diff options
Diffstat (limited to 'lib/bollinger_bands.c')
| -rw-r--r-- | lib/bollinger_bands.c | 23 |
1 files changed, 15 insertions, 8 deletions
diff --git a/lib/bollinger_bands.c b/lib/bollinger_bands.c index 55da054..56ce8f9 100644 --- a/lib/bollinger_bands.c +++ b/lib/bollinger_bands.c @@ -25,7 +25,7 @@ ts_parameter_t const ts_bollinger_bands_p = { .n_inputs = 1, .n_outputs = 3, .n_ uint_t ts_bollinger_bands_offset( ts_constant_t const *c ) { ( void )c; - return ( c ? ((ts_bollinger_bands_params_t *)c)->k - 1 : 0 ); + return ( c ? ((ts_bollinger_bands_params_t const *)c)->k > 0 ? ((ts_bollinger_bands_params_t const *)c)->k - 1 : 0 : 0 ); } int ts_bollinger_bands( @@ -37,10 +37,17 @@ int ts_bollinger_bands( TS_PROLOGUE( ts_bollinger_bands_p ); if ( !c ) return -1; TS_CHECK_INPUT(x, x_n, n); - uint_t k = ((ts_bollinger_bands_params_t *)c)->k; + uint_t k = ((ts_bollinger_bands_params_t const *)c)->k; if (k == 0 || n < k) return -1; - fp_t std_mult = ((ts_bollinger_bands_params_t *)c)->std_mult; - if (std_mult < 0 || isnan(std_mult)) return -1; + fp_t std_mult = ((ts_bollinger_bands_params_t const *)c)->std_mult; + if (std_mult < 0 || isnan(std_mult) || isinf(std_mult)) return -1; + + for( uint_t i = 0; i < k - 1; ++i ) + { + y[0][i] = NAN; + y[1][i] = NAN; + y[2][i] = NAN; + } // Two-pass initial window for numerical stability { @@ -56,8 +63,8 @@ int ts_bollinger_bands( } variance /= (fp_t)k; fp_t stddev = sqrt( variance ); - y[1][k - 1] = mean + std_mult * stddev; - y[0][k - 1] = mean; + y[0][k - 1] = mean + std_mult * stddev; + y[1][k - 1] = mean; y[2][k - 1] = mean - std_mult * stddev; } @@ -79,8 +86,8 @@ int ts_bollinger_bands( } variance *= rk; fp_t stddev = sqrt( variance ); - y[1][i] = mean + std_mult * stddev; - y[0][i] = mean; + y[0][i] = mean + std_mult * stddev; + y[1][i] = mean; y[2][i] = mean - std_mult * stddev; } return 0; |