From 07e18043145f3d91c8ea7ec3ad41b3c905585277 Mon Sep 17 00:00:00 2001 From: Ethan Werner Date: Wed, 1 Jul 2026 09:42:39 +0400 Subject: 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 --- lib/cv.c | 56 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 56 insertions(+) create mode 100644 lib/cv.c (limited to 'lib/cv.c') 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 +#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; +} + + + -- cgit v1.3.1