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// Aroon
//
// aroon - ar
//
// Measures the time since the highest high and lowest low in a lookback window.
// Aroon Up = ((period - days since highest high) / period) * 100
// Aroon Down = ((period - days since lowest low) / period) * 100
//
// Inputs: 4 (OHLC)
// Outputs: 2 (Aroon Up, Aroon Down)
// Constants: 1 (period)
#include "ts.h"
typedef struct {
uint_t k;
} ts_aroon_params_t;
ts_parameter_t const ts_aroon_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 1, .params_size = sizeof(ts_aroon_params_t) };
uint_t ts_aroon_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_aroon_params_t *)c)->k - 1 : 0 );
}
int ts_aroon(
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_aroon_p );
if ( !c ) return -1;
uint_t k = ((ts_aroon_params_t *)c)->k;
if (k == 0 || n < k) return -1;
for ( uint_t i = k - 1; i < n; ++i )
{
fp_t highest_high = ts_h( x, i - k + 1 );
uint_t age_highest = 0;
for ( uint_t j = i - k + 1; j <= i; ++j )
{
if ( ts_h( x, j ) > highest_high )
{
highest_high = ts_h( x, j );
age_highest = i - j;
}
}
fp_t lowest_low = ts_l( x, i - k + 1 );
uint_t age_lowest = 0;
for ( uint_t j = i - k + 1; j <= i; ++j )
{
if ( ts_l( x, j ) < lowest_low )
{
lowest_low = ts_l( x, j );
age_lowest = i - j;
}
}
y[0][i] = ( ( fp_t )( k - age_highest ) / ( fp_t )k ) * 100.0;
y[1][i] = ( ( fp_t )( k - age_lowest ) / ( fp_t )k ) * 100.0;
}
return 0;
}
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