1 files changed, 67 insertions, 0 deletions
diff --git a/lib/aroon.c b/lib/aroon.c
new file mode 100644
index 0000000..539e97b
--- /dev/null
+++ b/lib/aroon.c
@@ -0,0 +1,67 @@
+// Aroon
+//
+// aroon - ar
+//
+// Measures the time since the highest high and lowest low in a lookback window.
+// Aroon Up = ((period - days since highest high) / period) * 100
+// Aroon Down = ((period - days since lowest low) / period) * 100
+//
+// Inputs:    4 (OHLC)
+// Outputs:   2 (Aroon Up, Aroon Down)
+// Constants: 1 (period)
+
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_aroon_params_t;
+
+ts_parameter_t const ts_aroon_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 1, .params_size = sizeof(ts_aroon_params_t) };
+
+uint_t ts_aroon_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_aroon_params_t *)c)->k - 1 : 0 );
+}
+
+int ts_aroon(
+	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_aroon_p );
+	if ( !c ) return -1;
+    uint_t k = ((ts_aroon_params_t *)c)->k;
+    if (k == 0 || n < k) return -1;
+
+    for ( uint_t i = k - 1; i < n; ++i )
+    {
+        fp_t highest_high = ts_h( x, i - k + 1 );
+        uint_t age_highest = 0;
+        for ( uint_t j = i - k + 1; j <= i; ++j )
+        {
+            if ( ts_h( x, j ) > highest_high )
+            {
+                highest_high = ts_h( x, j );
+                age_highest = i - j;
+            }
+        }
+
+        fp_t lowest_low = ts_l( x, i - k + 1 );
+        uint_t age_lowest = 0;
+        for ( uint_t j = i - k + 1; j <= i; ++j )
+        {
+            if ( ts_l( x, j ) < lowest_low )
+            {
+                lowest_low = ts_l( x, j );
+                age_lowest = i - j;
+            }
+        }
+
+        y[0][i] = ( ( fp_t )( k - age_highest ) / ( fp_t )k ) * 100.0;
+        y[1][i] = ( ( fp_t )( k - age_lowest ) / ( fp_t )k ) * 100.0;
+    }
+	return 0;
+}
+