1 files changed, 60 insertions, 0 deletions
diff --git a/lib/donchian_channel.c b/lib/donchian_channel.c
new file mode 100644
index 0000000..760c396
--- /dev/null
+++ b/lib/donchian_channel.c
@@ -0,0 +1,60 @@
+// Donchian Channel
+//
+// donchian_channel - DC
+//
+// Upper: highest high over k periods
+// Lower: lowest low over k periods
+// Middle: (Upper + Lower) / 2
+//
+// Inputs:    5 (OHLCV)
+// Outputs:   3 (Upper, Lower, Middle)
+// Constants: 1 (period)
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_donchian_channel_params_t;
+
+ts_parameter_t const ts_donchian_channel_p = { .n_inputs = 4, .n_outputs = 3, .n_constants = 1, .params_size = sizeof(ts_donchian_channel_params_t) };
+
+uint_t ts_donchian_channel_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_donchian_channel_params_t *)c)->k > 0 ? ((ts_donchian_channel_params_t *)c)->k - 1 : 0 : 0 );
+}
+
+int ts_donchian_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_donchian_channel_p );
+	if ( !c ) return -1;
+    uint_t k = ((ts_donchian_channel_params_t *)c)->k;
+    if (k == 0 || n < k) return -1;
+
+    for ( uint_t i = k - 1; i < n; ++i )
+    {
+        fp_t upper = ts_h( x, i - k + 1 );
+        fp_t lower = ts_l( x, i - k + 1 );
+
+        for ( uint_t j = i - k + 1; j <= i; ++j )
+        {
+            if ( ts_h( x, j ) > upper )
+                upper = ts_h( x, j );
+            if ( ts_l( x, j ) < lower )
+                lower = ts_l( x, j );
+        }
+
+        y[0][i] = upper;
+        y[1][i] = lower;
+        y[2][i] = ( upper + lower ) / 2.0;
+    }
+	return 0;
+}
+
+
+