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On 01/26/2011 02:40 PM, Mark Knecht wrote: |
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> |
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> REALLY great points about the math issues. Thanks. |
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> |
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> As for testing it _may_ be a slight bit easier than having to get to |
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> that level. There is a library in portage called ta-lib which |
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> implements lots of standard technical analysis constructs. After it's |
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> installed I don't seem to have the C code for the actual functions |
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> anymore. What I have is a compiled library as well as some header |
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> files to look at. I suspect I can install the library again using |
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> portage bt not getting rid of the functions which I could then use as |
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> an example for my coding. |
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Use FEATURES="noclean" and the patched source will be left under |
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/var/tmp/portage. The unpatched source is probably in your |
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/usr/portage/distfiles already. (I don't know if there *are* any patches |
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for ta-lib, but if there are, you usually want them applied). |
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> I have not used this library myself, but I've read enough on the web |
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> to be reasonably sure it's results are very consistent with what |
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> TradeStation functions of the same type do. |
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> |
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> For a simple function call like a moving average EasyLanguage would write: |
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> |
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> ... |
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> |
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> TA_RetCode TA_MA( int startIdx, |
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> int endIdx, |
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> const double inReal[], |
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> int optInTimePeriod, /* From 1 to 100000 */ |
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> TA_MAType optInMAType, |
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> int *outBegIdx, |
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> int *outNBElement, |
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> double outReal[] ); |
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> |
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> ... |
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> |
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> Maybe I could use the definitions of these functions as a basis for |
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> understanding what might be a reasonable set of guesses? From my point |
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> of view, a good start at translation would be to use whatever is |
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> available in ta-lib whenever possible and only have to deal with other |
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> stuff like If/Else, Switch, etc. |
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> |
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> Just thinking. |
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If you can figure out what all those parameters mean -- that will be the |
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hard part. What type of moving average is EasyLanguage doing? Which |
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TA_MAType does it match up to? Can the E.L. version fail if it runs off |
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the end of the prices array, or does it just add zeros at the end? Is |
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there a way to make TA_MA do the same? |
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Sorry I have nothing but discouragement to offer =) This isn't an easy |
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problem. |
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