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, 65 insertions, 0 deletions

diff --git a/lib/variable_index_dynamic_average.c b/lib/variable_index_dynamic_average.c
new file mode 100644
index 0000000..5f4ae4f
--- /dev/null
+++ b/lib/variable_index_dynamic_average.c
@@ -0,0 +1,65 @@
+// Variable Index Dynamic Average
+//
+// variable_index_dynamic_average
+//
+// Variable Index Dynamic Average
+//
+// 
+//
+// Inputs:    1
+// Outputs:   1
+// Constants: 1
+
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t period;
+} ts_variable_index_dynamic_average_params_t;
+
+ts_parameter_t const ts_variable_index_dynamic_average_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_variable_index_dynamic_average_params_t) };
+
+uint_t ts_variable_index_dynamic_average_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_variable_index_dynamic_average_params_t *)c)->period : 0 );
+}
+
+int ts_variable_index_dynamic_average(
+	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_variable_index_dynamic_average_p );
+	if ( !c ) return -1;
+    uint_t period = ((ts_variable_index_dynamic_average_params_t *)c)->period;
+    if (period < 2 || n <= period) return -1;
+
+    fp_t vidya = x[0][period];
+    y[0][period] = vidya;
+
+    fp_t alpha_init = (fp_t)(period - 2) / (2.0 * (fp_t)(period - 1));
+    fp_t alpha = alpha_init;
+
+    for( uint_t i = period + 1; i < n; ++i )
+    {
+        vidya = vidya + alpha * (x[0][i] - vidya);
+        y[0][i] = vidya;
+
+        fp_t numerator = fabs( x[0][i] - x[0][i - period] );
+        fp_t denominator = 0;
+        for( uint_t j = i - period + 1; j <= i; ++j )
+            denominator += fabs( x[0][j] - x[0][j - 1] );
+        fp_t er = (denominator == 0) ? 0 : numerator / denominator;
+
+        fp_t alpha_new = er * er * 2.0 / (fp_t)(period + 1);
+        if( alpha_new < 0 ) alpha_new = 0;
+        if( alpha_new > 1 ) alpha_new = 1;
+
+        alpha = (alpha + alpha_new) / 2.0;
+    }
+	return 0;
+}
+