1 files changed, 61 insertions, 0 deletions
diff --git a/lib/kaufman_adaptive_ma.c b/lib/kaufman_adaptive_ma.c
new file mode 100644
index 0000000..f56c6a1
--- /dev/null
+++ b/lib/kaufman_adaptive_ma.c
@@ -0,0 +1,61 @@
+// Kaufman Adaptive Ma
+//
+// kaufman_adaptive_ma
+//
+// Kaufman Adaptive Moving Average
+//
+// AMA based on efficiency ratio
+//
+// Inputs:    1
+// Outputs:   1
+// Constants: 1
+
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_kaufman_adaptive_ma_params_t;
+
+ts_parameter_t const ts_kaufman_adaptive_ma_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_kaufman_adaptive_ma_params_t) };
+
+uint_t ts_kaufman_adaptive_ma_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_kaufman_adaptive_ma_params_t *)c)->k : 0 );
+}
+
+int ts_kaufman_adaptive_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_kaufman_adaptive_ma_p );
+	if ( !c ) return -1;
+    uint_t k = ((ts_kaufman_adaptive_ma_params_t *)c)->k;
+    if (k == 0 || n < k) return -1;
+
+    fp_t ama = x[0][0];
+    fp_t sm = 2.0 / ((fp_t)k + 1.0);
+    fp_t sn = 2.0 / (sqrt((fp_t)k) + 1.0);
+
+    for (uint_t i = k; i < n; ++i)
+    {
+        fp_t price_change = fabs(x[0][i] - x[0][i - k]);
+        fp_t noise = 0;
+        for (uint_t j = i - k + 1; j <= i; ++j)
+            noise += fabs(x[0][j] - x[0][j - 1]);
+
+        fp_t er = noise != 0 ? price_change / noise : 0;
+        fp_t er_sq = er * er;
+        fp_t sc = er_sq * (sn - sm) + sm;
+        sc = sc * sc;
+
+        ama = ama + sc * (x[0][i] - ama);
+        y[0][i] = ama;
+    }
+    return 0;
+}
+