lib/dpo.c


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// Detrended Price Oscillator
//
// dpo - DPO
//
// Price[t] - SMA[k][t - k/2 - 1], centerless moving average
//
// Inputs:    1
// Outputs:   1 (DPO)
// Constants: 1 (period)

#include <math.h>
#include <stdlib.h>
#include "ts.h"

typedef struct {
    uint_t k;
} ts_dpo_params_t;

ts_parameter_t const ts_dpo_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_dpo_params_t) };

uint_t ts_dpo_offset( ts_constant_t const *c )
{
	( void )c;
	return ( c ? ((ts_dpo_params_t *)c)->k / 2 + 1 : 0 );
}

int ts_dpo(
	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_dpo_p );
	if ( !c ) return -1;
    uint_t k = ((ts_dpo_params_t *)c)->k;
    if (k == 0 || n < k) return -1;

    uint_t sma_period = k;
    uint_t offset = k / 2 + 1;

    if (n < sma_period) return -1;

    fp_t sum = 0;
    for ( uint_t i = 0; i < sma_period; ++i )
    {
        sum += x[0][i];
    }

    fp_t *sma_values = calloc( n, sizeof( fp_t ) );
    if ( !sma_values ) return -1;

    for (uint_t i = 0; i < offset; ++i) y[0][i] = 0;

    uint_t sma_idx = 0;

    for ( uint_t i = sma_period - 1; i < n; ++i )
    {
        if ( i == sma_period - 1 )
        {
            sma_values[sma_idx] = sum / ( fp_t )sma_period;
        }
        else
        {
            sma_values[sma_idx] = sma_values[sma_idx - 1] + ( x[0][i] - x[0][i - sma_period] ) / ( fp_t )sma_period;
        }
        sma_idx++;

        if ( i >= offset )
        {
            y[0][i] = x[0][i] - sma_values[i - offset];
        }
    }

    free( sma_values );
	return 0;
}