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, 107 insertions, 0 deletions

diff --git a/lib/average_triangle.c b/lib/average_triangle.c
new file mode 100644
index 0000000..9ac952d
--- /dev/null
+++ b/lib/average_triangle.c
@@ -0,0 +1,107 @@
+// Triangular Moving Average
+//
+// average_triangle - tma
+//
+// A moving average of moving averages
+//
+// y[i] = 
+// 
+// Inputs:    1
+// Outputs:   1
+// Constants: 1
+//
+// 012345678901234567890123456789
+// ---------01234567890123456
+// ------------------0
+
+
+#include <stdlib.h>
+#include "ts.h"
+
+
+typedef struct {
+    uint_t k;
+} ts_average_triangle_params_t;
+
+ts_parameter_t const ts_average_triangle_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_average_triangle_params_t) };
+
+
+uint_t ts_average_triangle_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? 2 * ( ((ts_average_triangle_params_t *)c)->k - 1 ) : 0 );
+}
+
+int ts_average_triangle(
+	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_triangle_p );
+	if ( !c ) return -1;
+	uint_t k = ((ts_average_triangle_params_t *)c)->k;
+	if (k == 0 || n < k) return -1;
+
+	fp_t rk2 = _ts_reciprocal( _ts_square( k ) );
+	uint_t xi = 0;
+	uint_t yi = 2 * ( k - 1 );
+
+	fp_t *xsum = malloc(k * sizeof(fp_t));
+	if (!xsum) return -1;
+	uint_t xsumi = 0;
+
+	fp_t sum_of_xsum = 0;
+
+   xsum[0] = 0;
+
+	for (uint_t j = 0; j < n && j < 2 * (k - 1); ++j) y[0][j] = 0;
+
+	fp_t last_sum = 0;
+
+	for( ; xi < k; xi++ )
+	{
+		xsum[xsumi] += x[0][xi];
+		last_sum = xsum[xsumi];
+	}
+
+    sum_of_xsum = xsum[xsumi];
+    xsumi++;
+
+	for( ; xi < 2 * k - 1; xi++ )
+	{
+	    xsum[xsumi] = xsum[xsumi - 1] + x[0][xi] - x[0][xi - k];
+	    last_sum = xsum[xsumi];
+	    sum_of_xsum += xsum[xsumi];
+    	xsumi++;
+	}
+
+	y[0][yi++] = sum_of_xsum * rk2;
+
+	for( ; xi < n; ++xi, ++yi )
+	{
+	    if( xsumi == k )
+	    {
+	        xsumi = 0;
+       	    sum_of_xsum -= xsum[xsumi];
+	        xsum[xsumi] = last_sum + x[0][xi] - x[0][xi - k];
+	    }
+	    else
+	    {
+     	    sum_of_xsum -= xsum[xsumi];
+	        xsum[xsumi] = last_sum + x[0][xi] - x[0][xi - k];
+	    }
+
+        last_sum = xsum[xsumi];
+        sum_of_xsum += xsum[xsumi];
+		y[0][yi] = sum_of_xsum * rk2;
+
+		xsumi++;
+	}
+
+	free(xsum);
+	return 0;
+}
+
+
+