TEST(TA_MACD, test_ta_lib_for_macd) {
int result =
MQL4::mapRatesData.get_forex_data("/home/sean/projects/quants/gom/data");
EXPECT_EQ(result, 0);
std::string symbol_name("USDJPY");
MQL4::RatesData *rd = MQL4::mapRatesData.getSymbol(
MQL4::MARKET_FOREX_FURTURES, symbol_name, MQL4::PERIOD_M1);
EXPECT_NE((void*)rd, (void*)0);
double *outMACD_1 = new double[rd->rs.size * 3];
double *outMACDSignal_1 = outMACD_1 + rd->rs.size;
double *outMACDHist_1 = outMACD_1 + rd->rs.size * 2;
int outBegIdx, outNBElement;
int period = 1;
int fastPeriod = 20; /* From 2 to 100000 */
int slowPeriod = 40; /* From 2 to 100000 */
TA_RetCode code = TA_MACD(0, (int)rd->rs.amount - 1, rd->rs.close, fastPeriod,
slowPeriod, period, /* From 1 to 100000 */
&outBegIdx, &outNBElement, outMACD_1,
outMACDSignal_1, outMACDHist_1);
EXPECT_EQ(code, 0);
EXPECT_EQ(outBegIdx, slowPeriod - 2);
EXPECT_EQ(outNBElement, (int)rd->rs.amount - outBegIdx - 2);
ofstream fout("test-macd.csv");
fout << "Close Price, macd, signal, hist, macd_, signal_, hist_\n";
for (int i = 0; i < outNBElement; ++i) {
if (i < outBegIdx)
fout << rd->rs.close[i] << ", "
<< ", "
<< ", " << endl;
else
fout << rd->rs.close[i] << ", " << outMACD_1[i] << ", "
<< outMACDSignal_1[i] << ", " << outMACDHist_1[i] << endl;
}
fout.close();
delete[] outMACD_1;
MQL4::mapRatesData.releaseRatesFromMap();
}
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( 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;
}
/**** 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;
}
