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// Supertrend
//
// supertrend
//
// SuperTrend Indicator
//
//
//
// Inputs: 4
// Outputs: 2
// Constants: 2
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
fp_t mult;
} ts_supertrend_params_t;
ts_parameter_t const ts_supertrend_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 2, .params_size = sizeof(ts_supertrend_params_t) };
uint_t ts_supertrend_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_supertrend_params_t *)c)->k : 0 );
}
int ts_supertrend(
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_supertrend_p );
if ( !c ) return -1;
TS_CHECK_INPUT(x, x_n, n);
uint_t k = ((ts_supertrend_params_t *)c)->k;
fp_t mult = ((ts_supertrend_params_t *)c)->mult;
if (k == 0 || n <= k) return -1;
fp_t tr = ts_h( x, 1 ) - ts_l( x, 1 );
fp_t tr2 = fabs( ts_h( x, 1 ) - ts_c( x, 0 ) );
fp_t tr3 = fabs( ts_l( x, 1 ) - ts_c( x, 0 ) );
if( tr2 > tr ) tr = tr2;
if( tr3 > tr ) tr = tr3;
fp_t atr = tr;
for( uint_t i = 2; i <= k; ++i )
{
tr = ts_h( x, i ) - ts_l( x, i );
tr2 = fabs( ts_h( x, i ) - ts_c( x, i - 1 ) );
tr3 = fabs( ts_l( x, i ) - ts_c( x, i - 1 ) );
if( tr2 > tr ) tr = tr2;
if( tr3 > tr ) tr = tr3;
atr = atr + (tr - atr) / k;
}
fp_t median = ( ts_h( x, k ) + ts_l( x, k ) ) / 2.0;
fp_t raw_upper = median + mult * atr;
fp_t raw_lower = median - mult * atr;
fp_t final_upper = raw_upper;
fp_t final_lower = raw_lower;
int_t trend = 1;
if( ts_c( x, k ) > raw_lower )
{
trend = 1;
}
else
{
trend = -1;
}
y[0][k] = trend == 1 ? final_lower : final_upper;
y[1][k] = trend;
for( uint_t i = k + 1; i < n; ++i )
{
tr = ts_h( x, i ) - ts_l( x, i );
tr2 = fabs( ts_h( x, i ) - ts_c( x, i - 1 ) );
tr3 = fabs( ts_l( x, i ) - ts_c( x, i - 1 ) );
if( tr2 > tr ) tr = tr2;
if( tr3 > tr ) tr = tr3;
atr = atr + (tr - atr) / k;
median = ( ts_h( x, i ) + ts_l( x, i ) ) / 2.0;
raw_upper = median + mult * atr;
raw_lower = median - mult * atr;
if( raw_upper < final_upper || ts_c( x, i - 1 ) > final_upper )
final_upper = raw_upper;
if( raw_lower > final_lower || ts_c( x, i - 1 ) < final_lower )
final_lower = raw_lower;
int_t new_trend = trend;
if( trend == 1 )
{
if( ts_c( x, i ) < final_lower )
new_trend = -1;
}
else
{
if( ts_c( x, i ) > final_upper )
new_trend = 1;
}
trend = new_trend;
y[0][i] = trend == 1 ? final_lower : final_upper;
y[1][i] = trend;
}
return 0;
}
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