1 files changed, 118 insertions, 0 deletions
diff --git a/lib/supertrend.c b/lib/supertrend.c
new file mode 100644
index 0000000..4487e96
--- /dev/null
+++ b/lib/supertrend.c
@@ -0,0 +1,118 @@
+// Supertrend
+//
+// supertrend
+//
+// SuperTrend Indicator
+//
+// 
+//
+// Inputs:    4
+// Outputs:   2
+// Constants: 2
+
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+    fp_t mult;
+} ts_supertrend_params_t;
+
+ts_parameter_t const ts_supertrend_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 2, .params_size = sizeof(ts_supertrend_params_t) };
+
+uint_t ts_supertrend_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_supertrend_params_t *)c)->k : 0 );
+}
+
+int ts_supertrend(
+	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_supertrend_p );
+	if ( !c ) return -1;
+	TS_CHECK_INPUT(x, x_n, n);
+	uint_t k = ((ts_supertrend_params_t *)c)->k;
+	fp_t mult = ((ts_supertrend_params_t *)c)->mult;
+	if (k == 0 || n <= k) return -1;
+
+	fp_t tr = ts_h( x, 1 ) - ts_l( x, 1 );
+	fp_t tr2 = fabs( ts_h( x, 1 ) - ts_c( x, 0 ) );
+	fp_t tr3 = fabs( ts_l( x, 1 ) - ts_c( x, 0 ) );
+	if( tr2 > tr ) tr = tr2;
+	if( tr3 > tr ) tr = tr3;
+	fp_t atr = tr;
+
+	for( uint_t i = 2; i <= k; ++i )
+	{
+		tr = ts_h( x, i ) - ts_l( x, i );
+		tr2 = fabs( ts_h( x, i ) - ts_c( x, i - 1 ) );
+		tr3 = fabs( ts_l( x, i ) - ts_c( x, i - 1 ) );
+		if( tr2 > tr ) tr = tr2;
+		if( tr3 > tr ) tr = tr3;
+		atr = atr + (tr - atr) / k;
+	}
+
+	fp_t median = ( ts_h( x, k ) + ts_l( x, k ) ) / 2.0;
+	fp_t raw_upper = median + mult * atr;
+	fp_t raw_lower = median - mult * atr;
+
+	fp_t final_upper = raw_upper;
+	fp_t final_lower = raw_lower;
+	int_t trend = 1;
+
+	if( ts_c( x, k ) > raw_lower )
+	{
+		trend = 1;
+	}
+	else
+	{
+		trend = -1;
+	}
+
+	y[0][k] = trend == 1 ? final_lower : final_upper;
+	y[1][k] = trend;
+
+	for( uint_t i = k + 1; i < n; ++i )
+	{
+		tr = ts_h( x, i ) - ts_l( x, i );
+		tr2 = fabs( ts_h( x, i ) - ts_c( x, i - 1 ) );
+		tr3 = fabs( ts_l( x, i ) - ts_c( x, i - 1 ) );
+		if( tr2 > tr ) tr = tr2;
+		if( tr3 > tr ) tr = tr3;
+		atr = atr + (tr - atr) / k;
+
+		median = ( ts_h( x, i ) + ts_l( x, i ) ) / 2.0;
+		raw_upper = median + mult * atr;
+		raw_lower = median - mult * atr;
+
+		if( raw_upper < final_upper || ts_c( x, i - 1 ) > final_upper )
+			final_upper = raw_upper;
+
+		if( raw_lower > final_lower || ts_c( x, i - 1 ) < final_lower )
+			final_lower = raw_lower;
+
+		int_t new_trend = trend;
+
+		if( trend == 1 )
+		{
+			if( ts_c( x, i ) < final_lower )
+				new_trend = -1;
+		}
+		else
+		{
+			if( ts_c( x, i ) > final_upper )
+				new_trend = 1;
+		}
+
+		trend = new_trend;
+		y[0][i] = trend == 1 ? final_lower : final_upper;
+		y[1][i] = trend;
+	}
+	return 0;
+}
+