Signature | Description | Parameters |
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#include <DataFrame/DataFrameStatsVisitors.h> template<typename T, typename I = unsigned long> struct MACDVisitor; // ------------------------------------- template<typename T, typename I = unsigned long> using macd_v = MACDVisitor<T, I>; |
This is a “single action visitor”, meaning it is passed the whole data vector in one call and you must use the single_act_visit() interface. This functor class calculates the Moving Average Convergence/Divergence oscillator (MACD) which is one of the simplest and most effective momentum indicators available. It could be used to generate signals within financial applications. The constructor takes:
MACDVisitor(std::size_t short_mean_period, // e.g. 12-day std::size_t long_mean_period, // e.g. 26-day std::size_t signal_line_period); // e.g. 9-day
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T: Column data type I: Index type |
static void test_MACDVisitor() { std::cout << "\nTesting MACDVisitor{ } ..." << std::endl; std::vector<unsigned long> idx = { 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27, 28, 29, 31, 31, 32, 33, 34, 35, 36, 37, 38, 39, 40 }; std::vector<double> d1 = { 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 19, 18, 17, 17, 16, 15, 14, 13, 14, 13, 12, 11, 12, 10, 9, 8, 7, 6, 7, 5 }; MyDataFrame df; df.load_data(std::move(idx), std::make_pair("col_1", d1)); using macd_t = MACDVisitor<double>; macd_t visitor(2, 5, 6); df.single_act_visit<double>("col_1", visitor); auto &macd_result = visitor.get_macd_line(); auto &signal_line = visitor.get_signal_line(); auto &macd_histo = visitor.get_macd_histogram(); assert(macd_result.size() == 40); assert(std::isnan(macd_result[3])); assert(fabs(macd_result[8] - 1.5) < 0.000001); assert(fabs(macd_result[12] - 1.5) < 0.000001); assert(fabs(macd_result[38] - -0.777175) < 0.000001); assert(fabs(macd_result[39] - -1.12938) < 0.00001); assert(signal_line.size() == 40); assert(std::isnan(signal_line[2])); assert(std::isnan(signal_line[4])); assert(fabs(signal_line[8] - 1.5) < 0.00001); assert(fabs(signal_line[12] - 1.5) < 0.00001); assert(fabs(signal_line[38] - -1.08524) < 0.00001); assert(fabs(signal_line[39] - -1.09785) < 0.00001); assert(macd_histo.size() == 40); assert(std::isnan(macd_histo[0])); assert(std::isnan(macd_histo[4])); assert(fabs(macd_histo[8] - 0) < 0.00001); assert(fabs(macd_histo[12] - 0) < 0.00001); assert(fabs(macd_histo[38] - 0.308069) < 0.000001); assert(fabs(macd_histo[39] - -0.0315231) < 0.000001); }