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// Average True Range
//
// atr - ATR
//
// Welles Wilder's Average True Range. True Range is the maximum of:
// (1) High - Low
// (2) |High - Previous Close|
// (3) |Low - Previous Close|
// The first ATR is the SMA of the first k TR values; subsequent values
// use Wilder's smoothing: ATR = (prev_ATR * (k-1) + TR) / k
//
// Inputs: 4 (OHLC)
// Outputs: 1 (ATR)
// Constants: 1 (period)
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
} ts_atr_params_t;
ts_parameter_t const ts_atr_p = { .n_inputs = 4, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_atr_params_t) };
uint_t ts_atr_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_atr_params_t *)c)->k : 0 );
}
int ts_atr(
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_atr_p );
if ( !c ) return -1;
TS_CHECK_INPUT(x, x_n, n);
uint_t k = ((ts_atr_params_t *)c)->k;
if (k == 0) return -1;
if (n < 2) return -1;
fp_t tr_sum = 0;
/* Cumulative SMA for first k TR values */
for( uint_t i = 1; i < k && i < n; ++i )
{
fp_t tr = fmax( ts_h( x, i ) - ts_l( x, i ), fmax( fabs( ts_h( x, i ) - ts_c( x, i - 1 ) ), fabs( ts_l( x, i ) - ts_c( x, i - 1 ) ) ) );
tr_sum += tr;
y[0][i] = tr_sum / (fp_t)i;
}
/* At bar k, use SMA of first k TR values */
if( k < n )
{
fp_t tr = fmax( ts_h( x, k ) - ts_l( x, k ), fmax( fabs( ts_h( x, k ) - ts_c( x, k - 1 ) ), fabs( ts_l( x, k ) - ts_c( x, k - 1 ) ) ) );
tr_sum += tr;
y[0][k] = tr_sum / (fp_t)k;
}
/* Wilder's smoothing from bar k+1 */
for( uint_t i = k + 1; i < n; ++i )
{
fp_t tr = fmax( ts_h( x, i ) - ts_l( x, i ), fmax( fabs( ts_h( x, i ) - ts_c( x, i - 1 ) ), fabs( ts_l( x, i ) - ts_c( x, i - 1 ) ) ) );
y[0][i] = ( y[0][i - 1] * ( k - 1 ) + tr ) / k;
}
return 0;
}
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