1 files changed, 75 insertions, 0 deletions
diff --git a/lib/relative_volatility.c b/lib/relative_volatility.c
new file mode 100644
index 0000000..9682a2d
--- /dev/null
+++ b/lib/relative_volatility.c
@@ -0,0 +1,75 @@
+// Relative Volatility
+//
+// relative_volatility
+//
+// Relative Volatility Index
+//
+// 
+//
+// Inputs:    1
+// Outputs:   1
+// Constants: 1
+
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_relative_volatility_params_t;
+
+ts_parameter_t const ts_relative_volatility_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_relative_volatility_params_t) };
+
+uint_t ts_relative_volatility_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_relative_volatility_params_t *)c)->k - 1 : 0 );
+}
+
+int ts_relative_volatility(
+	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_relative_volatility_p );
+	if ( !c ) return -1;
+	uint_t k = ((ts_relative_volatility_params_t *)c)->k;
+	if (k == 0 || n < k) return -1;
+
+	uint_t xi = 0;
+	uint_t yi = k - 1;
+
+	fp_t sum = 0;
+	fp_t sum2 = 0;
+
+	for( ; xi < k; ++xi )
+	{
+		sum += x[0][xi];
+		sum2 += _ts_square( x[0][xi] );
+	}
+
+   fp_t mean = sum / k;
+    fp_t mean2 = sum2 / k;
+    fp_t variance = mean2 - _ts_square( mean );
+    fp_t sd = variance >= 0 ? sqrt( variance ) : 0;
+
+	y[0][yi] = (fabs( mean ) > 0) ? sd / fabs( mean ) * 100 : 0;
+
+	fp_t rk = _ts_reciprocal( k );
+
+	for( ; xi < n; ++xi, ++yi )
+	{
+		sum = sum + ( x[0][xi] - x[0][xi - k] );
+		sum2 = sum2 + ( _ts_square( x[0][xi] ) - _ts_square( x[0][xi - k] ) );
+
+       mean = sum * rk;
+        mean2 = sum2 * rk;
+        variance = mean2 - _ts_square( mean );
+        sd = variance >= 0 ? sqrt( variance ) : 0;
+
+		y[0][yi] = (fabs( mean ) > 0) ? sd / fabs( mean ) * 100 : 0;
+	}
+	return 0;
+}
+