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, 151 insertions, 0 deletions

diff --git a/lib/schaff_trend_cycle.c b/lib/schaff_trend_cycle.c
new file mode 100644
index 0000000..f4584e6
--- /dev/null
+++ b/lib/schaff_trend_cycle.c
@@ -0,0 +1,151 @@
+// Schaff Trend Cycle
+//
+// schaff_trend_cycle
+//
+// Schaff Trend Cycle
+//
+// 
+//
+// Inputs:    1
+// Outputs:   2
+// Constants: 1
+
+
+#include <stdlib.h>
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t period;
+} ts_schaff_trend_cycle_params_t;
+
+ts_parameter_t const ts_schaff_trend_cycle_p = { .n_inputs = 1, .n_outputs = 2, .n_constants = 1, .params_size = sizeof(ts_schaff_trend_cycle_params_t) };
+
+uint_t ts_schaff_trend_cycle_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( 52 );
+}
+
+int ts_schaff_trend_cycle(
+	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_schaff_trend_cycle_p );
+	if ( !c ) return -1;
+    uint_t period = ((ts_schaff_trend_cycle_params_t *)c)->period;
+    if (period == 0) period = 3;
+    if (n == 0) return -1;
+    if (period > n) { for (uint_t j = 0; j < n; ++j) { y[0][j] = 0; y[1][j] = 0; } return 0; }
+
+    uint_t fast = 10;
+    uint_t slow = 21;
+    uint_t rsi_period = 13;
+
+    fp_t ema_fast = x[0][0];
+    fp_t ema_slow = x[0][0];
+    fp_t a_fast = 2.0 / (fast + 1);
+    fp_t a_slow = 2.0 / (slow + 1);
+
+    fp_t *macd_line = calloc(n, sizeof(fp_t));
+    if (!macd_line) return -1;
+
+    for( uint_t i = 1; i < n; ++i )
+    {
+        ema_fast = ema_fast + a_fast * (x[0][i] - ema_fast);
+        ema_slow = ema_slow + a_slow * (x[0][i] - ema_slow);
+        macd_line[i] = ema_fast - ema_slow;
+    }
+
+    fp_t *rsi1 = calloc(n, sizeof(fp_t));
+    fp_t *rsi2 = calloc(n, sizeof(fp_t));
+    if (!rsi1 || !rsi2) { free(macd_line); free(rsi1); free(rsi2); return -1; }
+
+    {
+        fp_t avg_up = 0, avg_down = 0;
+        for( uint_t i = 1; i <= rsi_period; ++i )
+        {
+            fp_t change = macd_line[i] - macd_line[i - 1];
+            if( change > 0 ) avg_up += change;
+            else avg_down += (-change);
+        }
+        avg_up /= rsi_period;
+        avg_down /= rsi_period;
+        rsi1[rsi_period] = (avg_down == 0) ? 100 : 100 - 100 / (1 + avg_up / avg_down);
+
+        for( uint_t i = rsi_period + 1; i < n; ++i )
+        {
+            fp_t change = macd_line[i] - macd_line[i - 1];
+            fp_t gain = change > 0 ? change : 0;
+            fp_t loss = change < 0 ? (-change) : 0;
+            avg_up = (avg_up * (rsi_period - 1) + gain) / rsi_period;
+            avg_down = (avg_down * (rsi_period - 1) + loss) / rsi_period;
+            rsi1[i] = (avg_down == 0) ? 100 : 100 - 100 / (1 + avg_up / avg_down);
+        }
+    }
+
+    {
+        fp_t avg_up = 0, avg_down = 0;
+        for( uint_t i = rsi_period + 1; i <= rsi_period * 2; ++i )
+        {
+            fp_t change = rsi1[i] - rsi1[i - 1];
+            if( change > 0 ) avg_up += change;
+            else avg_down += (-change);
+        }
+        avg_up /= rsi_period;
+        avg_down /= rsi_period;
+        rsi2[rsi_period * 2] = (avg_down == 0) ? 100 : 100 - 100 / (1 + avg_up / avg_down);
+
+        for( uint_t i = rsi_period * 2 + 1; i < n; ++i )
+        {
+            fp_t change = rsi1[i] - rsi1[i - 1];
+            fp_t gain = change > 0 ? change : 0;
+            fp_t loss = change < 0 ? (-change) : 0;
+            avg_up = (avg_up * (rsi_period - 1) + gain) / rsi_period;
+            avg_down = (avg_down * (rsi_period - 1) + loss) / rsi_period;
+            rsi2[i] = (avg_down == 0) ? 100 : 100 - 100 / (1 + avg_up / avg_down);
+        }
+    }
+
+    uint_t offset = slow + rsi_period * 2;
+    fp_t sig_a = 1.0 / (fp_t)period;
+    fp_t signal_ema = 0;
+    uint_t active = 0;
+    uint_t count = 0;
+
+    for (uint_t j = 0; j < n && j < offset; ++j) { y[0][j] = 0; y[1][j] = 0; }
+    for( uint_t i = offset; i < n; ++i )
+    {
+        fp_t hist = macd_line[i] - macd_line[i - 1];
+        fp_t hist_prev = (i > 1) ? macd_line[i - 1] - macd_line[i - 2] : 0;
+        int prev_above = hist_prev > 0.5;
+        int curr_above = hist > 0.5;
+        fp_t stc = 0;
+
+        if( !prev_above && curr_above )
+        {
+            active = 1;
+            count = 0;
+        }
+        if( active )
+        {
+            stc = 100;
+            count++;
+            if( count >= period )
+                active = 0;
+        }
+
+        y[0][i] = stc;
+
+        signal_ema = signal_ema + sig_a * (stc - signal_ema);
+        y[1][i] = signal_ema;
+    }
+
+    free(macd_line);
+    free(rsi1);
+    free(rsi2);
+	return 0;
+}
+