1 files changed, 89 insertions, 0 deletions
diff --git a/lib/hull_ma.c b/lib/hull_ma.c
new file mode 100644
index 0000000..e412a6f
--- /dev/null
+++ b/lib/hull_ma.c
@@ -0,0 +1,89 @@
+// Hull Ma
+//
+// hull_ma
+//
+// Hull Moving Average
+//
+// HMA = WMA(2*WMA(n/2) - WMA(n), √n)
+//
+// Inputs:    1
+// Outputs:   1
+// Constants: 1
+
+
+#include <math.h>
+#include <stdlib.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_hull_ma_params_t;
+
+ts_parameter_t const ts_hull_ma_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_hull_ma_params_t) };
+
+uint_t ts_hull_ma_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_hull_ma_params_t *)c)->k + (uint_t)sqrt((fp_t)((ts_hull_ma_params_t *)c)->k) - 2 : 0 );
+}
+
+int ts_hull_ma(
+	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_hull_ma_p );
+	if ( !c ) return -1;
+	TS_CHECK_INPUT(x, x_n, n);
+    uint_t k = ((ts_hull_ma_params_t *)c)->k;
+    if (k < 2) return -1;
+
+    uint_t half_k = k / 2;
+    uint_t sqrt_k = (uint_t)sqrt((fp_t)k);
+    if (sqrt_k < 1) sqrt_k = 1;
+
+    fp_t *wma_half = calloc( n, sizeof( fp_t ) );
+    fp_t *wma_full = calloc( n, sizeof( fp_t ) );
+    if ( !wma_half || !wma_full ) { free( wma_half ); free( wma_full ); return -1; }
+
+    /* WMA(n/2) */
+    fp_t wt_half = (fp_t)half_k * ((fp_t)half_k + 1.0) / 2.0;
+    for ( uint_t i = half_k - 1; i < n; ++i )
+    {
+        fp_t s = 0;
+        for ( uint_t j = 0; j < half_k; ++j )
+            s += x[0][i - j] * (fp_t)(half_k - j);
+        wma_half[i] = s / wt_half;
+    }
+
+    /* WMA(n) */
+    fp_t wt_full = (fp_t)k * ((fp_t)k + 1.0) / 2.0;
+    for ( uint_t i = k - 1; i < n; ++i )
+    {
+        fp_t s = 0;
+        for ( uint_t j = 0; j < k; ++j )
+            s += x[0][i - j] * (fp_t)(k - j);
+        wma_full[i] = s / wt_full;
+    }
+
+    /* HMA = WMA(sqrt(n), 2*WMA(n/2) - WMA(n)) */
+    fp_t wt_sqrt = (fp_t)sqrt_k * ((fp_t)sqrt_k + 1.0) / 2.0;
+    uint_t offset = k + sqrt_k - 2;
+    for (uint_t j = 0; j < n && j < offset; ++j) y[0][j] = NAN;
+    for ( uint_t i = offset; i < n; ++i )
+    {
+        fp_t s = 0;
+        for ( uint_t j = 0; j < sqrt_k; ++j )
+        {
+            fp_t diff = 2.0 * wma_half[i - j] - wma_full[i - j];
+            s += diff * (fp_t)(sqrt_k - j);
+        }
+        y[0][i] = s / wt_sqrt;
+    }
+
+    free( wma_half );
+    free( wma_full );
+	return 0;
+}
+