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, 78 insertions, 0 deletions

diff --git a/lib/dpo.c b/lib/dpo.c
new file mode 100644
index 0000000..5bf069b
--- /dev/null
+++ b/lib/dpo.c
@@ -0,0 +1,78 @@
+// 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;
+}
+
+