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, 90 insertions, 0 deletions

diff --git a/test/ultimate_oscillator.c b/test/ultimate_oscillator.c
new file mode 100644
index 0000000..01bdb62
--- /dev/null
+++ b/test/ultimate_oscillator.c
@@ -0,0 +1,90 @@
+#include <stddef.h>
+#include <stdlib.h>
+#include <tgmath.h>
+#include "ts.h"
+
+static fp_t _ts_min( fp_t const * const *x, uint_t start, uint_t count )
+{
+    fp_t m = ts_l( x, start );
+    for( uint_t i = 1; i < count; ++i )
+    {
+        m = fmin( m, ts_l( x, start - i ) );
+    }
+    return m;
+}
+
+static fp_t _ts_max_h( fp_t const * const *x, uint_t start, uint_t count )
+{
+    fp_t m = ts_h( x, start );
+    for( uint_t i = 1; i < count; ++i )
+    {
+        m = fmax( m, ts_h( x, start - i ) );
+    }
+    return m;
+}
+
+bool ts_test_ultimate_oscillator( void )
+{
+    uint_t n = 60;
+
+    fp_t o[60], h[60], l[60], c[60];
+    for (uint_t i = 0; i < n; ++i)
+    {
+        o[i] = 10.0 + (fp_t)i;
+        h[i] = 12.0 + (fp_t)i;
+        l[i] = 8.0 + (fp_t)i;
+        c[i] = 11.0 + (fp_t)i;
+    }
+
+    fp_t const * const x[] = { o, h, l, c };
+
+    uint_t offset = 54;
+    uint_t e_n = n - offset;
+    fp_t *e = calloc(e_n, sizeof(fp_t));
+    if (!e) return false;
+
+    for( uint_t i = offset; i < n; ++i )
+    {
+        fp_t bp7 = 0, tr7 = 0;
+        fp_t bp14 = 0, tr14 = 0;
+        fp_t bp28 = 0, tr28 = 0;
+
+        for( uint_t j = 0; j < 7; ++j )
+        {
+            uint_t idx = i - 6 + j;
+            fp_t ll = _ts_min( x, idx, 7 );
+            fp_t hh = _ts_max_h( x, idx, 7 );
+            bp7 += ts_c( x, idx ) - ll;
+            tr7 += hh - ll;
+        }
+
+        for( uint_t j = 0; j < 14; ++j )
+        {
+            uint_t idx = i - 13 + j;
+            fp_t ll = _ts_min( x, idx, 14 );
+            fp_t hh = _ts_max_h( x, idx, 14 );
+            bp14 += ts_c( x, idx ) - ll;
+            tr14 += hh - ll;
+        }
+
+        for( uint_t j = 0; j < 28; ++j )
+        {
+            uint_t idx = i - 27 + j;
+            fp_t ll = _ts_min( x, idx, 28 );
+            fp_t hh = _ts_max_h( x, idx, 28 );
+            bp28 += ts_c( x, idx ) - ll;
+            tr28 += hh - ll;
+        }
+
+        fp_t denom = 7.0 * tr7 + 3.0 * tr14 + tr28;
+        fp_t numer = 7.0 * bp7 + 3.0 * bp14 + bp28;
+        e[i - offset] = ( denom != 0 ) ? 100.0 * numer / denom : 50.0;
+    }
+
+    fp_t const * const e_arr[1] = { e };
+
+    bool result = ts_test(ts_ultimate_oscillator, ts_ultimate_oscillator_offset, x, e_arr, n, (ts_constant_t *)NULL, &ts_ultimate_oscillator_p);
+
+    free(e);
+    return result;
+}