private static void TA_INT_StdDevUsingPrecalcMA(decimal[] inReal, decimal[] inMovAvg, int inMovAvgBegIdx, int inMovAvgNbElement,
decimal[] outReal, int optInTimePeriod)
{
decimal tempReal;
int startSum = inMovAvgBegIdx + 1 - optInTimePeriod;
int endSum = inMovAvgBegIdx;
decimal periodTotal2 = default;
for (int outIdx = startSum; outIdx < endSum; outIdx++)
{
tempReal = inReal[outIdx];
tempReal *= tempReal;
periodTotal2 += tempReal;
}
for (var outIdx = 0; outIdx < inMovAvgNbElement; outIdx++, startSum++, endSum++)
{
tempReal = inReal[endSum];
tempReal *= tempReal;
periodTotal2 += tempReal;
decimal meanValue2 = periodTotal2 / optInTimePeriod;
tempReal = inReal[startSum];
tempReal *= tempReal;
periodTotal2 -= tempReal;
tempReal = inMovAvg[outIdx];
tempReal *= tempReal;
meanValue2 -= tempReal;
outReal[outIdx] = !TA_IsZeroOrNeg(meanValue2) ? DecimalMath.Sqrt(meanValue2) : Decimal.Zero;
}
}
public static RetCode Sqrt(decimal[] inReal, int startIdx, int endIdx, decimal[] outReal, out int outBegIdx, out int outNbElement)
{
outBegIdx = outNbElement = 0;
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return(RetCode.OutOfRangeStartIndex);
}
if (inReal == null || outReal == null)
{
return(RetCode.BadParam);
}
int outIdx = default;
for (int i = startIdx; i <= endIdx; i++)
{
outReal[outIdx++] = DecimalMath.Sqrt(inReal[i]);
}
outBegIdx = startIdx;
outNbElement = outIdx;
return(RetCode.Success);
}
private static void TA_INT_StdDevUsingPrecalcMA(decimal[] inReal, decimal[] inMovAvg, int inMovAvgBegIdx, int inMovAvgNbElement,
int timePeriod, decimal[] output)
{
decimal tempReal;
int outIdx;
int startSum = inMovAvgBegIdx + 1 - timePeriod;
int endSum = inMovAvgBegIdx;
decimal periodTotal2 = default;
for (outIdx = startSum; outIdx < endSum; outIdx++)
{
tempReal = inReal[outIdx];
tempReal *= tempReal;
periodTotal2 += tempReal;
}
outIdx = 0;
while (outIdx < inMovAvgNbElement)
{
tempReal = inReal[endSum];
tempReal *= tempReal;
periodTotal2 += tempReal;
decimal meanValue2 = periodTotal2 / timePeriod;
tempReal = inReal[startSum];
tempReal *= tempReal;
periodTotal2 -= tempReal;
tempReal = inMovAvg[outIdx];
tempReal *= tempReal;
meanValue2 -= tempReal;
if (meanValue2 >= 1E-08m)
{
output[outIdx] = DecimalMath.Sqrt(meanValue2);
}
else
{
output[outIdx] = Decimal.Zero;
}
outIdx++;
startSum++;
endSum++;
}
}
public static RetCode StdDev(decimal[] inReal, int startIdx, int endIdx, decimal[] outReal, out int outBegIdx, out int outNbElement,
int optInTimePeriod = 5, decimal optInNbDev = 1m)
{
outBegIdx = outNbElement = 0;
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return(RetCode.OutOfRangeStartIndex);
}
if (inReal == null || outReal == null || optInTimePeriod < 2 || optInTimePeriod > 100000)
{
return(RetCode.BadParam);
}
RetCode retCode = TA_INT_VAR(inReal, startIdx, endIdx, outReal, out outBegIdx, out outNbElement, optInTimePeriod);
if (retCode != RetCode.Success)
{
return(retCode);
}
if (optInNbDev != Decimal.One)
{
for (var i = 0; i < outNbElement; i++)
{
decimal tempReal = outReal[i];
outReal[i] = !TA_IsZeroOrNeg(tempReal) ? DecimalMath.Sqrt(tempReal) * optInNbDev : Decimal.Zero;
}
}
else
{
for (var i = 0; i < outNbElement; i++)
{
decimal tempReal = outReal[i];
outReal[i] = !TA_IsZeroOrNeg(tempReal) ? DecimalMath.Sqrt(tempReal) : Decimal.Zero;
}
}
return(RetCode.Success);
}
public static RetCode Correl(decimal[] inReal0, decimal[] inReal1, int startIdx, int endIdx, decimal[] outReal, out int outBegIdx,
out int outNbElement, int optInTimePeriod = 30)
{
outBegIdx = outNbElement = 0;
if (startIdx < 0 || endIdx < 0 || endIdx < startIdx)
{
return(RetCode.OutOfRangeStartIndex);
}
if (inReal0 == null || inReal1 == null || outReal == null || optInTimePeriod < 1 || optInTimePeriod > 100000)
{
return(RetCode.BadParam);
}
int lookbackTotal = CorrelLookback(optInTimePeriod);
if (startIdx < lookbackTotal)
{
startIdx = lookbackTotal;
}
if (startIdx > endIdx)
{
return(RetCode.Success);
}
outBegIdx = startIdx;
int trailingIdx = startIdx - lookbackTotal;
decimal sumX, sumY, sumX2, sumY2;
decimal sumXY = sumX = sumY = sumX2 = sumY2 = default;
int today;
for (today = trailingIdx; today <= startIdx; today++)
{
decimal x = inReal0[today];
sumX += x;
sumX2 += x * x;
decimal y = inReal1[today];
sumXY += x * y;
sumY += y;
sumY2 += y * y;
}
decimal trailingX = inReal0[trailingIdx];
decimal trailingY = inReal1[trailingIdx++];
decimal tempReal = (sumX2 - sumX * sumX / optInTimePeriod) * (sumY2 - sumY * sumY / optInTimePeriod);
outReal[0] = !TA_IsZeroOrNeg(tempReal) ? (sumXY - sumX * sumY / optInTimePeriod) / DecimalMath.Sqrt(tempReal) : Decimal.Zero;
int outIdx = 1;
while (today <= endIdx)
{
sumX -= trailingX;
sumX2 -= trailingX * trailingX;
sumXY -= trailingX * trailingY;
sumY -= trailingY;
sumY2 -= trailingY * trailingY;
decimal x = inReal0[today];
sumX += x;
sumX2 += x * x;
decimal y = inReal1[today++];
sumXY += x * y;
sumY += y;
sumY2 += y * y;
trailingX = inReal0[trailingIdx];
trailingY = inReal1[trailingIdx++];
tempReal = (sumX2 - sumX * sumX / optInTimePeriod) * (sumY2 - sumY * sumY / optInTimePeriod);
outReal[outIdx++] = !TA_IsZeroOrNeg(tempReal)
? (sumXY - sumX * sumY / optInTimePeriod) / DecimalMath.Sqrt(tempReal)
: Decimal.Zero;
}
outNbElement = outIdx;
return(RetCode.Success);
}
