hikyuu2/hikyuu_cpp/hikyuu/indicator/imp/SaftyLoss.cpp

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/*
* SaftyLoss.cpp
*
* Created on: 2013-4-12
* Author: fasiondog
*/
#include "SaftyLoss.h"
namespace hku {
SaftyLoss::SaftyLoss():IndicatorImp("SAFTYLOSS", 1) {
setParam<int>("n1", 10);
setParam<int>("n2", 3);
setParam<double>("p", 2.0);
}
SaftyLoss::~SaftyLoss() {
}
bool SaftyLoss::check() {
int n1 = getParam<int>("n1");
int n2 = getParam<int>("n2");
if (n1 < 2) {
HKU_ERROR("Invalid param[n1] must >= 2 ! [SaftyLoss::SaftyLoss]");
return false;
}
if (n2 < 1) {
HKU_ERROR("Invalid param[n2] must >= 1 ! [SaftyLoss::SaftyLoss]");
return false;
}
return true;
}
void SaftyLoss::_calculate(const Indicator& data) {
size_t total = data.size();
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if (total == 0) {
return;
}
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_readyBuffer(total, 1);
int n1 = getParam<int>("n1");
int n2 = getParam<int>("n2");
double p = getParam<double>("p");
m_discard = data.discard() + n1 + n2 - 2;
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if (m_discard >= total) {
m_discard = total;
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return;
}
price_t sum = 0.0;
size_t num = 0;
price_t result = 0.0;
size_t start = discard();
for (size_t i = start; i < total; ++i) {
result = 0.0;
for (size_t j = i + 1 - n2; j <= i; ++j) {
sum = 0.0;
num = 0;
for (size_t k = j + 2 -n1; k <=j; ++k) {
price_t pre = data[k-1];
price_t cur = data[k];
if (pre > cur) {
sum += pre - cur;
++num;
}
}
price_t temp = data[j];
if (num != 0) {
temp = temp - (p * sum / num);
}
if (temp > result) {
result = temp;
}
}
_set(result, i);
}
}
Indicator HKU_API SAFTYLOSS(int n1, int n2, double p) {
IndicatorImpPtr result = make_shared<SaftyLoss>();
result->setParam<int>("n1", n1);
result->setParam<int>("n2", n2);
result->setParam<double>("p", p);
return Indicator(result);
}
Indicator HKU_API SAFTYLOSS(const Indicator& data, int n1, int n2, double p) {
return SAFTYLOSS(n1, n2, p)(data);
}
} /* namespace hku */