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// ATR Bands
//
// atr_bands - ATR bands
//
// Upper: SMA(Close) + mult * ATR
// Middle: SMA(Close)
// Lower: SMA(Close) - mult * ATR
//
// Inputs: 4 (OHLC)
// Outputs: 3 (Upper, Middle, Lower)
// Constants: 2 (period, multiplier)
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
fp_t mult;
} ts_atr_bands_params_t;
ts_parameter_t const ts_atr_bands_p = { .n_inputs = 4, .n_outputs = 3, .n_constants = 2, .params_size = sizeof(ts_atr_bands_params_t) };
uint_t ts_atr_bands_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_atr_bands_params_t const *)c)->k : 0 );
}
int ts_atr_bands(
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_bands_p );
if ( !c ) return -1;
TS_CHECK_INPUT(x, x_n, n);
uint_t k = ((ts_atr_bands_params_t const *)c)->k;
if (k == 0 || n < k) return -1;
if (n < 2) return -1;
fp_t mult = ((ts_atr_bands_params_t const *)c)->mult;
if (mult < 0 || isnan(mult) || isinf(mult)) return -1;
for ( uint_t i = 0; i < k - 1; ++i )
{
y[0][i] = NAN;
y[1][i] = NAN;
y[2][i] = NAN;
}
fp_t tr_sum = 0;
fp_t atr = 0;
// Accumulate ATR from i=1, but only write output from i=k-1 (when SMA window is valid)
for( uint_t i = 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 ) ) ) );
if( i < k )
{
tr_sum += tr;
atr = tr_sum / (fp_t)i;
}
else if( i == k )
{
tr_sum += tr;
atr = tr_sum / (fp_t)k;
}
else
{
atr = ( atr * ( k - 1 ) + tr ) / k;
}
// Only write output when SMA window is fully within bounds (i >= k-1)
if( i >= k - 1 )
{
fp_t sum = 0;
for( uint_t j = 0; j < k; ++j )
{
sum += ts_c( x, i - k + 1 + j );
}
fp_t mean = sum / k;
y[0][i] = mean + mult * atr;
y[1][i] = mean;
y[2][i] = mean - mult * atr;
}
}
return 0;
}
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