Esempio n. 1
0
TA_RetCode TA_HT_PHASOR( TA_Integer    startIdx,
                         TA_Integer    endIdx,
                         const TA_Real inReal_0[],
                         TA_Integer   *outBegIdx,
                         TA_Integer   *outNbElement,
                         TA_Real       outInPhase_0[],
                         TA_Real       outQuadrature_1[] )
/**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/
{
	/* insert local variable here */

   int outIdx, i;
   int lookbackTotal, today;
   TA_Real tempReal, tempReal2;

   TA_Real adjustedPrevPeriod, period;

   /* Variable used for the price smoother (a weighted moving average). */
   unsigned int trailingWMAIdx;
   TA_Real periodWMASum, periodWMASub, trailingWMAValue;
   TA_Real smoothedValue;

   /* Variables used for the Hilbert Transormation */
   const double a = 0.0962;
   const double b = 0.5769;
   TA_Real hilbertTempReal;
   int hilbertIdx;

   HILBERT_VARIABLES( detrender );
   HILBERT_VARIABLES( Q1 );
   HILBERT_VARIABLES( jI );
   HILBERT_VARIABLES( jQ );

   TA_Real Q2, I2, prevQ2, prevI2, Re, Im;

   TA_Real I1ForOddPrev2,  I1ForOddPrev3;
   TA_Real I1ForEvenPrev2, I1ForEvenPrev3;

   TA_Real rad2Deg;

   TA_Real todayValue;

/**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/

#ifndef TA_FUNC_NO_RANGE_CHECK

   /* Validate the requested output range. */
   if( startIdx < 0 )
      return TA_OUT_OF_RANGE_START_INDEX;
   if( (endIdx < 0) || (endIdx < startIdx))
      return TA_OUT_OF_RANGE_END_INDEX;

   /* Validate the parameters. */
   if( !inReal_0 ) return TA_BAD_PARAM;
   if( outInPhase_0 == NULL )
      return TA_BAD_PARAM;

   if( outQuadrature_1 == NULL )
      return TA_BAD_PARAM;

#endif /* TA_FUNC_NO_RANGE_CHECK */

/**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/

   /* Insert TA function code here. */

   /* Constant */
   rad2Deg = 180.0 / (4.0 * atan(1));

   /* Identify the minimum number of price bar needed
    * to calculate at least one output.
    */
   lookbackTotal = 32 + TA_Globals.unstablePeriod[TA_FUNC_UNST_HT_PHASOR];

   /* Move up the start index if there is not
    * enough initial data.
    */
   if( startIdx < lookbackTotal )
      startIdx = lookbackTotal;

   /* Make sure there is still something to evaluate. */
   if( startIdx > endIdx )
   {
      *outBegIdx = 0;
      *outNbElement = 0;
      return TA_SUCCESS;
   }

   *outBegIdx = startIdx;

   /* Initialize the price smoother, which is simply a weighted
    * moving average of the price.
    * To understand this algorithm, I strongly suggest to understand
    * first how TA_WMA is done.
    */
   trailingWMAIdx = startIdx - lookbackTotal;
   today = trailingWMAIdx;

   /* Initialization is same as WMA, except loop is unrolled
    * for speed optimization.
    */
   tempReal = inReal_0[today++];
   periodWMASub = tempReal;
   periodWMASum = tempReal;
   tempReal = inReal_0[today++];
   periodWMASub += tempReal;
   periodWMASum += tempReal*2.0;
   tempReal = inReal_0[today++];
   periodWMASub += tempReal;
   periodWMASum += tempReal*3.0;

   trailingWMAValue = 0.0;

   /* Subsequent WMA value are evaluated by using
    * the DO_PRICE_WMA macro.
    */
   #define DO_PRICE_WMA(varNewPrice,varToStoreSmoothedValue) { \
      periodWMASub     += varNewPrice; \
      periodWMASub     -= trailingWMAValue; \
      periodWMASum     += varNewPrice*4.0; \
      trailingWMAValue  = inReal_0[trailingWMAIdx++]; \
      varToStoreSmoothedValue = periodWMASum*0.1; \
      periodWMASum -= periodWMASub; \
   }

   i = 9;
   do
   {
      tempReal = inReal_0[today++];
      DO_PRICE_WMA(tempReal,smoothedValue);
   } while( --i != 0);

   /* Initialize the circular buffers used by the hilbert
    * transform logic. 
    * A buffer is used for odd day and another for even days.
    * This minimize the number of memory access and floating point
    * operations needed (note also that by using static circular buffer, 
    * no large dynamic memory allocation is needed for storing
    * intermediate calculation!).
    */
   hilbertIdx = 0;

   INIT_HILBERT_VARIABLES(detrender);
   INIT_HILBERT_VARIABLES(Q1);
   INIT_HILBERT_VARIABLES(jI);
   INIT_HILBERT_VARIABLES(jQ);

   period = 0.0;
   outIdx = 0;

   prevI2 = prevQ2 = 0.0;
   Re     = Im     = 0.0;
   I1ForOddPrev3 = I1ForEvenPrev3 = 0.0;
   I1ForOddPrev2 = I1ForEvenPrev2 = 0.0;

   /* The code is speed optimized and is most likely very
    * hard to follow if you do not already know well the
    * original algorithm.
    * To understadn better, it is strongly suggested to look 
    * first at the Excel implementation in "test_MAMA.xls" included
    * in this package.
    */
   while( today <= endIdx )
   {
      adjustedPrevPeriod = (0.075*period)+0.54;

      todayValue = inReal_0[today];
      DO_PRICE_WMA(todayValue,smoothedValue);

      if( today & 1 )
      {
         /* Do the Hilbert Transforms for even price bar */
         DO_HILBERT_EVEN(detrender,smoothedValue);
         DO_HILBERT_EVEN(Q1,detrender);
         if( today >= startIdx )
         {
            outQuadrature_1[outIdx] = Q1;
            outInPhase_0[outIdx++] = I1ForEvenPrev3;
         }
         DO_HILBERT_EVEN(jI,I1ForEvenPrev3);
         DO_HILBERT_EVEN(jQ,Q1);
         if( ++hilbertIdx == 3 )
            hilbertIdx = 0;

         Q2 = (0.2*(Q1 + jI)) + (0.8*prevQ2);
         I2 = (0.2*(I1ForEvenPrev3 - jQ)) + (0.8*prevI2);

         /* The variable I1 is the detrender delayed for
          * 3 price bars. 
          *
          * Save the current detrender value for being
          * used by the "odd" logic later.
          */
         I1ForOddPrev3 = I1ForOddPrev2;
         I1ForOddPrev2 = detrender;
      
      }
      else
      {
         /* Do the Hilbert Transforms for odd price bar */
         DO_HILBERT_ODD(detrender,smoothedValue);
         DO_HILBERT_ODD(Q1,detrender);
         if( today >= startIdx )
         {
            outQuadrature_1[outIdx] = Q1;
            outInPhase_0[outIdx++] = I1ForOddPrev3;
         }
         DO_HILBERT_ODD(jI,I1ForOddPrev3);
         DO_HILBERT_ODD(jQ,Q1);

         Q2 = (0.2*(Q1 + jI)) + (0.8*prevQ2);
         I2 = (0.2*(I1ForOddPrev3 - jQ)) + (0.8*prevI2);

         /* The varaiable I1 is the detrender delayed for
          * 3 price bars. 
          *
          * Save the current detrender value for being
          * used by the "odd" logic later.
          */
         I1ForEvenPrev3 = I1ForEvenPrev2;
         I1ForEvenPrev2 = detrender;
      }

      /* Adjust the period for next price bar */
      Re = (0.2*((I2*prevI2)+(Q2*prevQ2)))+(0.8*Re);
      Im = (0.2*((I2*prevQ2)-(Q2*prevI2)))+(0.8*Im);
      prevQ2 = Q2;
      prevI2 = I2;
      tempReal = period;
      if( (Im != 0.0) && (Re != 0.0) )
         period = 360.0 / (atan(Im/Re)*rad2Deg);
      tempReal2 = 1.5*tempReal;
      if( period > tempReal2)
         period = tempReal2;
      tempReal2 = 0.67*tempReal;
      if( period < tempReal2 )
         period = tempReal2;
      if( period < 6 )
         period = 6;
      else if( period > 50 )
         period = 50;
      period = (0.2*period) + (0.8 * tempReal);

      /* Ooof... let's do the next price bar now! */
      today++;
   }

   /* Default return values */
   *outNbElement = outIdx;

   return TA_SUCCESS;
}
Esempio n. 2
0
/* Generated */ TA_RetCode TA_S_MAMA( int    startIdx,
/* Generated */                       int    endIdx,
/* Generated */                       const float  inReal_0[],
/* Generated */                       double        optInFastLimit_0, /* From 0.01 to 0.99 */
/* Generated */                       double        optInSlowLimit_1, /* From 0.01 to 0.99 */
/* Generated */                       int          *outBegIdx,
/* Generated */                       int          *outNbElement,
/* Generated */                       double        outMAMA_0[],
/* Generated */                       double        outFAMA_1[] )
/* Generated */ #endif
/* Generated */ {
/* Generated */    int outIdx, i;
/* Generated */    int lookbackTotal, today;
/* Generated */    double tempReal, tempReal2;
/* Generated */    double adjustedPrevPeriod, period;
/* Generated */    unsigned int trailingWMAIdx;
/* Generated */    double periodWMASum, periodWMASub, trailingWMAValue;
/* Generated */    double smoothedValue;
/* Generated */    const double a = 0.0962;
/* Generated */    const double b = 0.5769;
/* Generated */    double hilbertTempReal;
/* Generated */    int hilbertIdx;
/* Generated */    HILBERT_VARIABLES( detrender );
/* Generated */    HILBERT_VARIABLES( Q1 );
/* Generated */    HILBERT_VARIABLES( jI );
/* Generated */    HILBERT_VARIABLES( jQ );
/* Generated */    double Q2, I2, prevQ2, prevI2, Re, Im;
/* Generated */    double I1ForOddPrev2,  I1ForOddPrev3;
/* Generated */    double I1ForEvenPrev2, I1ForEvenPrev3;
/* Generated */    double rad2Deg;
/* Generated */    double mama,fama,todayValue,prevPhase;
/* Generated */  #ifndef TA_FUNC_NO_RANGE_CHECK
/* Generated */     if( startIdx < 0 )
/* Generated */        return TA_OUT_OF_RANGE_START_INDEX;
/* Generated */     if( (endIdx < 0) || (endIdx < startIdx))
/* Generated */        return TA_OUT_OF_RANGE_END_INDEX;
/* Generated */     if( !inReal_0 ) return TA_BAD_PARAM;
/* Generated */     if( optInFastLimit_0 == TA_REAL_DEFAULT )
/* Generated */        optInFastLimit_0 = 5.000000e-1;
/* Generated */     else if( (optInFastLimit_0 < 1.000000e-2) ||  (optInFastLimit_0 > 9.900000e-1) )
/* Generated */        return TA_BAD_PARAM;
/* Generated */     if( optInSlowLimit_1 == TA_REAL_DEFAULT )
/* Generated */        optInSlowLimit_1 = 5.000000e-2;
/* Generated */     else if( (optInSlowLimit_1 < 1.000000e-2) ||  (optInSlowLimit_1 > 9.900000e-1) )
/* Generated */        return TA_BAD_PARAM;
/* Generated */     if( outMAMA_0 == NULL )
/* Generated */        return TA_BAD_PARAM;
/* Generated */     if( outFAMA_1 == NULL )
/* Generated */        return TA_BAD_PARAM;
/* Generated */  #endif 
/* Generated */    rad2Deg = 180.0 / (4.0 * atan(1));
/* Generated */    lookbackTotal = 32 + TA_Globals->unstablePeriod[TA_FUNC_UNST_MAMA];
/* Generated */    if( startIdx < lookbackTotal )
/* Generated */       startIdx = lookbackTotal;
/* Generated */    if( startIdx > endIdx )
/* Generated */    {
/* Generated */       *outBegIdx = 0;
/* Generated */       *outNbElement = 0;
/* Generated */       return TA_SUCCESS;
/* Generated */    }
/* Generated */    *outBegIdx = startIdx;
/* Generated */    trailingWMAIdx = startIdx - lookbackTotal;
/* Generated */    today = trailingWMAIdx;
/* Generated */    tempReal = inReal_0[today++];
/* Generated */    periodWMASub = tempReal;
/* Generated */    periodWMASum = tempReal;
/* Generated */    tempReal = inReal_0[today++];
/* Generated */    periodWMASub += tempReal;
/* Generated */    periodWMASum += tempReal*2.0;
/* Generated */    tempReal = inReal_0[today++];
/* Generated */    periodWMASub += tempReal;
/* Generated */    periodWMASum += tempReal*3.0;
/* Generated */    trailingWMAValue = 0.0;
/* Generated */    #define DO_PRICE_WMA(varNewPrice,varToStoreSmoothedValue) { \
/* Generated */       periodWMASub     += varNewPrice; \
/* Generated */       periodWMASub     -= trailingWMAValue; \
/* Generated */       periodWMASum     += varNewPrice*4.0; \
/* Generated */       trailingWMAValue  = inReal_0[trailingWMAIdx++]; \
/* Generated */       varToStoreSmoothedValue = periodWMASum*0.1; \
/* Generated */       periodWMASum -= periodWMASub; \
/* Generated */    }
/* Generated */    i = 9;
/* Generated */    do
/* Generated */    {
/* Generated */       tempReal = inReal_0[today++];
/* Generated */       DO_PRICE_WMA(tempReal,smoothedValue);
/* Generated */    } while( --i != 0);
/* Generated */    hilbertIdx = 0;
/* Generated */    INIT_HILBERT_VARIABLES(detrender);
/* Generated */    INIT_HILBERT_VARIABLES(Q1);
/* Generated */    INIT_HILBERT_VARIABLES(jI);
/* Generated */    INIT_HILBERT_VARIABLES(jQ);
/* Generated */    period = 0.0;
/* Generated */    outIdx = 0;
/* Generated */    prevI2 = prevQ2 = 0.0;
/* Generated */    Re     = Im     = 0.0;
/* Generated */    mama   = fama   = 0.0;
/* Generated */    I1ForOddPrev3 = I1ForEvenPrev3 = 0.0;
/* Generated */    I1ForOddPrev2 = I1ForEvenPrev2 = 0.0;
/* Generated */    prevPhase  = 0.0;
/* Generated */    while( today <= endIdx )
/* Generated */    {
/* Generated */       adjustedPrevPeriod = (0.075*period)+0.54;
/* Generated */       todayValue = inReal_0[today];
/* Generated */       DO_PRICE_WMA(todayValue,smoothedValue);
/* Generated */       if( today & 1 )
/* Generated */       {
/* Generated */          DO_HILBERT_EVEN(detrender,smoothedValue);
/* Generated */          DO_HILBERT_EVEN(Q1,detrender);
/* Generated */          DO_HILBERT_EVEN(jI,I1ForEvenPrev3);
/* Generated */          DO_HILBERT_EVEN(jQ,Q1);
/* Generated */          if( ++hilbertIdx == 3 )
/* Generated */             hilbertIdx = 0;
/* Generated */          Q2 = (0.2*(Q1 + jI)) + (0.8*prevQ2);
/* Generated */          I2 = (0.2*(I1ForEvenPrev3 - jQ)) + (0.8*prevI2);
/* Generated */          I1ForOddPrev3 = I1ForOddPrev2;
/* Generated */          I1ForOddPrev2 = detrender;
/* Generated */          if( I1ForEvenPrev3 != 0.0 )
/* Generated */             tempReal2 = (atan(Q1/I1ForEvenPrev3)*rad2Deg);
/* Generated */          else
/* Generated */             tempReal2 = 0.0;
/* Generated */       }
/* Generated */       else
/* Generated */       {
/* Generated */          DO_HILBERT_ODD(detrender,smoothedValue);
/* Generated */          DO_HILBERT_ODD(Q1,detrender);
/* Generated */          DO_HILBERT_ODD(jI,I1ForOddPrev3);
/* Generated */          DO_HILBERT_ODD(jQ,Q1);
/* Generated */          Q2 = (0.2*(Q1 + jI)) + (0.8*prevQ2);
/* Generated */          I2 = (0.2*(I1ForOddPrev3 - jQ)) + (0.8*prevI2);
/* Generated */          I1ForEvenPrev3 = I1ForEvenPrev2;
/* Generated */          I1ForEvenPrev2 = detrender;
/* Generated */          if( I1ForOddPrev3 != 0.0 )
/* Generated */             tempReal2 = (atan(Q1/I1ForOddPrev3)*rad2Deg);
/* Generated */          else
/* Generated */             tempReal2 = 0.0;
/* Generated */       }
/* Generated */       tempReal  = prevPhase - tempReal2;
/* Generated */       prevPhase = tempReal2;
/* Generated */       if( tempReal < 1.0 )
/* Generated */          tempReal = 1.0;
/* Generated */       if( tempReal > 1.0 )
/* Generated */       {
/* Generated */          tempReal = optInFastLimit_0/tempReal;
/* Generated */          if( tempReal < optInSlowLimit_1 )
/* Generated */             tempReal = optInSlowLimit_1;
/* Generated */       }
/* Generated */       else
/* Generated */       {
/* Generated */          tempReal = optInFastLimit_0;
/* Generated */       }  
/* Generated */       mama = (tempReal*todayValue)+((1-tempReal)*mama);
/* Generated */       tempReal *= 0.5;
/* Generated */       fama = (tempReal*mama)+((1-tempReal)*fama);
/* Generated */       if( today >= startIdx )
/* Generated */       {
/* Generated */          outMAMA_0[outIdx] = mama;
/* Generated */          outFAMA_1[outIdx++] = fama;
/* Generated */       }
/* Generated */       Re = (0.2*((I2*prevI2)+(Q2*prevQ2)))+(0.8*Re);
/* Generated */       Im = (0.2*((I2*prevQ2)-(Q2*prevI2)))+(0.8*Im);
/* Generated */       prevQ2 = Q2;
/* Generated */       prevI2 = I2;
/* Generated */       tempReal = period;
/* Generated */       if( (Im != 0.0) && (Re != 0.0) )
/* Generated */          period = 360.0 / (atan(Im/Re)*rad2Deg);
/* Generated */       tempReal2 = 1.5*tempReal;
/* Generated */       if( period > tempReal2)
/* Generated */          period = tempReal2;
/* Generated */       tempReal2 = 0.67*tempReal;
/* Generated */       if( period < tempReal2 )
/* Generated */          period = tempReal2;
/* Generated */       if( period < 6 )
/* Generated */          period = 6;
/* Generated */       else if( period > 50 )
/* Generated */          period = 50;
/* Generated */       period = (0.2*period) + (0.8 * tempReal);
/* Generated */       today++;
/* Generated */    }
/* Generated */    *outNbElement = outIdx;
/* Generated */    return TA_SUCCESS;
/* Generated */ }