调整 CORR 实现

docs/source/indicator/indicator.rst

@@ -207,7 +207,7 @@
 
     :param Indicator ind1: 指标1
     :param Indicator ind2: 指标2
-    :param int n: 按指定 n 的长度计算两个 ind 直接数据相关系数
+    :param int n: 按指定 n 的长度计算两个 ind 直接数据相关系数。如果为0，使用输入的ind长度。
     :rtype: Indicator    
 
 

hikyuu_cpp/hikyuu/indicator/Indicator.cpp

@@ -305,14 +305,4 @@ Indicator HKU_API IF(const Indicator& x, Indicator::value_t a, Indicator::value_
     return IF(x, CVAL(x, a), CVAL(x, b));
 }
 
-Indicator HKU_API CORR(const Indicator& ind1, const Indicator& ind2, int n) {
-    HKU_ERROR_IF_RETURN(!ind1.getImp() || !ind2.getImp(), Indicator(),
-                        "ind1 or ind2 is Null Indicator!");
-    HKU_ERROR_IF_RETURN(n < 2, Indicator(), "Invalid param n: {} (need >= 2)", n);
-    IndicatorImpPtr p = make_shared<IndicatorImp>("CORR");
-    p->setParam<int>("n", n);
-    p->add(IndicatorImp::CORR, ind1.getImp(), ind2.getImp());
-    return p->calculate();
-}
-
 } /* namespace hku */

hikyuu_cpp/hikyuu/indicator/Indicator.h

@@ -379,14 +379,6 @@ Indicator HKU_API IF(const Indicator& x, Indicator::value_t a, const Indicator&
 Indicator HKU_API IF(const Indicator& x, const Indicator& a, Indicator::value_t b);
 Indicator HKU_API IF(const Indicator& x, Indicator::value_t a, Indicator::value_t b);
 
-/**
- * 计算样本相关系数与协方差。返回的结果集中，第一个为相关系数，第二个为协方差
- * @param ind1 指标1
- * @param ind2 指标2
- * @ingroup Indicator
- */
-Indicator HKU_API CORR(const Indicator& ind1, const Indicator& ind2, int n);
-
 } /* namespace hku */
 
 #if FMT_VERSION >= 90000

hikyuu_cpp/hikyuu/indicator/IndicatorImp.cpp

@@ -93,10 +93,6 @@ string HKU_API getOPTypeName(IndicatorImp::OPType op) {
             name = "IF";
             break;
 
-        case IndicatorImp::CORR:
-            name = "CORR";
-            break;
-
         default:
             name = "UNKNOWN";
             break;
@@ -534,10 +530,6 @@ string IndicatorImp::formula() const {
                 << m_right->formula() << ")";
             break;
 
-        case CORR:
-            buf << m_name << "(" << m_left->formula() << ", " << m_right->formula() << ")";
-            break;
-
         default:
             HKU_ERROR("Wrong optype! {}", int(m_optype));
             break;
@@ -797,10 +789,6 @@ Indicator IndicatorImp::calculate() {
             execute_if();
             break;
 
-        case CORR:
-            execute_corr();
-            break;
-
         default:
             HKU_ERROR("Unkown Indicator::OPType! {}", int(m_optype));
             break;
@@ -1463,88 +1451,6 @@ void IndicatorImp::execute_if() {
     }
 }
 
-void IndicatorImp::execute_corr() {
-    m_right->calculate();
-    m_left->calculate();
-
-    const IndicatorImp *maxp, *minp;
-    if (m_right->size() > m_left->size()) {
-        maxp = m_right.get();
-        minp = m_left.get();
-    } else {
-        maxp = m_left.get();
-        minp = m_right.get();
-    }
-
-    size_t total = maxp->size();
-    size_t discard = maxp->size() - minp->size() + minp->discard();
-    if (discard < maxp->discard()) {
-        discard = maxp->discard();
-    }
-
-    // 结果 0 存放相关系数结果
-    // 结果 1 存放协方差（COV）结果
-    _readyBuffer(total, 2);
-
-    int n = getParam<int>("n");
-    if (n < 2 || discard + 2 > total) {
-        setDiscard(total);
-        return;
-    }
-
-    size_t startPos = discard;
-    size_t first_end = startPos + n >= total ? total : startPos + n;
-
-    value_t kx = maxp->get(discard);
-    value_t ky = minp->get(discard);
-    value_t ex = 0.0, ey = 0.0, exy = 0.0, varx = 0.0, vary = 0.0, cov = 0.0;
-    value_t ex2 = 0.0, ey2 = 0.0;
-    value_t ix, iy;
-
-    auto *dst0 = this->data(0);
-    auto *dst1 = this->data(1);
-    auto const *maxdata = maxp->data(0);
-    auto const *mindata = minp->data(0);
-    for (size_t i = startPos + 1; i < first_end; i++) {
-        ix = maxdata[i] - kx;
-        iy = mindata[i] - ky;
-        ex += ix;
-        ey += iy;
-        value_t powx2 = ix * ix;
-        value_t powy2 = iy * iy;
-        value_t powxy = ix * iy;
-        exy += powxy;
-        ex2 += powx2;
-        ey2 += powy2;
-        size_t nobs = i - startPos;
-        varx = ex2 - powx2 / nobs;
-        vary = ey2 - powy2 / nobs;
-        cov = exy - powxy / nobs;
-        dst0[i] = cov / std::sqrt(varx * vary);
-        dst1[i] = cov / (nobs - 1);
-    }
-
-    for (size_t i = first_end; i < total; i++) {
-        ix = maxdata[i] - kx;
-        iy = mindata[i] - ky;
-        ex += maxdata[i] - maxdata[i - n];
-        ey += mindata[i] - mindata[i - n];
-        value_t preix = maxdata[i - n] - kx;
-        value_t preiy = mindata[i - n] - ky;
-        ex2 += ix * ix - preix * preix;
-        ey2 += iy * iy - preiy * preiy;
-        exy += ix * iy - preix * preiy;
-        varx = (ex2 - ex * ex / n);
-        vary = (ey2 - ey * ey / n);
-        cov = (exy - ex * ey / n);
-        dst0[i] = cov / std::sqrt(varx * vary);
-        dst1[i] = cov / (n - 1);
-    }
-
-    // 修正 discard
-    setDiscard(discard + 2);
-}
-
 void IndicatorImp::_dyn_calculate(const Indicator &ind) {
     // SPEND_TIME(IndicatorImp__dyn_calculate);
     const auto &ind_param = getIndParamImp("n");

hikyuu_cpp/hikyuu/indicator/IndicatorImp.h

@@ -48,7 +48,6 @@ public:
         OR,     ///< 或
         WEAVE,  ///< 特殊的，需要两个指标作为参数的指标
         OP_IF,  /// if操作
-        CORR,   ///< 相关系数，需要两个指标作为参数
         INVALID
     };
 
@@ -195,8 +194,6 @@ private:
     void execute_or();
     void execute_weave();
     void execute_if();
-    void execute_corr();
-    void execute_spearman();
 
     std::vector<IndicatorImpPtr> getAllSubNodes();
     void repeatALikeNodes();

hikyuu_cpp/hikyuu/indicator/build_in.h

@@ -27,6 +27,7 @@
 #include "crt/BARSSINCE.h"
 #include "crt/BETWEEN.h"
 #include "crt/CEILING.h"
+#include "crt/CORR.h"
 #include "crt/COS.h"
 #include "crt/COST.h"
 #include "crt/COUNT.h"

hikyuu_cpp/hikyuu/indicator/crt/CORR.h

@@ -0,0 +1,23 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-10
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * 计算样本相关系数与协方差。返回的结果集中，第一个为相关系数，第二个为协方差
+ * @param ind1 指标1
+ * @param ind2 指标2
+ * @ingroup Indicator
+ */
+Indicator HKU_API CORR(int n = 10);
+Indicator HKU_API CORR(const Indicator& ind1, const Indicator& ind2, int n = 10);
+
+}  // namespace hku

hikyuu_cpp/hikyuu/indicator/crt/SPEARMAN.h

@@ -5,6 +5,7 @@
  *      Author: fasiondog
  */
 
+#pragma once
 #include "../Indicator.h"
 
 namespace hku {

hikyuu_cpp/hikyuu/indicator/imp/ICorr.cpp

@@ -0,0 +1,123 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-10
+ *      Author: fasiondog
+ */
+
+#include "hikyuu/indicator/crt/ALIGN.h"
+#include "ICorr.h"
+
+#if HKU_SUPPORT_SERIALIZATION
+BOOST_CLASS_EXPORT(hku::ICorr)
+#endif
+
+namespace hku {
+
+ICorr::ICorr() : IndicatorImp("CORR") {
+    setParam<int>("n", 10);
+}
+
+ICorr::ICorr(int n) : IndicatorImp("CORR") {
+    setParam<int>("n", n);
+}
+
+ICorr::ICorr(const Indicator& ref_ind, int n) : IndicatorImp("CORR"), m_ref_ind(ref_ind) {
+    setParam<int>("n", n);
+}
+
+ICorr::~ICorr() {}
+
+bool ICorr::check() {
+    int n = getParam<int>("n");
+    return n == 0 || n >= 2;
+}
+
+IndicatorImpPtr ICorr::_clone() {
+    ICorr* p = new ICorr();
+    p->m_ref_ind = m_ref_ind.clone();
+    return IndicatorImpPtr(p);
+}
+
+void ICorr::_calculate(const Indicator& ind) {
+    auto k = getContext();
+    m_ref_ind.setContext(k);
+    Indicator ref = m_ref_ind;
+    if (m_ref_ind.size() != ind.size()) {
+        ref = ALIGN(m_ref_ind, ind);
+    }
+
+    size_t total = ind.size();
+    _readyBuffer(total, 2);
+    HKU_IF_RETURN(total == 0, void());
+
+    int n = getParam<int>("n");
+    if (n == 0) {
+        n = total;
+    }
+
+    m_discard = std::max(ind.discard(), ref.discard());
+    size_t startPos = m_discard;
+    size_t first_end = startPos + n >= total ? total : startPos + n;
+
+    auto const* datax = ind.data();
+    auto const* datay = ref.data();
+    value_t kx = datax[m_discard];
+    value_t ky = datay[m_discard];
+    value_t ex = 0.0, ey = 0.0, exy = 0.0, varx = 0.0, vary = 0.0, cov = 0.0;
+    value_t ex2 = 0.0, ey2 = 0.0;
+    value_t ix, iy;
+
+    auto* dst0 = this->data(0);
+    auto* dst1 = this->data(1);
+    for (size_t i = startPos + 1; i < first_end; i++) {
+        ix = datax[i] - kx;
+        iy = datay[i] - ky;
+        ex += ix;
+        ey += iy;
+        value_t powx2 = ix * ix;
+        value_t powy2 = iy * iy;
+        value_t powxy = ix * iy;
+        exy += powxy;
+        ex2 += powx2;
+        ey2 += powy2;
+        size_t nobs = i - startPos;
+        varx = ex2 - powx2 / nobs;
+        vary = ey2 - powy2 / nobs;
+        cov = exy - powxy / nobs;
+        dst0[i] = cov / std::sqrt(varx * vary);
+        dst1[i] = cov / (nobs - 1);
+    }
+
+    for (size_t i = first_end; i < total; i++) {
+        ix = datax[i] - kx;
+        iy = datay[i] - ky;
+        ex += datax[i] - datax[i - n];
+        ey += datay[i] - datay[i - n];
+        value_t preix = datax[i - n] - kx;
+        value_t preiy = datay[i - n] - ky;
+        ex2 += ix * ix - preix * preix;
+        ey2 += iy * iy - preiy * preiy;
+        exy += ix * iy - preix * preiy;
+        varx = (ex2 - ex * ex / n);
+        vary = (ey2 - ey * ey / n);
+        cov = (exy - ex * ey / n);
+        dst0[i] = cov / std::sqrt(varx * vary);
+        dst1[i] = cov / (n - 1);
+    }
+
+    // 修正 discard
+    m_discard = (m_discard + 2 < total) ? m_discard + 2 : total;
+}
+
+Indicator HKU_API CORR(int n) {
+    return make_shared<ICorr>(n);
+}
+
+Indicator HKU_API CORR(const Indicator& ind1, const Indicator& ind2, int n) {
+    auto p = make_shared<ICorr>(ind2, n);
+    Indicator result(p);
+    return result(ind1);
+}
+
+}  // namespace hku

hikyuu_cpp/hikyuu/indicator/imp/ICorr.h

@@ -0,0 +1,42 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-10
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../Indicator.h"
+
+namespace hku {
+
+class ICorr : public IndicatorImp {
+public:
+    ICorr();
+    ICorr(int n);
+    ICorr(const Indicator& ref_ind, int n);
+    virtual ~ICorr();
+
+    virtual bool check() override;
+    virtual void _calculate(const Indicator& data) override;
+    virtual IndicatorImpPtr _clone() override;
+
+private:
+    Indicator m_ref_ind;
+
+//============================================
+// 序列化支持
+//============================================
+#if HKU_SUPPORT_SERIALIZATION
+private:
+    friend class boost::serialization::access;
+    template <class Archive>
+    void serialize(Archive& ar, const unsigned int version) {
+        ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(IndicatorImp);
+        ar& BOOST_SERIALIZATION_NVP(m_ref_ind);
+    }
+#endif
+};
+
+}

hikyuu_cpp/hikyuu/indicator/imp/ISpearman.cpp

@@ -76,7 +76,6 @@ static void spearmanLevel(const IndicatorImp::value_t *data, IndicatorImp::value
 
 void ISpearman::_calculate(const Indicator &ind) {
     auto k = getContext();
-
     m_ref_ind.setContext(k);
     Indicator ref = m_ref_ind;
     if (m_ref_ind.size() != ind.size()) {

hikyuu_cpp/unit_test/hikyuu/indicator/test_CORR.cpp

@@ -10,6 +10,7 @@
 #include "../test_config.h"
 #include <fstream>
 #include <hikyuu/StockManager.h>
+#include <hikyuu/indicator/crt/CORR.h>
 #include <hikyuu/indicator/crt/KDATA.h>
 #include <hikyuu/indicator/crt/PRICELIST.h>
 
@@ -41,13 +42,13 @@ TEST_CASE("test_CORR") {
     Indicator y = PRICELIST(b);
 
     // 非法参数 n
-    result = CORR(x, y, 0);
+    result = CORR(x, y, -1);
     CHECK_UNARY(result.empty());
     result = CORR(x, y, 1);
     CHECK_UNARY(result.empty());
 
     // 正常情况
-    result = CORR(x, y, a.size());
+    result = CORR(x, y, 0);
     CHECK_EQ(result.name(), "CORR");
     CHECK_EQ(result.discard(), 2);
     CHECK_EQ(result.size(), a.size());

hikyuu_cpp/unit_test/hikyuu/indicator/test_SPEARMAN.cpp

@@ -165,21 +165,14 @@ TEST_CASE("test_SPEARMAN") {
     price_t null_value = Null<price_t>();
     x = PRICELIST({3., 8., null_value, 4., 7., 2., null_value, null_value});
     y = PRICELIST({null_value, 5., 10., 8., null_value, 10., 6., null_value});
-    // expect = {null_value, , 1., 0.875, 1.};
-    // nan, 8, nan, 4, nan,   2, nan
-    // nan, 5, nan, 8, nan, 10, nan,
     result = SPEARMAN(x, y, 4);
-    HKU_INFO("{}", result);
-    for (size_t i = result.discard(); i < result.size(); i++) {
-        HKU_INFO("{}: {}", i, result[i]);
-    }
-
-    x = PRICELIST({8., 4., 2.});
-    y = PRICELIST({5., 8., 10.});
-    result = SPEARMAN(x, y, x.size());
-    HKU_INFO("{}", result);
-    HKU_INFO("{}", std::pow(null_value, 2));
-    HKU_INFO("{}", 1.0 * 6.0 * null_value / (std::pow(x.size(), 3) - x.size()));
+    CHECK_EQ(result.name(), "SPEARMAN");
+    CHECK_EQ(result.discard(), 3);
+    CHECK_EQ(result.size(), x.size());
+    CHECK_UNARY(std::isnan(result[0]));
+    CHECK_EQ(result[5], doctest::Approx(-1.));
+    CHECK_EQ(result[6], doctest::Approx(-1.));
+    CHECK_UNARY(std::isnan(result[7]));
 }
 
 //-----------------------------------------------------------------------------

hikyuu_pywrap/indicator/_build_in.cpp

@@ -466,6 +466,9 @@ Indicator (*ZHBOND10_2)(const DatetimeList&, double) = ZHBOND10;
 Indicator (*ZHBOND10_3)(const KData& k, double) = ZHBOND10;
 Indicator (*ZHBOND10_4)(const Indicator&, double) = ZHBOND10;
 
+Indicator (*CORR_1)(int) = CORR;
+Indicator (*CORR_2)(const Indicator&, const Indicator&, int) = CORR;
+
 Indicator (*SPEARMAN_1)(int) = SPEARMAN;
 Indicator (*SPEARMAN_2)(const Indicator&, const Indicator&, int) = SPEARMAN;
 
@@ -850,13 +853,15 @@ void export_Indicator_build_in(py::module& m) {
     :param Indicator ind2: 指标2
     :rtype: Indicator)");
 
-    m.def("CORR", CORR, R"(CORR(ind1, ind2, n)
+    m.def("CORR", CORR_1, py::arg("n") = 10);
+    m.def("CORR", CORR_2, py::arg("ind1"), py::arg("ind2"), py::arg("n") = 10,
+          R"(CORR(ind1, ind2, n)
 
     计算 ind1 和 ind2 的相关系数。返回中存在两个结果，第一个为相关系数，第二个为协方差。
 
     :param Indicator ind1: 指标1
     :param Indicator ind2: 指标2
-    :param int n: 按指定 n 的长度计算两个 ind 直接数据相关系数
+    :param int n: 按指定 n 的长度计算两个 ind 直接数据相关系数。如果为0，使用输入的ind长度。
     :rtype: Indicator)");
 
     m.def("IF", IF_1);