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, 87 insertions, 0 deletions

diff --git a/lib/macd.c b/lib/macd.c
new file mode 100644
index 0000000..362f251
--- /dev/null
+++ b/lib/macd.c
@@ -0,0 +1,87 @@
+// Macd
+//
+// macd
+//
+// Moving Average Convergence Divergence
+//
+// MACD = EMA(fast) - EMA(slow), Signal = EMA(MACD)
+//
+// Inputs:    1
+// Outputs:   3
+// Constants: 3
+
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    fp_t fast_k;
+    fp_t slow_k;
+    fp_t signal_k;
+} ts_macd_params_t;
+
+ts_parameter_t const ts_macd_p = { .n_inputs = 1, .n_outputs = 3, .n_constants = 3, .params_size = sizeof(ts_macd_params_t) };
+
+uint_t ts_macd_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? (uint_t)(((ts_macd_params_t *)c)->slow_k + ((ts_macd_params_t *)c)->signal_k - 2) : 0 );
+}
+
+int ts_macd(
+	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_macd_p );
+	if ( !c ) return -1;
+	TS_CHECK_INPUT(x, x_n, n);
+	fp_t fast_k = ((ts_macd_params_t *)c)->fast_k;
+	fp_t slow_k = ((ts_macd_params_t *)c)->slow_k;
+	fp_t signal_k = ((ts_macd_params_t *)c)->signal_k;
+
+	if (fast_k < 1 || slow_k < 1 || signal_k < 1) return -1;
+	if (isnan(fast_k) || isnan(slow_k) || isnan(signal_k)) return -1;
+	if (n == 0) return -1;
+
+	fp_t fast_a = 2.0 / (fast_k + 1.0);
+	fp_t slow_a = 2.0 / (slow_k + 1.0);
+	fp_t signal_a = 2.0 / (signal_k + 1.0);
+
+	fp_t fast_ema = x[0][0];
+	fp_t slow_ema = x[0][0];
+
+	uint_t total_offset = (uint_t)(slow_k + signal_k - 2);
+	if (n <= total_offset) return -1;
+
+	// Compute EMAs up to total_offset
+	for( uint_t i = 1; i <= total_offset; ++i )
+	{
+		fast_ema = fast_ema + fast_a * ( x[0][i] - fast_ema );
+		slow_ema = slow_ema + slow_a * ( x[0][i] - slow_ema );
+	}
+
+	fp_t macd_line = fast_ema - slow_ema;
+	fp_t signal_ema = macd_line;
+
+	y[0][total_offset] = macd_line;
+	y[1][total_offset] = signal_ema;
+	y[2][total_offset] = 0;
+
+	for( uint_t i = total_offset + 1; i < n; ++i )
+	{
+		fast_ema = fast_ema + fast_a * ( x[0][i] - fast_ema );
+		slow_ema = slow_ema + slow_a * ( x[0][i] - slow_ema );
+
+		macd_line = fast_ema - slow_ema;
+		signal_ema = signal_ema + signal_a * ( macd_line - signal_ema );
+
+		y[0][i] = macd_line;
+		y[1][i] = signal_ema;
+		y[2][i] = macd_line - signal_ema;
+	}
+
+	return 0;
+}
+