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, 79 insertions, 0 deletions

diff --git a/lib/prings_kst.c b/lib/prings_kst.c
new file mode 100644
index 0000000..e33688e
--- /dev/null
+++ b/lib/prings_kst.c
@@ -0,0 +1,79 @@
+// Prings Kst
+//
+// prings_kst
+//
+// Prings KST
+//
+// 
+//
+// Inputs:    1
+// Outputs:   2
+// Constants: 0
+
+
+#include <stdlib.h>
+#include "ts.h"
+
+
+ts_parameter_t const ts_prings_kst_p = { .n_inputs = 1, .n_outputs = 2, .n_constants = 0, .params_size = 0 };
+
+uint_t ts_prings_kst_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( 8 );
+}
+
+int ts_prings_kst(
+	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_prings_kst_p );
+	(void)c;
+    if (n < 23) return -1;
+
+    fp_t *raw_kst = calloc( n, sizeof( fp_t ) );
+    if ( !raw_kst ) return -1;
+
+    for (uint_t i = 0; i < 8; ++i) { y[0][i] = 0; y[1][i] = 0; }
+
+    for( uint_t i = 8; i < n; ++i )
+    {
+        if ( x[0][i - 2] == 0 || x[0][i - 3] == 0 || x[0][i - 5] == 0 || x[0][i - 8] == 0 )
+        {
+            raw_kst[i] = 0;
+            continue;
+        }
+        fp_t r2 = ( x[0][i] - x[0][i - 2] ) / x[0][i - 2] * 100;
+        fp_t r3 = ( x[0][i] - x[0][i - 3] ) / x[0][i - 3] * 100;
+        fp_t r5 = ( x[0][i] - x[0][i - 5] ) / x[0][i - 5] * 100;
+        fp_t r8 = ( x[0][i] - x[0][i - 8] ) / x[0][i - 8] * 100;
+        raw_kst[i] = r2 + 2 * r3 + 3 * r5 + 4 * r8;
+    }
+
+    fp_t alpha1 = 2.0 / 11.0;
+    y[0][8] = raw_kst[8];
+    for( uint_t i = 9; i < n; ++i )
+    {
+        y[0][i] = y[0][i - 1] + alpha1 * ( raw_kst[i] - y[0][i - 1] );
+    }
+
+    fp_t alpha2 = 2.0 / 16.0;
+    for( uint_t i = 8; i < 16; ++i )
+        y[1][i] = 0;
+    {
+        fp_t seed = 0;
+        for( uint_t i = 8; i <= 16; ++i ) seed += y[0][i];
+        seed /= 9.0;
+        y[1][16] = seed;
+    }
+    for( uint_t i = 17; i < n; ++i )
+    {
+        y[1][i] = y[1][i - 1] + alpha2 * ( y[0][i] - y[1][i - 1] );
+    }
+
+    free( raw_kst );
+	return 0;
+}
+