1 files changed, 56 insertions, 0 deletions
diff --git a/lib/cv.c b/lib/cv.c
new file mode 100644
index 0000000..0c06250
--- /dev/null
+++ b/lib/cv.c
@@ -0,0 +1,56 @@
+// ConnorsRSI Volatility
+//
+// cv - CV
+//
+// EMA_fast(H-L) - EMA_slow(H-L), volatility measure
+//
+// Inputs:    5 (OHLCV)
+// Outputs:   1 (CV)
+// Constants: 2 (fast, slow periods)
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    fp_t fast;
+    fp_t slow;
+} ts_cv_params_t;
+
+ts_parameter_t const ts_cv_p = { .n_inputs = 4, .n_outputs = 1, .n_constants = 2, .params_size = sizeof(ts_cv_params_t) };
+
+uint_t ts_cv_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? (uint_t)((ts_cv_params_t *)c)->slow : 0 );
+}
+
+int ts_cv(
+	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_cv_p );
+	if ( !c ) return -1;
+	fp_t fast = ((ts_cv_params_t *)c)->fast;
+	fp_t slow = ((ts_cv_params_t *)c)->slow;
+	if (fast == 0 || slow == 0 || n == 0) return -1;
+
+	fp_t a_fast = 1.0 / fast;
+	fp_t a_slow = 1.0 / slow;
+
+	fp_t ema_fast = ts_h( x, 0 ) - ts_l( x, 0 );
+	fp_t ema_slow = ema_fast;
+
+	for( uint_t i = 1; i < n; ++i )
+	{
+		fp_t range = ts_h( x, i ) - ts_l( x, i );
+		ema_fast = ema_fast + a_fast * ( range - ema_fast );
+		ema_slow = ema_slow + a_slow * ( range - ema_slow );
+		y[0][i] = ema_fast - ema_slow;
+	}
+	return 0;
+}
+
+
+