Merge pull request #336 from fasiondog/feature/dev

add TR indicator, fixed ATD

Author: fasiondog

hikyuu_cpp/hikyuu/indicator/build_in.h

@@ -116,6 +116,7 @@
 #include "crt/TIME.h"
 #include "crt/TIMELINE.h"
 #include "crt/TIMELINEVOL.h"
+#include "crt/TR.h"
 #include "crt/TURNOVER.h"
 #include "crt/UPNDAY.h"
 #include "crt/VAR.h"

hikyuu_cpp/hikyuu/indicator/crt/ATR.h

@@ -14,30 +14,19 @@
 namespace hku {
 
 /**
- * 平均真实波幅(Average True Range)
+ * 平均真实波幅(Average True Range), TR 的简单平均值
  * @param n 计算均值的周期窗口，必须为大于1的整数
  * @ingroup Indicator
  */
 Indicator HKU_API ATR(int n = 14);
-Indicator HKU_API ATR(const IndParam& n);
 
 /**
  * 平均真实波幅(Average True Range)
  * @param data 待计算的源数据
  * @param n 计算均值的周期窗口，必须为大于1的整数
  * @ingroup Indicator
  */
-inline Indicator HKU_API ATR(const Indicator& data, int n = 14) {
-    return ATR(n)(data);
-}
-
-inline Indicator HKU_API ATR(const Indicator& data, const IndParam& n) {
-    return ATR(n)(data);
-}
-
-inline Indicator HKU_API ATR(const Indicator& data, const Indicator& n) {
-    return ATR(IndParam(n))(data);
-}
+Indicator HKU_API ATR(const KData& kdata, int n = 14);
 
 }  // namespace hku
 

hikyuu_cpp/hikyuu/indicator/crt/TR.h

@@ -0,0 +1,32 @@
+/*
+ * TRG.h
+ *
+ *  Created on: 2019年3月6日
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_TR_H_
+#define INDICATOR_CRT_TR_H_
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * @brief 真实波动幅度（TR）
+ * @details
+ * <pre>
+ * 真实波动幅度（TR）是以下三个值中的最大值：
+ *  1. 当前周期最高价（H）与最低价（L）之差
+ *  2. 当前周期最高价与前一周期收盘价（PC）之差的绝对值
+ *  3. 当前周期最低价与前一周期收盘价之差的绝对值
+ * </pre>
+ * @ingroup Indicator
+ */
+Indicator HKU_API TR();
+Indicator HKU_API TR(const KData&);
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_TR_H_ */

hikyuu_cpp/hikyuu/indicator/imp/IAtr.cpp

@@ -19,6 +19,12 @@ IAtr::IAtr() : IndicatorImp("ATR", 1) {
     setParam<int>("n", 14);
 }
 
+IAtr::IAtr(const KData& k, int n) : IndicatorImp("ATR", 1) {
+    setParam<int>("n", n);
+    setParam<KData>("kdata", k);
+    IAtr::_calculate(Indicator());
+}
+
 IAtr::~IAtr() {}
 
 void IAtr::_checkParam(const string& name) const {
@@ -27,45 +33,54 @@ void IAtr::_checkParam(const string& name) const {
     }
 }
 
-void IAtr::_calculate(const Indicator& indicator) {
-    size_t total = indicator.size();
-    m_discard = indicator.discard();
+void IAtr::_calculate(const Indicator& data) {
+    HKU_WARN_IF(!isLeaf() && !data.empty(),
+                "The input is ignored because {} depends on the context!", m_name);
+
+    KData kdata = getContext();
+    size_t total = kdata.size();
+    HKU_IF_RETURN(total == 0, void());
+
+    _readyBuffer(total, 1);
+
+    int n = getParam<int>("n");
+    m_discard = n + 1;
     if (m_discard >= total) {
         m_discard = total;
         return;
     }
 
-    int n = getParam<int>("n");
-    size_t startPos = discard();
+    auto* k = kdata.data();
+    vector<value_t> buf(total);
+    for (size_t i = 1; i < total; ++i) {
+        value_t v1 = k[i].highPrice - k[i].lowPrice;
+        value_t v2 = std::abs(k[i].highPrice - k[i - 1].closePrice);
+        value_t v3 = std::abs(k[i].lowPrice - k[i - 1].closePrice);
+        buf[i] = std::max(std::max(v1, v2), v3);
+    }
 
-    auto const* src = indicator.data();
-    auto* dst = this->data();
-    dst[startPos] = src[startPos];
-    value_t multiplier = 2.0 / (n + 1);
-    for (size_t i = startPos + 1; i < total; ++i) {
-        dst[i] = (src[i] - dst[i - 1]) * multiplier + dst[i - 1];
+    value_t sum = 0.0;
+    for (size_t i = 1, end = n + 1; i < end; ++i) {
+        sum += buf[i];
     }
-}
 
-void IAtr::_dyn_run_one_step(const Indicator& ind, size_t curPos, size_t step) {
-    HKU_IF_RETURN(step < 1, void());
-    Indicator slice = SLICE(ind, 0, curPos + 1);
-    Indicator atr = ATR(slice, step);
-    if (atr.size() > 0) {
-        _set(atr[atr.size() - 1], curPos);
+    auto* dst = this->data();
+    dst[n] = sum / n;
+
+    for (size_t i = n + 1; i < total; ++i) {
+        sum = buf[i] + sum - buf[i - n];
+        dst[i] = sum / n;
     }
 }
 
 Indicator HKU_API ATR(int n) {
-    IndicatorImpPtr p = make_shared<IAtr>();
+    auto p = make_shared<IAtr>();
     p->setParam<int>("n", n);
     return Indicator(p);
 }
 
-Indicator HKU_API ATR(const IndParam& n) {
-    IndicatorImpPtr p = make_shared<IAtr>();
-    p->setIndParam("n", n);
-    return Indicator(p);
+Indicator HKU_API ATR(const KData& kdata, int n) {
+    return Indicator(make_shared<IAtr>(kdata, n));
 }
 
 } /* namespace hku */

hikyuu_cpp/hikyuu/indicator/imp/IAtr.h

@@ -14,11 +14,13 @@
 namespace hku {
 
 class IAtr : public IndicatorImp {
-    INDICATOR_IMP_SUPPORT_DYNAMIC_STEP(IAtr)
+    INDICATOR_IMP(IAtr)
+    INDICATOR_NEED_CONTEXT
     INDICATOR_IMP_NO_PRIVATE_MEMBER_SERIALIZATION
 
 public:
     IAtr();
+    explicit IAtr(const KData&, int n);
     virtual ~IAtr();
     virtual void _checkParam(const string& name) const override;
 };

hikyuu_cpp/hikyuu/indicator/imp/ITr.cpp

@@ -0,0 +1,55 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-03-05
+ *      Author: fasiondog
+ */
+
+#include "ITr.h"
+
+#if HKU_SUPPORT_SERIALIZATION
+BOOST_CLASS_EXPORT(hku::ITr)
+#endif
+
+namespace hku {
+
+ITr::ITr() : IndicatorImp("TR", 1) {}
+
+ITr::~ITr() {}
+
+ITr::ITr(const KData& k) : IndicatorImp("TR", 1) {
+    setParam<KData>("kdata", k);
+    ITr::_calculate(Indicator());
+}
+
+void ITr::_calculate(const Indicator& data) {
+    HKU_WARN_IF(!isLeaf() && !data.empty(),
+                "The input is ignored because {} depends on the context!", m_name);
+
+    KData kdata = getContext();
+    size_t total = kdata.size();
+    HKU_IF_RETURN(total == 0, void());
+
+    _readyBuffer(total, 1);
+
+    m_discard = 1;
+
+    auto* k = kdata.data();
+    auto* dst = this->data();
+    for (size_t i = m_discard; i < total; ++i) {
+        value_t v1 = k[i].highPrice - k[i].lowPrice;
+        value_t v2 = std::abs(k[i].highPrice - k[i - 1].closePrice);
+        value_t v3 = std::abs(k[i].lowPrice - k[i - 1].closePrice);
+        dst[i] = std::max(std::max(v1, v2), v3);
+    }
+}
+
+Indicator HKU_API TR() {
+    return make_shared<ITr>()->calculate();
+}
+
+Indicator HKU_API TR(const KData& k) {
+    return Indicator(make_shared<ITr>(k));
+}
+
+} /* namespace hku */

hikyuu_cpp/hikyuu/indicator/imp/ITr.h

@@ -0,0 +1,35 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-03-05
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_IMP_ITR_H_
+#define INDICATOR_IMP_ITR_H_
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/*
+ * 真实波动幅度（TR）是以下三个值中的最大值：
+ *  1. 当前周期最高价与最低价之差
+ *  2. 当前周期最高价与前一周期收盘价之差的绝对值
+ *  3. 当前周期最低价与前一周期收盘价之差的绝对值
+ */
+class ITr : public IndicatorImp {
+    INDICATOR_IMP(ITr)
+    INDICATOR_NEED_CONTEXT
+    INDICATOR_IMP_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    ITr();
+    explicit ITr(const KData&);
+    virtual ~ITr();
+};
+
+} /* namespace hku */
+
+#endif /* INDICATOR_IMP_ITR_H_ */

hikyuu_cpp/unit_test/hikyuu/indicator/test_ATR.cpp

@@ -11,8 +11,10 @@
 #include <fstream>
 #include <hikyuu/StockManager.h>
 #include <hikyuu/indicator/crt/ATR.h>
+#include <hikyuu/indicator/crt/TR.h>
+#include <hikyuu/indicator/crt/MA.h>
+#include <hikyuu/indicator/crt/DISCARD.h>
 #include <hikyuu/indicator/crt/KDATA.h>
-#include <hikyuu/indicator/crt/PRICELIST.h>
 
 using namespace hku;
 
@@ -24,24 +26,16 @@ using namespace hku;
 
 /** @par 检测点 */
 TEST_CASE("test_ATR") {
-    Indicator result;
+    auto k = getKData("sh000001", KQuery(-30));
 
-    PriceList a;
-    for (int i = 0; i < 10; ++i) {
-        a.push_back(i / 2.);
-    }
-
-    vector<Indicator::value_t> expect = {0.,      0.333333, 0.77778, 1.25926, 1.75309,
-                                         2.25103, 2.75034,  3.25011, 3.75004, 4.25001};
-
-    Indicator data = PRICELIST(a);
+    auto atr = ATR(k, 10);
+    CHECK_EQ(atr.name(), "ATR");
+    CHECK_EQ(atr.size(), k.size());
+    CHECK_EQ(atr.discard(), 11);
 
-    result = ATR(data, 2);
-    CHECK_EQ(result.name(), "ATR");
-    CHECK_EQ(result.discard(), 0);
-    CHECK_EQ(result.size(), data.size());
-    for (int i = 0, len = data.size(); i < len; ++i) {
-        CHECK_EQ(result[i], doctest::Approx(expect[i]));
+    auto expect = DISCARD(MA(TR(), 10), 11)(k);
+    for (size_t i = atr.discard(); i < atr.size(); ++i) {
+        CHECK_EQ(atr[i], doctest::Approx(expect[i]));
     }
 }
 
@@ -52,15 +46,14 @@ TEST_CASE("test_ATR") {
 TEST_CASE("test_ATR_benchmark") {
     Stock stock = getStock("sh000001");
     KData kdata = stock.getKData(KQuery(0));
-    Indicator c = kdata.close();
     int cycle = 1000;  // 测试循环次数
 
     {
-        BENCHMARK_TIME_MSG(test_ATR_benchmark, cycle, fmt::format("data len: {}", c.size()));
+        BENCHMARK_TIME_MSG(test_ATR_benchmark, cycle, fmt::format("data len: {}", kdata.size()));
         SPEND_TIME_CONTROL(false);
         for (int i = 0; i < cycle; i++) {
             Indicator ind = ATR();
-            Indicator result = ind(c);
+            Indicator result = ind(kdata);
         }
     }
 }
@@ -79,7 +72,7 @@ TEST_CASE("test_ATR_export") {
 
     Stock stock = sm.getStock("sh000001");
     KData kdata = stock.getKData(KQuery(-20));
-    Indicator x1 = ATR(CLOSE(kdata));
+    Indicator x1 = ATR(kdata);
     {
         std::ofstream ofs(filename);
         boost::archive::xml_oarchive oa(ofs);