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

1 files changed, 88 insertions, 0 deletions

diff --git a/lib/atr_trailing_stops.c b/lib/atr_trailing_stops.c
new file mode 100644
index 0000000..2c7cd73
--- /dev/null
+++ b/lib/atr_trailing_stops.c
@@ -0,0 +1,88 @@
+// ATR Trailing Stops
+//
+// atr_trailing_stops - ATR stops
+//
+// Upper stop: max(prev, (H+L)/2 + mult*ATR)
+// Lower stop: min(prev, (H+L)/2 - mult*ATR)
+//
+// Inputs:    4 (OHLC)
+// Outputs:   2 (Upper Stop, Lower Stop)
+// Constants: 2 (period, multiplier)
+
+#include <math.h>
+#include "ts.h"
+
+
+typedef struct {
+    uint_t k;
+    fp_t mult;
+} ts_atr_trailing_stops_params_t;
+
+ts_parameter_t const ts_atr_trailing_stops_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 2, .params_size = sizeof(ts_atr_trailing_stops_params_t) };
+
+
+uint_t ts_atr_trailing_stops_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_atr_trailing_stops_params_t *)c)->k : 0 );
+}
+
+int ts_atr_trailing_stops(
+	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_atr_trailing_stops_p );
+	if ( !c ) return -1;
+	uint_t k = ((ts_atr_trailing_stops_params_t *)c)->k;
+	if (k == 0) return -1;
+	if (n < k + 1) return -1;
+
+	fp_t mult = ((ts_atr_trailing_stops_params_t *)c)->mult;
+
+	fp_t tr_sum = 0;
+	fp_t atr = 0;
+
+	for( uint_t i = 1; i < n; ++i )
+	{
+		fp_t tr = fmax( ts_h( x, i ) - ts_l( x, i ), fmax( fabs( ts_h( x, i ) - ts_c( x, i - 1 ) ), fabs( ts_l( x, i ) - ts_c( x, i - 1 ) ) ) );
+
+		if( i < k )
+		{
+			tr_sum += tr;
+			atr = tr_sum / (fp_t)i;
+		}
+		else if( i == k )
+		{
+			tr_sum += tr;
+			atr = tr_sum / (fp_t)k;
+		}
+		else
+		{
+			atr = ( atr * ( k - 1 ) + tr ) / k;
+		}
+
+		if( i >= k )
+		{
+			fp_t mid = ( ts_h( x, i ) + ts_l( x, i ) ) / 2.0;
+			fp_t calc_upper = mid + mult * atr;
+			fp_t calc_lower = mid - mult * atr;
+
+			if( i == k )
+			{
+				y[0][i] = calc_upper;
+				y[1][i] = calc_lower;
+			}
+			else
+			{
+				y[0][i] = fmax( y[0][i - 1], calc_upper );
+				y[1][i] = fmin( y[1][i - 1], calc_lower );
+			}
+		}
+	}
+	return 0;
+}
+
+
+