diff options
Diffstat (limited to 'lib/parabolic_sar.c')
| -rw-r--r-- | lib/parabolic_sar.c | 99 |
1 files changed, 99 insertions, 0 deletions
diff --git a/lib/parabolic_sar.c b/lib/parabolic_sar.c new file mode 100644 index 0000000..ff84834 --- /dev/null +++ b/lib/parabolic_sar.c @@ -0,0 +1,99 @@ +// Parabolic Sar +// +// parabolic_sar +// +// Parabolic SAR +// +// +// +// Inputs: 4 +// Outputs: 2 +// Constants: 2 + + +#include <math.h> +#include "ts.h" + +typedef struct { + fp_t step; + fp_t max_af; +} ts_parabolic_sar_params_t; + +ts_parameter_t const ts_parabolic_sar_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 2, .params_size = sizeof(ts_parabolic_sar_params_t) }; + +uint_t ts_parabolic_sar_offset( ts_constant_t const *c ) +{ + ( void )c; + return ( 0 ); +} + +int ts_parabolic_sar( + 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_parabolic_sar_p ); + if ( !c ) return -1; + fp_t step = ((ts_parabolic_sar_params_t *)c)->step; + fp_t max_af = ((ts_parabolic_sar_params_t *)c)->max_af; + if (step <= 0 || max_af <= 0) return -1; + if (isnan(step) || isnan(max_af)) return -1; + if (step > max_af) return -1; + if (n == 0) return -1; + + int_t trend = 1; + fp_t sar = ts_l( x, 0 ); + fp_t ep = ts_h( x, 0 ); + fp_t af = step; + + for ( uint_t i = 0; i < n; ++i ) + { + y[0][i] = sar; + y[1][i] = (fp_t)(trend > 0); + + if (i == 0) continue; + + if (trend > 0) + { + sar = sar + af * (ep - sar); + if (ts_l( x, i ) < sar) + { + trend = -1; + sar = ep; + ep = ts_l( x, i ); + af = step; + } + else + { + if (ts_h( x, i ) > ep) + { + ep = ts_h( x, i ); + af = af + step; + if (af > max_af) af = max_af; + } + } + } + else + { + sar = sar + af * (ep - sar); + if (ts_h( x, i ) > sar) + { + trend = 1; + sar = ep; + ep = ts_h( x, i ); + af = step; + } + else + { + if (ts_l( x, i ) < ep) + { + ep = ts_l( x, i ); + af = af + step; + if (af > max_af) af = max_af; + } + } + } + } + return 0; +} |