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, 57 insertions, 0 deletions

diff --git a/lib/intraday_momentum_index.c b/lib/intraday_momentum_index.c
new file mode 100644
index 0000000..79209bd
--- /dev/null
+++ b/lib/intraday_momentum_index.c
@@ -0,0 +1,57 @@
+// 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;
+}
+
+
+