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/keltner_channel.c b/lib/keltner_channel.c
new file mode 100644
index 0000000..259be03
--- /dev/null
+++ b/lib/keltner_channel.c
@@ -0,0 +1,78 @@
+// Keltner Channel
+//
+// keltner_channel
+//
+// Keltner Channel
+//
+// Middle: EMA, Upper/Lower: EMA ± mult*ATR
+//
+// Inputs:    4
+// Outputs:   3
+// Constants: 1
+
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_keltner_channel_params_t;
+
+ts_parameter_t const ts_keltner_channel_p = { .n_inputs = 4, .n_outputs = 3, .n_constants = 1, .params_size = sizeof(ts_keltner_channel_params_t) };
+
+uint_t ts_keltner_channel_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_keltner_channel_params_t *)c)->k : 0 );
+}
+
+int ts_keltner_channel(
+	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_keltner_channel_p );
+	if ( !c ) return -1;
+    uint_t k = ((ts_keltner_channel_params_t *)c)->k;
+    if (k == 0 || n <= k) return -1;
+
+    fp_t a = 2.0 / ((fp_t)k + 1.0);
+
+    fp_t ema_tp = ( ts_h( x, 0 ) + ts_l( x, 0 ) + ts_c( x, 0 ) ) / 3.0;
+
+    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 = 0; i < k; ++i) { y[0][i] = 0; y[1][i] = 0; y[2][i] = 0; }
+
+    for( uint_t i = 1; i < n; ++i )
+    {
+        fp_t tp = ( ts_h( x, i ) + ts_l( x, i ) + ts_c( x, i ) ) / 3.0;
+        ema_tp = ema_tp + a * ( tp - ema_tp );
+
+        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;
+
+        if( i >= 2 )
+            atr = atr + (tr - atr) / k;
+
+        if( i >= k )
+        {
+            y[0][i] = ema_tp;
+            y[1][i] = ema_tp + 2.0 * atr;
+            y[2][i] = ema_tp - 2.0 * atr;
+        }
+    }
+	return 0;
+}
+
+
+