the same output * as this call. * * checkSameContent verify that all value different than NAN in * the first parameter is identical in the second parameter. */ errNb = checkSameContent( gBuffer[2].out2, gBuffer[3].in ); if( errNb != TA_TEST_PASS ) return errNb; CHECK_EXPECTED_VALUE( gBuffer[3].out1, 0 ); CHECK_EXPECTED_VALUE( gBuffer[3].out2, 1 ); CHECK_EXPECTED_VALUE( gBuffer[3].in, 2 ); /* Do a systematic test of most of the * possible startIdx/endIdx range. */ testParam.test = test; testParam.close = history->close; if( test->doRangeTestFlag ) { errNb = doRangeTest( rangeTestFunction, TA_FUNC_UNST_EMA, (void *)&testParam, 3, 0 ); if( errNb != TA_TEST_PASS ) return errNb; } return TA_TEST_PASS; }