/* 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. * 061904 MF Add test to detect cummulative errors in CCI algorithm * when some values were close to zero (epsilon). * 021106 MF Add tests for ULTOSC. * 042206 MF Add tests for NATR * */ /* Description: * * Test functions which have the following * characterisic: * - the input is high,low and close. * */ /**** Headers ****/ #include #include #include "ta_test_priv.h" #include "ta_test_func.h" #include "ta_utility.h" /**** External functions declarations. ****/ /* None */ /**** External variables declarations. ****/ /* None */ /**** Global variables definitions. ****/ /* None */ /**** Local declarations. ****/ typedef enum { TA_CCI_TEST, TA_WILLR_TEST, TA_ULTOSC_TEST, TA_NATR_TEST } TA_TestId; typedef struct { TA_Integer doRangeTestFlag; TA_TestId theFunction; TA_Integer startIdx; TA_Integer endIdx; TA_Integer optInTimePeriod1; TA_Integer optInTimePeriod2; TA_Integer optInTimePeriod3; TA_RetCode expectedRetCode; TA_Integer oneOfTheExpectedOutRealIndex0; TA_Real oneOfTheExpectedOutReal0; TA_Integer expectedBegIdx; TA_Integer expectedNbElement; } TA_Test; typedef struct { const TA_Test *test; const TA_Real *high; const TA_Real *low; 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[] = { /****************/ /* NATR TEST */ /****************/ /* TODO Analyze further why NATR requires a very large unstable period. * for now, just disable range testing. */ { 0, TA_NATR_TEST, 0, 251, 14, 0, 0, TA_SUCCESS, 0, 3.9321, 14, 252-14 }, { 0, TA_NATR_TEST, 0, 251, 14, 0, 0, TA_SUCCESS, 1, 3.7576, 14, 252-14 }, { 0, TA_NATR_TEST, 0, 251, 14, 0, 0, TA_SUCCESS, 252-15, 3.0229, 14, 252-14 }, /****************/ /* ULTOSC TEST */ /****************/ { 0, TA_ULTOSC_TEST, 0, 251, 7, 14, 28, TA_SUCCESS, 0, 47.1713, 28, 252-28 }, { 0, TA_ULTOSC_TEST, 0, 251, 7, 14, 28, TA_SUCCESS, 1, 46.2802, 28, 252-28 }, { 1, TA_ULTOSC_TEST, 0, 251, 7, 14, 28, TA_SUCCESS, 252-29, 40.0854, 28, 252-28 }, /****************/ /* WILLR TEST */ /****************/ { 0, TA_WILLR_TEST, 13, 251, 14, 0, 0, TA_SUCCESS, 1, -66.9903, 13, 252-13 }, /* First Value */ { 1, TA_WILLR_TEST, 0, 251, 14, 0, 0, TA_SUCCESS, 0, -90.1943, 13, 252-13 }, { 0, TA_WILLR_TEST, 0, 251, 14, 0, 0, TA_SUCCESS, 112, 0.0, 13, 252-13 }, { 0, TA_WILLR_TEST, 24, 24, 14, 0, 0, TA_SUCCESS, 0, -89.2857, 24, 1 }, { 0, TA_WILLR_TEST, 25, 25, 14, 0, 0, TA_SUCCESS, 0, -97.2602, 25, 1 }, { 0, TA_WILLR_TEST, 26, 26, 14, 0, 0, TA_SUCCESS, 0, -71.5482, 26, 1 }, { 0, TA_WILLR_TEST, 251, 251, 14, 0, 0, TA_SUCCESS, 0, -59.1515, 251, 1 }, { 0, TA_WILLR_TEST, 14, 251, 14, 0, 0, TA_SUCCESS, 252-15, -59.1515, 14, 252-14 }, /****************/ /* CCI TEST */ /****************/ /* The following two should always be identical. */ { 0, TA_CCI_TEST, 186,187, 2, 0, 0, TA_SUCCESS, 1, 0.0, 186, 2 }, { 0, TA_CCI_TEST, 187,187, 2, 0, 0, TA_SUCCESS, 0, 0.0, 187, 1 }, /* Test period 2, 5 and 11 */ { 0, TA_CCI_TEST, 0, 251, 2, 0, 0, TA_SUCCESS, 0, 66.666, 1, 252-1 }, { 1, TA_CCI_TEST, 0, 251, 5, 0, 0, TA_SUCCESS, 0, 18.857, 4, 252-4 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 0, 87.927, 10, 252-10 }, /* First Value */ { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 1, 180.005, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 2, 143.5190963, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 3, -113.8669783, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 4, -111.064497, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 5, -26.77393309, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 6, -70.77933765, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 7, -83.15662884, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 8, -41.14421073, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 9, -49.63059589, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 10, -86.45142995, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 11, -105.6275799, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 12, -157.698269, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 13, -190.5251436, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 14, -142.8364298, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 15, -122.4448056, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 16, -79.95100041, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 17, 22.03829204, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 18, 7.765575065, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 19, 32.38905945, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 20, -0.005587727, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 21, 43.84607294, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 22, 40.35152301, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 23, 92.89237535, 10, 252-10 }, { 0, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 24, 113.4778681, 10, 252-10 }, { 1, TA_CCI_TEST, 0, 251, 11, 0, 0, TA_SUCCESS, 252-11, -169.65514, 10, 252-10 }, /* Last Value */ }; #define NB_TEST (sizeof(tableTest)/sizeof(TA_Test)) /**** Global functions definitions. ****/ ErrorNumber test_func_per_hlc( TA_History *history ) { unsigned int i; ErrorNumber retValue; /* Re-initialize all the unstable period to zero. */ TA_SetUnstablePeriod( TA_FUNC_UNST_ALL, 0 ); for( i=0; i < NB_TEST; i++ ) { if( (int)tableTest[i].expectedNbElement > (int)history->nbBars ) { printf( "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( "Failed Test #%d (Code=%d)\n", i, retValue ); return retValue; } } /* Re-initialize all the unstable period to zero. */ TA_SetUnstablePeriod( TA_FUNC_UNST_ALL, 0 ); /* 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; (void)outputNb; (void)outputBufferInt; *isOutputInteger = 0; testParam = (TA_RangeTestParam *)opaqueData; switch( testParam->test->theFunction ) { case TA_NATR_TEST: retCode = TA_NATR( startIdx, endIdx, testParam->high, testParam->low, testParam->close, testParam->test->optInTimePeriod1, outBegIdx, outNbElement, outputBuffer ); *lookback = TA_NATR_Lookback( testParam->test->optInTimePeriod1 ); break; case TA_CCI_TEST: retCode = TA_CCI( startIdx, endIdx, testParam->high, testParam->low, testParam->close, testParam->test->optInTimePeriod1, outBegIdx, outNbElement, outputBuffer ); *lookback = TA_CCI_Lookback( testParam->test->optInTimePeriod1 ); break; case TA_WILLR_TEST: retCode = TA_WILLR( startIdx, endIdx, testParam->high, testParam->low, testParam->close, testParam->test->optInTimePeriod1, outBegIdx, outNbElement, outputBuffer ); *lookback = TA_WILLR_Lookback( testParam->test->optInTimePeriod1 ); break; case TA_ULTOSC_TEST: retCode = TA_ULTOSC( startIdx, endIdx, testParam->high, testParam->low, testParam->close, testParam->test->optInTimePeriod1, testParam->test->optInTimePeriod2, testParam->test->optInTimePeriod3, outBegIdx, outNbElement, outputBuffer ); *lookback = TA_ULTOSC_Lookback( testParam->test->optInTimePeriod1, testParam->test->optInTimePeriod2, testParam->test->optInTimePeriod3 ); break; default: retCode = TA_INTERNAL_ERROR(132); } return retCode; } static TA_RetCode do_call( const TA_Test *test, const double high[], const double low[], const double close[], int *outBegIdx, int *outNbElement, double output[] ) { TA_RetCode retCode; switch( test->theFunction ) { case TA_NATR_TEST: retCode = TA_NATR( test->startIdx, test->endIdx, high, low, close, test->optInTimePeriod1, outBegIdx, outNbElement, output ); break; case TA_CCI_TEST: retCode = TA_CCI( test->startIdx, test->endIdx, high, low, close, test->optInTimePeriod1, outBegIdx, outNbElement, output ); break; case TA_WILLR_TEST: retCode = TA_WILLR( test->startIdx, test->endIdx, high, low, close, test->optInTimePeriod1, outBegIdx, outNbElement, output ); break; case TA_ULTOSC_TEST: retCode = TA_ULTOSC( test->startIdx, test->endIdx, high, low, close, test->optInTimePeriod1, test->optInTimePeriod2, test->optInTimePeriod3, outBegIdx, outNbElement, output ); break; default: retCode = TA_INTERNAL_ERROR(133); } 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; /* Set to NAN all the elements of the gBuffers. */ clearAllBuffers(); /* Build the input. */ setInputBuffer( 0, history->high, history->nbBars ); setInputBuffer( 1, history->low, history->nbBars ); setInputBuffer( 2, history->close, history->nbBars ); /* Make a simple first call. */ retCode = do_call( test, gBuffer[0].in, gBuffer[1].in, gBuffer[2].in, &outBegIdx, &outNbElement, gBuffer[0].out0 ); /* Check that the input were preserved. */ errNb = checkDataSame( gBuffer[0].in, history->high,history->nbBars ); if( errNb != TA_TEST_PASS ) return errNb; errNb = checkDataSame( gBuffer[1].in, history->low, history->nbBars ); if( errNb != TA_TEST_PASS ) return errNb; errNb = checkDataSame( gBuffer[2].in, history->close,history->nbBars ); if( errNb != TA_TEST_PASS ) return errNb; CHECK_EXPECTED_VALUE( gBuffer[0].out0, 0 ); outBegIdx = outNbElement = 0; /* Make another call where the input and the output are the * same buffer. */ retCode = do_call( test, gBuffer[0].in, gBuffer[1].in, gBuffer[2].in, &outBegIdx, &outNbElement, gBuffer[0].in ); /* Check that the input were preserved. */ errNb = checkDataSame( gBuffer[1].in, history->low, history->nbBars ); if( errNb != TA_TEST_PASS ) return errNb; errNb = checkDataSame( gBuffer[2].in, history->close,history->nbBars ); if( errNb != TA_TEST_PASS ) return errNb; /* 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[0].in ); if( errNb != TA_TEST_PASS ) return errNb; CHECK_EXPECTED_VALUE( gBuffer[0].in, 0 ); setInputBuffer( 0, history->high, history->nbBars ); /* Make another call where the input and the output are the * same buffer. */ retCode = do_call( test, gBuffer[0].in, gBuffer[1].in, gBuffer[2].in, &outBegIdx, &outNbElement, gBuffer[1].in ); /* Check that the input were preserved. */ errNb = checkDataSame( gBuffer[0].in, history->high,history->nbBars ); if( errNb != TA_TEST_PASS ) return errNb; errNb = checkDataSame( gBuffer[2].in, history->close,history->nbBars ); if( errNb != TA_TEST_PASS ) return errNb; /* 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 ); setInputBuffer( 1, history->low, history->nbBars ); /* Make another call where the input and the output are the * same buffer. */ retCode = do_call( test, gBuffer[0].in, gBuffer[1].in, gBuffer[2].in, &outBegIdx, &outNbElement, gBuffer[2].in ); /* Check that the input were preserved. */ errNb = checkDataSame( gBuffer[0].in, history->high,history->nbBars ); if( errNb != TA_TEST_PASS ) return errNb; errNb = checkDataSame( gBuffer[1].in, history->low, history->nbBars ); if( errNb != TA_TEST_PASS ) return errNb; /* 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[2].in ); if( errNb != TA_TEST_PASS ) return errNb; CHECK_EXPECTED_VALUE( gBuffer[2].in, 0 ); setInputBuffer( 2, history->close, history->nbBars ); /* Do a systematic test of most of the * possible startIdx/endIdx range. */ testParam.test = test; testParam.high = history->high; testParam.low = history->low; testParam.close = history->close; if( test->doRangeTestFlag ) { switch( test->theFunction ) { case TA_NATR_TEST: errNb = doRangeTest( rangeTestFunction, TA_FUNC_UNST_NATR, (void *)&testParam, 1, 0 ); break; default: errNb = doRangeTest( rangeTestFunction, TA_FUNC_UNST_NONE, (void *)&testParam, 1, 0 ); break; } if( errNb != TA_TEST_PASS ) return errNb; } return TA_TEST_PASS; }