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nonstat.cpp

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#include <assert.h>
#include <stdio.h>

#include <vector>

#include "signalUtil.h"
#include "spectrum.h"
#include "yahooTS.h"
#include "line.h"



void calcReturn( double *ret, const double *close, size_t N )
{
  for (size_t i = 1; i <= N; i++)
    ret[i-1] = (close[i] - close[i-1])/close[i-1];
}



int
main()
{
  const size_t NClose = 513;
  double close[NClose];

  const char *path = "..\\data\\equities\\";
  yahooTS ts( path );
  const char *stock = "amat";

  size_t n = NClose;
  ts.getTS( stock, close, n, yahooTS::Close );

  if (n != NClose) {
    printf("Error reading file %s%s\n", path, stock );
    return 0;
  }

  const size_t N = 512;
  double ret[ N ];

  calcReturn( ret, close, N );

  // prVec( ret, N );

  // linear interpolation wavelet
  line<double *> w;

  double *ptr = ret;  
  w.forwardTrans( ptr, N );

  std::vector<double> powerVec;
  spectrum::spectralCalc( ret, N, powerVec );

  //
  // Print out the power spectrum
  //
  size_t len = powerVec.size();
  for (size_t i = 0; i < len; i++) {
    // printf("%2d, %7.4f\n", i, powerVec[i] );
  }

  double d1[N], d2[N];

  spectrum::copyBands( d1, ret, N, 0, 7 );
  spectrum::copyBands( d2, ret, N, 8, 9 );

  ptr = d1;
  w.inverseTrans( ptr, N );

  ptr = d2;
  w.inverseTrans( ptr, N );

  //
  // Print out the lower half of the spectrum
  //
  // signalUtil::prVec( d1, N );

  //
  // Print out the upper half of the spectrum
  //
  signalUtil::prVec( d2, N );

  return 0;
}

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