1 files changed, 26 insertions, 0 deletions
diff --git a/test/fisher_transform.c b/test/fisher_transform.c
new file mode 100644
index 0000000..050a360
--- /dev/null
+++ b/test/fisher_transform.c
@@ -0,0 +1,26 @@
+#include <math.h>
+#include <stddef.h>
+#include "ts.h"
+
+bool ts_test_fisher_transform( void )
+{
+	/* k=3, prices increasing monotonically */
+	fp_t const o[] = { 10, 11, 12, 13, 14, 15, 16, 17, 18, 19 };
+	fp_t const h[] = { 12, 13, 14, 15, 16, 17, 18, 19, 20, 21 };
+	fp_t const l[] = { 9, 10, 11, 12, 13, 14, 15, 16, 17, 18 };
+	fp_t const c[] = { 11, 12, 13, 14, 15, 16, 17, 18, 19, 20 };
+
+	fp_t const * const x[] = { o, h, l, c };
+
+	/* Window indices [1..3], H=[13,14,15], L=[10,11,12], range=5, val=(14-10)/5=0.8 */
+	/* fisher = 0.5*ln(0.8/0.2) + 0.5*0 = 0.5*ln(4) = 0.69315 */
+	/* Next: H=[14,15,16], L=[11,12,13], val=(15-11)/5=0.8, fisher=0.5*ln(4)+0.5*0.69315=0.69315+0.34657=1.03972 */
+	/* Monotonic, so all val=0.8, fisher converges toward ln(4) = 1.38629 */
+	/* f1=0.69315, f2=1.03972, f3=1.21301, f4=1.29965, f5=1.34297, f6=1.36463, f7=1.37546 */
+	fp_t const ef[] = { 0.69315, 1.03972, 1.21301, 1.29965, 1.34297, 1.36463, 1.37546, 1.38088, 0, 0 };
+	fp_t const et[] = { 0, 0.69315, 1.03972, 1.21301, 1.29965, 1.34297, 1.36463, 1.37546, 0, 0 };
+	fp_t const * const exp[2] = { ef, et };
+
+	uint_t k = 3;
+	return ts_test(ts_fisher_transform, ts_fisher_transform_offset, x, exp, sizeof( o ) / sizeof( *o ), (ts_constant_t *)&k, &ts_fisher_transform_p);
+}