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, 96 insertions, 0 deletions

diff --git a/lib/stoch_rsi.c b/lib/stoch_rsi.c
new file mode 100644
index 0000000..81992a6
--- /dev/null
+++ b/lib/stoch_rsi.c
@@ -0,0 +1,96 @@
+// Stoch Rsi
+//
+// stoch_rsi
+//
+// Stochastic RSI
+//
+// 
+//
+// Inputs:    1
+// Outputs:   2
+// Constants: 2
+
+
+#include <math.h>
+#include <stdlib.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t rsi_period;
+    uint_t stoch_period;
+} ts_stoch_rsi_params_t;
+
+ts_parameter_t const ts_stoch_rsi_p = { .n_inputs = 1, .n_outputs = 2, .n_constants = 2, .params_size = sizeof(ts_stoch_rsi_params_t) };
+
+uint_t ts_stoch_rsi_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_stoch_rsi_params_t *)c)->rsi_period + ((ts_stoch_rsi_params_t *)c)->stoch_period - 1 : 0 );
+}
+
+int ts_stoch_rsi(
+	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_stoch_rsi_p );
+	if ( !c ) return -1;
+	uint_t rsi_period = ((ts_stoch_rsi_params_t *)c)->rsi_period;
+	uint_t stoch_period = ((ts_stoch_rsi_params_t *)c)->stoch_period;
+	if (rsi_period == 0 || stoch_period == 0) return -1;
+
+	fp_t *rsi_values = NULL;
+	if( n > 0 )
+	{
+		rsi_values = calloc( n, sizeof( fp_t ) );
+		if( !rsi_values ) return -1;
+	}
+
+	for( uint_t i = rsi_period; i < n; ++i )
+	{
+		fp_t sum_gain = 0;
+		fp_t sum_loss = 0;
+
+		for( uint_t j = 0; j < rsi_period; ++j )
+		{
+			fp_t change = x[0][i - rsi_period + 1 + j] - x[0][i - rsi_period + j];
+			if( change > 0 )
+				sum_gain += change;
+			else if( change < 0 )
+				sum_loss += (-change);
+		}
+
+		if( sum_loss == 0 )
+			rsi_values[i] = 100.0;
+		else
+		{
+			fp_t rs = sum_gain / sum_loss;
+			rsi_values[i] = 100.0 - ( 100.0 / ( 1.0 + rs ) );
+		}
+	}
+
+	for (uint_t j = 0; j < n && j < rsi_period + stoch_period - 1; ++j) { y[0][j] = 0; y[1][j] = 0; }
+	for( uint_t i = rsi_period + stoch_period - 1; i < n; ++i )
+	{
+		fp_t rsi_min = rsi_values[i - stoch_period + 1];
+		fp_t rsi_max = rsi_values[i - stoch_period + 1];
+
+		for( uint_t j = 1; j < stoch_period; ++j )
+		{
+			rsi_min = fmin( rsi_min, rsi_values[i - stoch_period + 1 + j] );
+			rsi_max = fmax( rsi_max, rsi_values[i - stoch_period + 1 + j] );
+		}
+
+		fp_t denom = rsi_max - rsi_min;
+		fp_t stoch_k = denom != 0 ? ( rsi_values[i] - rsi_min ) / denom : 0;
+		fp_t stoch_d = stoch_k;
+
+		y[0][i] = stoch_k;
+		y[1][i] = stoch_d;
+	}
+
+	free( rsi_values );
+	return 0;
+}
+