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, 86 insertions, 0 deletions

diff --git a/lib/williams_r.c b/lib/williams_r.c
new file mode 100644
index 0000000..f0fae3f
--- /dev/null
+++ b/lib/williams_r.c
@@ -0,0 +1,86 @@
+// Williams R
+//
+// williams_r
+//
+// Williams %R
+//
+// 
+//
+// Inputs:    4
+// Outputs:   1
+// Constants: 1
+
+
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_williams_r_params_t;
+
+ts_parameter_t const ts_williams_r_p = { .n_inputs = 4, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_williams_r_params_t) };
+
+uint_t ts_williams_r_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_williams_r_params_t *)c)->k > 0 ? ((ts_williams_r_params_t *)c)->k - 1 : 0 : 0 );
+}
+
+int ts_williams_r(
+	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_williams_r_p );
+	if ( !c ) return -1;
+	TS_CHECK_INPUT(x, x_n, n);
+	uint_t k = ((ts_williams_r_params_t *)c)->k;
+	if (k == 0 || n < k) return -1;
+
+	// Initial window max/min
+	fp_t hh = ts_h( x, 0 );
+	fp_t ll = ts_l( x, 0 );
+	for( uint_t j = 1; j < k; ++j )
+	{
+		if( ts_h( x, j ) > hh )
+			hh = ts_h( x, j );
+		if( ts_l( x, j ) < ll )
+			ll = ts_l( x, j );
+	}
+
+	{
+		if( hh == ll )
+			y[0][k - 1] = 0;
+		else
+			y[0][k - 1] = (hh - ts_c( x, k - 1 )) / (hh - ll) * (-100.0);
+	}
+
+	for( uint_t i = k; i < n; ++i )
+	{
+		fp_t new_h = ts_h( x, i );
+		fp_t new_l = ts_l( x, i );
+		fp_t old_h = ts_h( x, i - k );
+		fp_t old_l = ts_l( x, i - k );
+
+		if ( new_h > hh ) hh = new_h;
+		if ( new_l < ll ) ll = new_l;
+		if ( old_h == hh || old_l == ll )
+		{
+			hh = ts_h( x, i - k + 1 );
+			ll = ts_l( x, i - k + 1 );
+			for( uint_t j = i - k + 2; j <= i; ++j )
+			{
+				if( ts_h( x, j ) > hh ) hh = ts_h( x, j );
+				if( ts_l( x, j ) < ll ) ll = ts_l( x, j );
+			}
+		}
+
+		if( hh == ll )
+			y[0][i] = 0;
+		else
+			y[0][i] = (hh - ts_c( x, i )) / (hh - ll) * (-100.0);
+	}
+
+	return 0;
+}
+