From 07e18043145f3d91c8ea7ec3ad41b3c905585277 Mon Sep 17 00:00:00 2001 From: Ethan Werner Date: Wed, 1 Jul 2026 09:42:39 +0400 Subject: initial commit: ts time series analysis library v0.1.0 - 354 financial and mathematical time-series indicators - Uniform C11 API with consistent function signatures - 349 passing tests with -Werror - Static and shared library builds - pkg-config integration - Python bindings - Fuzzing and sanitizer support - Security hardening flags --- lib/average_weighted.c | 67 ++++++++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 67 insertions(+) create mode 100644 lib/average_weighted.c (limited to 'lib/average_weighted.c') diff --git a/lib/average_weighted.c b/lib/average_weighted.c new file mode 100644 index 0000000..eb99a17 --- /dev/null +++ b/lib/average_weighted.c @@ -0,0 +1,67 @@ +// Weighted Moving Average +// +// average_weighted - wma +// +// Weighted mean of previous k data points +// +// y[t] = SUM[ i = t, t - k]( x[t] * ( ) ) +// +// Inputs: 1 +// Outputs: 1 +// Constants: 1 + + +#include "ts.h" + + +typedef struct { + uint_t k; +} ts_average_weighted_params_t; + +ts_parameter_t const ts_average_weighted_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_average_weighted_params_t) }; + + +uint_t ts_average_weighted_offset( ts_constant_t const *c ) +{ + ( void )c; + return ( c ? ((ts_average_weighted_params_t *)c)->k - 1 : 0 ); +} + +int ts_average_weighted( + 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_average_weighted_p ); + if ( !c ) return -1; + uint_t k = ((ts_average_weighted_params_t *)c)->k; + if (k == 0 || n < k) return -1; + + uint_t xi = 0; + uint_t yi = k; + + fp_t sum = 0; + fp_t wsum = 0; + + for( ; xi < k; ++xi ) + { + sum += x[0][xi]; + wsum += x[0][xi] * ( xi + 1 ); + } + + fp_t rtri = 1.0 / _ts_triangle_number( k ); + + y[0][k - 1] = wsum * rtri; + + for( ; xi < n; ++xi, ++yi ) + { + wsum = wsum + ( k * x[0][xi] ) - sum; + sum = sum + x[0][xi] - x[0][xi - k]; + y[0][yi] = wsum * rtri; + } + return 0; +} + + + -- cgit v1.3.1