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; }