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spearman(continue)
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fasiondog
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00a2dfb37c
@ -1568,7 +1568,7 @@ static void spearmanLevel(const IndicatorImp::value_t *data, IndicatorImp::value
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std::sort(
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data_index.begin(), data_index.end(),
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std::bind(
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std::greater<IndicatorImp::value_t>(),
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std::less<IndicatorImp::value_t>(),
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std::bind(&std::pair<IndicatorImp::value_t, size_t>::first, std::placeholders::_1),
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std::bind(&std::pair<IndicatorImp::value_t, size_t>::first, std::placeholders::_2)));
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@ -1620,8 +1620,11 @@ void IndicatorImp::execute_spearman() {
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return;
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}
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discard++;
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setDiscard(discard);
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size_t startPos = discard;
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size_t first_end = startPos + n >= total ? total : startPos + n;
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size_t first_end = startPos + n - 1 >= total ? total : startPos + n - 1;
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auto levela = std::make_unique<value_t[]>(n);
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auto levelb = std::make_unique<value_t[]>(n);
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@ -1636,8 +1639,8 @@ void IndicatorImp::execute_spearman() {
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size_t n1 = 2;
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auto const *a = maxdata + startPos + 1 - n1;
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auto const *b = mindata + startPos + startPos + 2 - diff - n1;
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for (size_t i = startPos + 1; i < first_end; i++) {
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auto const *b = mindata + startPos + 1 - diff - n1;
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for (size_t i = startPos; i < first_end; i++) {
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spearmanLevel(a, ptra, n1);
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spearmanLevel(b, ptrb, n1);
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value_t sum = 0.0;
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@ -1645,16 +1648,12 @@ void IndicatorImp::execute_spearman() {
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sum += std::pow(ptra[j] - ptrb[j], 2);
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}
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dst[i] = 1 - 6.0 * sum / (std::pow(value_t(n1), 3) - n1);
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a++;
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b++;
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n1++;
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}
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// auto const *a = maxdata + discard - n;
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// auto const *b = mindata + discard + discard - diff - n;
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for (size_t i = discard; i < total; ++i) {
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// auto *ptra = levela.get();
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// auto *ptrb = levelb.get();
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a++;
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b++;
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for (size_t i = first_end; i < total; ++i) {
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spearmanLevel(a, ptra, n);
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spearmanLevel(b, ptrb, n);
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value_t sum = 0.0;
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@ -1666,8 +1665,6 @@ void IndicatorImp::execute_spearman() {
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b++;
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}
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}
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setDiscard(discard + 2);
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}
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void IndicatorImp::_dyn_calculate(const Indicator &ind) {
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194
hikyuu_cpp/unit_test/hikyuu/indicator/test_SPEARMAN.cpp
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194
hikyuu_cpp/unit_test/hikyuu/indicator/test_SPEARMAN.cpp
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@ -0,0 +1,194 @@
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/*
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* test_COS.cpp
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*
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* Copyright (c) 2019 hikyuu.org
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*
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* Created on: 2019-5-1
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* Author: fasiondog
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*/
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#include "../test_config.h"
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#include <fstream>
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#include <hikyuu/StockManager.h>
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#include <hikyuu/indicator/crt/KDATA.h>
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#include <hikyuu/indicator/crt/PRICELIST.h>
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using namespace hku;
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/**
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* @defgroup test_indicator_COS test_indicator_CORR
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* @ingroup test_hikyuu_indicator_suite
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* @{
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*/
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static void spearmanLevel(const IndicatorImp::value_t *data, IndicatorImp::value_t *level,
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size_t total) {
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std::vector<std::pair<IndicatorImp::value_t, size_t>> data_index(total);
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for (size_t i = 0; i < total; i++) {
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data_index[i].first = data[i];
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data_index[i].second = i;
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}
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std::sort(
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data_index.begin(), data_index.end(),
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std::bind(
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std::less<IndicatorImp::value_t>(),
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std::bind(&std::pair<IndicatorImp::value_t, size_t>::first, std::placeholders::_1),
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std::bind(&std::pair<IndicatorImp::value_t, size_t>::first, std::placeholders::_2)));
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size_t i = 0;
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while (i < total) {
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size_t count = 1;
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IndicatorImp::value_t score = i + 1.0;
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for (size_t j = i + 1; j < total; j++) {
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if (data_index[i].first != data_index[j].first) {
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break;
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}
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count++;
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score += j + 1;
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}
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score = score / count;
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for (size_t j = 0; j < count; j++) {
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level[data_index[i + j].second] = score;
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}
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i += count;
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}
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}
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/** @par 检测点 */
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TEST_CASE("test_spearmanLevel") {
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std::vector<IndicatorImp::value_t> a{3., 8., 4., 7., 2.};
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size_t totala = a.size();
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auto levela = std::make_unique<IndicatorImp::value_t[]>(totala);
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auto *ptra = levela.get();
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spearmanLevel(a.data(), levela.get(), totala);
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std::vector<IndicatorImp::value_t> expecta = {2., 5., 3., 4., 1.};
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for (size_t i = 0; i < totala; i++) {
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CHECK_EQ(ptra[i], doctest::Approx(expecta[i]));
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}
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std::vector<IndicatorImp::value_t> b{5., 10., 8., 10., 6.};
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size_t totalb = b.size();
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auto levelb = std::make_unique<IndicatorImp::value_t[]>(totalb);
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auto *ptrb = levelb.get();
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spearmanLevel(b.data(), levelb.get(), totalb);
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std::vector<IndicatorImp::value_t> expectb = {1., 4.5, 3., 4.5, 2.};
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for (size_t i = 0; i < totalb; i++) {
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CHECK_EQ(ptrb[i], doctest::Approx(expectb[i]));
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}
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}
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/** @par 检测点 */
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TEST_CASE("test_SPEARMAN") {
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Indicator result;
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// 空指标
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result = SPEARMAN(Indicator(), Indicator(), 10);
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CHECK_UNARY(result.empty());
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PriceList a{3., 8., 4., 7., 2.};
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PriceList b{5., 10., 8., 10., 6.};
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Indicator x = PRICELIST(a);
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Indicator y = PRICELIST(b);
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// 非法参数 n
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result = SPEARMAN(x, y, 0);
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CHECK_UNARY(result.empty());
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result = SPEARMAN(x, y, 1);
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CHECK_UNARY(result.empty());
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// 正常情况
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PriceList expect{Null<price_t>(), 1., 1., 0.95, 0.875};
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result = SPEARMAN(x, y, a.size());
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CHECK_EQ(result.name(), "SPEARMAN");
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CHECK_EQ(result.discard(), 1);
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CHECK_EQ(result.size(), a.size());
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for (size_t i = result.discard(); i < result.size(); i++) {
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CHECK_EQ(result[i], doctest::Approx(expect[i]));
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}
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result = SPEARMAN(x, y, 4);
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CHECK_EQ(result.name(), "SPEARMAN");
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CHECK_EQ(result.discard(), 1);
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CHECK_EQ(result.size(), a.size());
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}
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//-----------------------------------------------------------------------------
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// benchmark
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//-----------------------------------------------------------------------------
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#if ENABLE_BENCHMARK_TEST
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TEST_CASE("test_SPEARMAN_benchmark") {
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// Stock stock = getStock("sh000001");
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// KData kdata = stock.getKData(KQuery(0));
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// Indicator c = kdata.close();
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// int cycle = 1000; // 测试循环次数
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// {
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// BENCHMARK_TIME_MSG(test_SPEARMAN_benchmark, cycle, fmt::format("data len: {}",
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// c.size())); SPEND_TIME_CONTROL(false); for (int i = 0; i < cycle; i++) {
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// Indicator ind = ABS();
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// Indicator result = ind(c);
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// }
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// }
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}
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#endif
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//-----------------------------------------------------------------------------
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// test export
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//-----------------------------------------------------------------------------
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#if HKU_SUPPORT_SERIALIZATION
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/** @par 检测点 */
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TEST_CASE("test_CORR_export") {
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StockManager &sm = StockManager::instance();
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string filename(sm.tmpdir());
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filename += "/COS.xml";
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Stock stock = sm.getStock("sh000001");
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KData kdata = stock.getKData(KQuery(-20));
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Indicator x1 = CORR(CLOSE(kdata), OPEN(kdata), 10);
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{
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std::ofstream ofs(filename);
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boost::archive::xml_oarchive oa(ofs);
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oa << BOOST_SERIALIZATION_NVP(x1);
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}
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Indicator x2;
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{
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std::ifstream ifs(filename);
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boost::archive::xml_iarchive ia(ifs);
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ia >> BOOST_SERIALIZATION_NVP(x2);
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}
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CHECK_EQ(x2.name(), "CORR");
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CHECK_EQ(x1.size(), x2.size());
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CHECK_EQ(x1.discard(), x2.discard());
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CHECK_EQ(x1.getResultNumber(), x2.getResultNumber());
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for (size_t i = x1.discard(); i < x1.size(); ++i) {
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if (std::isnan(x1[i])) {
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CHECK_UNARY(std::isnan(x2[i]));
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} else {
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CHECK_EQ(x1[i], doctest::Approx(x2[i]));
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}
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}
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Indicator x11 = x1.getResult(1);
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Indicator x21 = x2.getResult(1);
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CHECK_EQ(x11.size(), x21.size());
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CHECK_EQ(x11.discard(), x21.discard());
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CHECK_EQ(x11.getResultNumber(), x21.getResultNumber());
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for (size_t i = x11.discard(); i < x21.size(); ++i) {
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if (std::isnan(x11[i])) {
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CHECK_UNARY(std::isnan(x21[i]));
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} else {
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CHECK_EQ(x11[i], doctest::Approx(x21[i]));
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}
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}
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}
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#endif /* #if HKU_SUPPORT_SERIALIZATION */
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/** @} */
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