add STDP indicator

docs/source/indicator/indicator.rst

@@ -444,6 +444,15 @@
     :rtype: Indicator
     
 
+.. py:function:: STDP([data, n=10])
+
+    总体标准差，STDP(X,N)为X的N日总体标准差
+    
+    :param data: 输入数据
+    :param int n: 时间窗口
+    :rtype: Indicator
+
+
 .. py:function:: SUM([data, n=20])
 
     求总和。SUM(X,N),统计N周期中X的总和,N=0则从第一个有效值开始。

docs/source/indicator/overview.rst

@@ -45,6 +45,7 @@
 * :py:func:`SQRT` - 开平方
 * :py:func:`STD` - 估算标准差，同 STDEV
 * :py:func:`STDEV` - 计算N周期内样本标准差
+* :py:func:`STDP` - 总体标准差
 * :py:func:`WEAVE` - 将两个ind的结果合并到一个ind中
 
 

hikyuu/indicator/indicator_doc.py

@@ -459,6 +459,17 @@ STDEV([data, n=10])
 """
 
 
+STDP.__doc__ = """
+STDP([data, n=10])
+
+    总体标准差，STDP(X,N)为X的N日总体标准差
+    
+    :param data: 输入数据
+    :param int n: 时间窗口
+    :rtype: Indicator
+"""
+
+
 SUM.__doc__ = """
 SUM([data, n=20])
 

hikyuu_cpp/hikyuu/indicator/build_in.h

@@ -46,6 +46,7 @@
 #include "crt/SMA.h"
 #include "crt/SQRT.h"
 #include "crt/STDEV.h"
+#include "crt/STDP.h"
 #include "crt/SUM.h"
 #include "crt/VIGOR.h"
 

hikyuu_cpp/hikyuu/indicator/crt/STDP.h

@@ -0,0 +1,30 @@
+/*
+ * STD.h
+ *
+ *  Created on: 2013-4-18
+ *      Author: fasiondog
+ */
+
+#ifndef INDICATOR_CRT_STDP_H_
+#define INDICATOR_CRT_STDP_H_
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * 计算N周期内总体标准差
+ * @param n N日时间窗口
+ * @ingroup Indicator
+ */
+Indicator HKU_API STDP(int n = 10);
+Indicator STDP(const Indicator& data, int n = 10);
+
+inline Indicator STDP(const Indicator& data, int n) {
+    return STDP(n)(data);
+}
+
+} /* namespace */
+
+
+#endif /* INDICATOR_CRT_STDP_H_ */

hikyuu_cpp/hikyuu/indicator/imp/IStdp.cpp

@@ -0,0 +1,67 @@
+/*
+ * IStdp.cpp
+ *
+ *  Copyright (c) 2019 hikyuu.org
+ * 
+ *  Created on: 2019-4-18
+ *      Author: fasiondog
+ */
+
+#include "IStdp.h"
+#include "../crt/MA.h"
+
+#if HKU_SUPPORT_SERIALIZATION
+BOOST_CLASS_EXPORT(hku::IStdp)
+#endif
+
+
+namespace hku {
+
+IStdp::IStdp(): IndicatorImp("STDP", 1) {
+    setParam<int>("n", 10);
+}
+
+IStdp::~IStdp() {
+
+}
+
+bool IStdp::check() {
+    int n = getParam<int>("n");
+    if (n < 2) {
+        HKU_ERROR("Invalid param[n] ! (n >= 2) " << m_params
+                << " [StdDeviation::calculate]");
+        return false;
+    }
+
+    return true;
+}
+
+void IStdp::_calculate(const Indicator& data) {
+    size_t total = data.size();
+    int n = getParam<int>("n");
+
+    m_discard = data.discard() + n - 1;
+    if (m_discard >= total) {
+        m_discard = total;
+        return;
+    }
+
+    Indicator ma = MA(data, n);
+    for (size_t i = discard(); i < total; ++i) {
+        price_t mean = ma[i];
+        price_t sum = 0.0;
+        for (size_t j = i + 1 - n; j <= i; ++j) {
+            sum += std::pow(data[j] - mean, 2);
+        }
+        _set(std::sqrt(sum/n), i);
+    }
+}
+
+Indicator HKU_API STDP(int n) {
+    IndicatorImpPtr p = make_shared<IStdp>();
+    p->setParam<int>("n", n);
+    return Indicator(p);
+}
+
+
+} /* namespace hku */

hikyuu_cpp/hikyuu/indicator/imp/IStdp.h

@@ -0,0 +1,31 @@
+/*
+ * IStdp.h
+ *
+ *  Copyright (c) 2019 hikyuu.org
+ * 
+ *  Created on: 2019-4-18
+ *      Author: fasiondog
+ */
+
+#ifndef INDICATOR_IMP_ISTDP_H_
+#define INDICATOR_IMP_ISTDP_H_
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/*
+ * 计算N周期内总体标准差
+ * 参数： n: N日时间窗口
+ */
+class IStdp: public hku::IndicatorImp {
+    INDICATOR_IMP(IStdp)
+    INDICATOR_IMP_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    IStdp();
+    virtual ~IStdp();
+};
+
+} /* namespace hku */
+#endif /* INDICATOR_IMP_ISTDP_H_ */

hikyuu_cpp/unit_test/libs/hikyuu/indicator/test_STDP.cpp

@@ -0,0 +1,111 @@
+/*
+ * test_STDP.cpp
+ *
+ *  Created on: 2019-4-18
+ *      Author: fasiondog
+ */
+
+#ifdef TEST_ALL_IN_ONE
+    #include <boost/test/unit_test.hpp>
+#else
+    #define BOOST_TEST_MODULE test_hikyuu_indicator_suite
+    #include <boost/test/unit_test.hpp>
+#endif
+
+#include <fstream>
+#include <hikyuu/StockManager.h>
+#include <hikyuu/indicator/crt/KDATA.h>
+#include <hikyuu/indicator/crt/STDEV.h>
+#include <hikyuu/indicator/crt/STDP.h>
+#include <hikyuu/indicator/crt/PRICELIST.h>
+
+using namespace hku;
+
+/**
+ * @defgroup test_indicator_STDP test_indicator_STDP
+ * @ingroup test_hikyuu_indicator_suite
+ * @{
+ */
+
+/** @par 检测点 */
+BOOST_AUTO_TEST_CASE( test_STDP ) {
+    /** @arg n > 1 的正常情况 */
+    PriceList d;
+    for (size_t i = 0; i < 15; ++i) {
+        d.push_back(i+1);
+    }
+    d[5] = 4.0;
+    d[7] = 4.0;
+    d[11] = 6.0;
+
+    Indicator ind = PRICELIST(d);
+    Indicator dev = STDP(ind, 10);
+    BOOST_CHECK(dev.name() == "STDP");
+    BOOST_CHECK(dev.size() == 15);
+    BOOST_CHECK(dev[8] == Null<price_t>());
+    BOOST_CHECK(std::fabs(dev[9] - 2.77308) < 0.00001 );
+    BOOST_CHECK(std::fabs(dev[10] - 2.98161) < 0.00001 );
+    BOOST_CHECK(std::fabs(dev[11] - 2.68514) < 0.00001 );
+    BOOST_CHECK(std::fabs(dev[12] - 3.1) < 0.00001 );
+    BOOST_CHECK(std::fabs(dev[13] - 3.46554) < 0.00001 );
+    BOOST_CHECK(std::fabs(dev[14] - 3.79605) < 0.00001 );
+
+    /** @arg n = 1时 */
+    dev = STDP(ind, 1);
+    BOOST_CHECK(dev.name() == "STDP");
+    BOOST_CHECK(dev.size() == 15);
+    for (size_t i = 0; i < dev.size(); ++i) {
+        BOOST_CHECK(dev[i] == Null<price_t>());
+    }
+
+    /** @arg operator() */
+    Indicator expect = STDP(ind, 10);
+    dev = STDP(10);
+    Indicator result = dev(ind);
+    BOOST_CHECK(result.size() == expect.size());
+    for (size_t i = 0; i < expect.size(); ++i) {
+        BOOST_CHECK(result[i] == expect[i]);
+    }
+}
+
+
+//-----------------------------------------------------------------------------
+// test export
+//-----------------------------------------------------------------------------
+#if HKU_SUPPORT_SERIALIZATION
+
+/** @par 检测点 */
+BOOST_AUTO_TEST_CASE( test_STDP_export ) {
+    StockManager& sm = StockManager::instance();
+    string filename(sm.tmpdir());
+    filename += "/STDP.xml";
+
+    Stock stock = sm.getStock("sh000001");
+    KData kdata = stock.getKData(KQuery(-20));
+    Indicator ma1 = STDP(CLOSE(kdata), 10);
+    {
+        std::ofstream ofs(filename);
+        boost::archive::xml_oarchive oa(ofs);
+        oa << BOOST_SERIALIZATION_NVP(ma1);
+    }
+
+    Indicator ma2;
+    {
+        std::ifstream ifs(filename);
+        boost::archive::xml_iarchive ia(ifs);
+        ia >> BOOST_SERIALIZATION_NVP(ma2);
+    }
+
+    BOOST_CHECK(ma2.name() == "STDP");
+    BOOST_CHECK(ma1.size() == ma2.size());
+    BOOST_CHECK(ma1.discard() == ma2.discard());
+    BOOST_CHECK(ma1.getResultNumber() == ma2.getResultNumber());
+    for (size_t i = 0; i < ma1.size(); ++i) {
+        BOOST_CHECK_CLOSE(ma1[i], ma2[i], 0.00001);
+    }
+}
+#endif /* #if HKU_SUPPORT_SERIALIZATION */
+
+/** @} */
+
+

hikyuu_pywrap/indicator/_build_in.cpp

@@ -76,6 +76,9 @@ Indicator (*SAFTYLOSS_2)(const Indicator&, int n1, int n2, double p) = SAFTYLOSS
 Indicator (*STDEV_1)(int) = STDEV;
 Indicator (*STDEV_2)(const Indicator&, int) = STDEV;
 
+Indicator (*STDP_1)(int) = STDP;
+Indicator (*STDP_2)(const Indicator&, int) = STDP;
+
 Indicator (*HHV_1)(int) = HHV;
 Indicator (*HHV_2)(const Indicator&, int) = HHV;
 
@@ -240,6 +243,9 @@ void export_Indicator_build_in() {
     def("STDEV", STDEV_1, (arg("n")=10));
     def("STDEV", STDEV_2, (arg("data"), arg("n")=10));
 
+    def("STDP", STDP_1, (arg("n")=10));
+    def("STDP", STDP_2, (arg("data"), arg("n")=10));
+
     def("POS", POS, (arg("block"), arg("query"), arg("sg")));
 
     def("HHV", HHV_1, (arg("n")=20));

scripts/before_install.lua

@@ -17,7 +17,7 @@ function main(target)
         os.exec("xcopy /S /Q /Y /I hikyuu %s", os.args(installdir))
     end
     if is_plat("linux") then
-        os.exec("cp -f -r -T hikyuu %s" ,os.args(installdir))
+        os.exec("cp -f -r -T hikyuu %s", os.args(installdir))
     end
     if is_plat("macosx") then
         os.exec("cp -f -r hikyuu/* %s", os.args(installdir))