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, 74 insertions, 0 deletions

diff --git a/lib/volatility_stop.c b/lib/volatility_stop.c
new file mode 100644
index 0000000..bfb207b
--- /dev/null
+++ b/lib/volatility_stop.c
@@ -0,0 +1,74 @@
+// Volatility Stop
+//
+// volatility_stop
+//
+// Volatility Stop
+//
+// 
+//
+// Inputs:    4
+// Outputs:   2
+// Constants: 2
+
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+    fp_t mult;
+} ts_volatility_stop_params_t;
+
+ts_parameter_t const ts_volatility_stop_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 2, .params_size = sizeof(ts_volatility_stop_params_t) };
+
+uint_t ts_volatility_stop_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_volatility_stop_params_t *)c)->k : 0 );
+}
+
+int ts_volatility_stop(
+	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_volatility_stop_p );
+	if ( !c ) return -1;
+    uint_t k = ((ts_volatility_stop_params_t *)c)->k;
+    fp_t mult = ((ts_volatility_stop_params_t *)c)->mult;
+    if (k == 0 || n < k) return -1;
+
+    for( uint_t i = k; i < n; ++i )
+    {
+        fp_t hh = ts_h(x, i - k);
+        fp_t ll = ts_l(x, i - k);
+
+        for( uint_t j = i - k + 1; j <= i; ++j )
+        {
+            if( ts_h(x, j) > hh ) hh = ts_h(x, j);
+            if( ts_l(x, j) < ll ) ll = ts_l(x, j);
+        }
+
+        fp_t atr = 0;
+        for( uint_t j = i - k; j <= i; ++j )
+        {
+            fp_t tr = ts_h(x, j) - ts_l(x, j);
+            if( j > 0 )
+            {
+                fp_t prev_close = ts_c(x, j - 1);
+                fp_t tr2 = fabs(ts_h(x, j) - prev_close);
+                fp_t tr3 = fabs(ts_l(x, j) - prev_close);
+                if( tr2 > tr ) tr = tr2;
+                if( tr3 > tr ) tr = tr3;
+            }
+            atr += tr;
+        }
+        atr /= (k + 1);
+
+        y[0][i] = hh - mult * atr;
+        y[1][i] = ll + mult * atr;
+    }
+	return 0;
+}
+