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;
}
/* 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 */ }