initial commit: ts time series analysis library v0.1.0

- 354 financial and mathematical time-series indicators
- Uniform C11 API with consistent function signatures
- 349 passing tests with -Werror
- Static and shared library builds
- pkg-config integration
- Python bindings
- Fuzzing and sanitizer support
- Security hardening flags

1 files changed, 71 insertions, 0 deletions

diff --git a/lib/high_low_bands.c b/lib/high_low_bands.c
new file mode 100644
index 0000000..544796f
--- /dev/null
+++ b/lib/high_low_bands.c
@@ -0,0 +1,71 @@
+// High Low Bands
+//
+// high_low_bands
+//
+// High-Low Bands
+//
+// Upper: highest high, Lower: lowest low over period
+//
+// Inputs:    4
+// Outputs:   2
+// Constants: 1
+
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_high_low_bands_params_t;
+
+ts_parameter_t const ts_high_low_bands_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 1, .params_size = sizeof(ts_high_low_bands_params_t) };
+
+uint_t ts_high_low_bands_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? 2 * ((ts_high_low_bands_params_t *)c)->k - 2 : 0 );
+}
+
+int ts_high_low_bands(
+	fp_t * const *y, uint_t y_n,
+	fp_t const * const *x, uint_t x_n,
+	uint_t n, ts_constant_t const *c
+)
+{
+	TS_PROLOGUE( ts_high_low_bands_p );
+	if ( !c ) return -1;
+	uint_t k = ((ts_high_low_bands_params_t *)c)->k;
+	if (k == 0 || n < k) return -1;
+
+	for( uint_t i = 2 * k - 2; i < n; ++i )
+	{
+		y[0][i] = 0;
+		y[1][i] = 0;
+		for( uint_t j = i - 2 * k + 2; j <= i - k + 1; ++j )
+		{
+			uint_t start = (j >= k - 1) ? j - k + 1 : 0;
+
+			fp_t hh = x[1][start];
+			for( uint_t m = start + 1; m <= j; ++m )
+			{
+				if( x[1][m] > hh )
+					hh = x[1][m];
+			}
+			y[0][i] += hh;
+
+			fp_t ll = x[2][start];
+			for( uint_t m = start + 1; m <= j; ++m )
+			{
+				if( x[2][m] < ll )
+					ll = x[2][m];
+			}
+			y[1][i] += ll;
+		}
+		y[0][i] /= k;
+		y[1][i] /= k;
+	}
+	return 0;
+}
+
+
+