lib/intraday_momentum_index.c


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// Intraday Momentum Index
//
// intraday_momentum_index
//
// Intraday Momentum Index
//
// SMA of up moves / total moves
//
// Inputs:    4
// Outputs:   1
// Constants: 0


#include "ts.h"


ts_parameter_t const ts_intraday_momentum_index_p = { .n_inputs = 4, .n_outputs = 1, .n_constants = 0, .params_size = 0 };

uint_t ts_intraday_momentum_index_offset( ts_constant_t const *c )
{
	( void )c;
	return ( 3 );
}

int ts_intraday_momentum_index(
	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_intraday_momentum_index_p );
	(void)c;
	uint_t k = 3;

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

	for( uint_t i = k; i < n; ++i )
	{
		fp_t sum_up = 0;
		fp_t sum_down = 0;

		for( uint_t j = 0; j < k; ++j )
		{
			fp_t diff = ts_o( x, i - k + 1 + j ) - ts_c( x, i - k + j );
			if( diff > 0 )
				sum_up += diff;
			else if( diff < 0 )
				sum_down += (-diff);
		}

		y[0][i] = (sum_up + sum_down) == 0 ? 0 : sum_up / (sum_up + sum_down);
	}
	return 0;
}