1 files changed, 112 insertions, 0 deletions
diff --git a/lib/mesa_sine_wave.c b/lib/mesa_sine_wave.c
new file mode 100644
index 0000000..8ed5fa6
--- /dev/null
+++ b/lib/mesa_sine_wave.c
@@ -0,0 +1,112 @@
+// Mesa Sine Wave
+//
+// mesa_sine_wave
+//
+// Mesa Sine Wave
+//
+// Adaptive sine wave following price trends
+//
+// Inputs:    1
+// Outputs:   2
+// Constants: 1
+
+
+#include <math.h>
+#include <stdlib.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_mesa_sine_wave_params_t;
+
+ts_parameter_t const ts_mesa_sine_wave_p = { .n_inputs = 1, .n_outputs = 2, .n_constants = 1, .params_size = sizeof(ts_mesa_sine_wave_params_t) };
+
+uint_t ts_mesa_sine_wave_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_mesa_sine_wave_params_t *)c)->k : 0 );
+}
+
+int ts_mesa_sine_wave(
+	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_mesa_sine_wave_p );
+	if ( !c ) return -1;
+    uint_t k = ((ts_mesa_sine_wave_params_t *)c)->k;
+    if (k < 2 || n < k) return -1;
+
+    fp_t *sma = calloc(n, sizeof(fp_t));
+    if (!sma) return -1;
+
+    for (uint_t i = 0; i < n; ++i)
+    {
+        if (i < k - 1)
+        {
+            fp_t sum = 0;
+            for (uint_t j = 0; j <= i; ++j)
+                sum += x[0][j];
+            sma[i] = sum / (i + 1);
+        }
+        else
+        {
+            fp_t sum = 0;
+            for (uint_t j = i - k + 1; j <= i; ++j)
+                sum += x[0][j];
+            sma[i] = sum / k;
+        }
+    }
+
+    fp_t ema_roc = 0;
+    uint_t ema_period = 5;
+    fp_t ema_a = 2.0 / (ema_period + 1);
+    fp_t phase = 0;
+    int_t first = 1;
+
+    for (uint_t j = 0; j < n && j < k; ++j) { y[0][j] = 0; y[1][j] = 0; }
+    for (uint_t i = k; i < n; ++i)
+    {
+        fp_t roc = sma[i] - sma[i - 2];
+
+        if (first)
+        {
+            ema_roc = roc;
+            first = 0;
+        }
+        else
+        {
+            ema_roc = ema_roc + ema_a * (roc - ema_roc);
+        }
+
+        fp_t smoothed = ema_roc;
+        if (smoothed > 1.0) smoothed = 1.0;
+        if (smoothed < 0.01) smoothed = 0.01;
+
+        fp_t wperiod = 2 * PI / smoothed;
+        if (wperiod < 5) wperiod = 5;
+        if (wperiod > 12) wperiod = 12;
+
+        if (smoothed >= 1.0)
+        {
+            phase = 0;
+        }
+        else if (smoothed <= 0.01)
+        {
+            phase = 2 * PI;
+        }
+        else
+        {
+            phase += 2 * PI / wperiod;
+        }
+        while (phase > 2 * PI) phase -= 2 * PI;
+
+        y[0][i] = cos(phase);
+        y[1][i] = cos(phase + PI / 2);
+    }
+
+    free(sma);
+	return 0;
+}
+