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, 76 insertions, 0 deletions

diff --git a/lib/ulcer_index.c b/lib/ulcer_index.c
new file mode 100644
index 0000000..ca70734
--- /dev/null
+++ b/lib/ulcer_index.c
@@ -0,0 +1,76 @@
+// Ulcer Index
+//
+// ulcer_index
+//
+// Ulcer Index
+//
+// 
+//
+// Inputs:    1
+// Outputs:   1
+// Constants: 1
+
+
+#include <math.h>
+#include <stdlib.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_ulcer_index_params_t;
+
+ts_parameter_t const ts_ulcer_index_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_ulcer_index_params_t) };
+
+uint_t ts_ulcer_index_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_ulcer_index_params_t *)c)->k > 0 ? ((ts_ulcer_index_params_t *)c)->k - 1 : 0 : 0 );
+}
+
+int ts_ulcer_index(
+	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_ulcer_index_p );
+	if ( !c ) return -1;
+	uint_t k = ((ts_ulcer_index_params_t *)c)->k;
+	if (k == 0 || n < k) return -1;
+
+	/* Precompute cumulative highest-high for each index: O(n) */
+	fp_t *cum_hhv = calloc( n, sizeof( fp_t ) );
+	if ( !cum_hhv ) return -1;
+	{
+		fp_t hh = x[0][0];
+		for ( uint_t i = 0; i < n; ++i )
+		{
+			if ( x[0][i] > hh ) hh = x[0][i];
+			cum_hhv[i] = hh;
+		}
+	}
+
+ for( uint_t i = k - 1; i < n; ++i )
+	{
+		fp_t hhv = x[0][i - k + 1];
+		for( uint_t j = 1; j < k; ++j )
+		{
+			fp_t v = x[0][i - k + 1 + j];
+			if (v > hhv) hhv = v;
+		}
+
+		fp_t d_sq_sum = 0;
+		for( uint_t j = 0; j < k; ++j )
+		{
+			uint_t idx = i - k + 1 + j;
+			fp_t ch = cum_hhv[idx];
+			fp_t d = ch > 0 ? ( ch - x[0][idx] ) / ch * 100.0 : 0;
+			d_sq_sum += d * d;
+		}
+		y[0][i] = sqrt( d_sq_sum / (fp_t)k );
+	}
+
+	free( cum_hhv );
+	return 0;
+}
+