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// Bollinger Width
//
// bollinger_width - BB width
//
// Normalized band width: (Upper - Lower) / SMA * 100
//
// Inputs: 1
// Outputs: 1 (Width %)
// Constants: 2 (period, std multiplier)
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
fp_t std_mult;
} ts_bollinger_width_params_t;
ts_parameter_t const ts_bollinger_width_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 2, .params_size = sizeof(ts_bollinger_width_params_t) };
uint_t ts_bollinger_width_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_bollinger_width_params_t const *)c)->k > 0 ? ((ts_bollinger_width_params_t const *)c)->k - 1 : 0 : 0 );
}
int ts_bollinger_width(
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_bollinger_width_p );
if ( !c ) return -1;
TS_CHECK_INPUT(x, x_n, n);
uint_t k = ((ts_bollinger_width_params_t const *)c)->k;
if (k == 0 || n < k) return -1;
fp_t std_mult = ((ts_bollinger_width_params_t const *)c)->std_mult;
if (std_mult < 0 || isnan(std_mult) || isinf(std_mult)) return -1;
for( uint_t i = k - 1; i < n; ++i )
{
fp_t sum = 0, sum2 = 0;
for( uint_t j = 0; j < k; ++j )
{
fp_t v = x[0][i - k + 1 + j];
sum += v;
sum2 += v * v;
}
fp_t mean = sum / k;
fp_t variance = sum2 / k - mean * mean;
fp_t stddev = variance >= 0 ? sqrt( variance ) : 0;
fp_t upper = mean + std_mult * stddev;
fp_t lower = mean - std_mult * stddev;
y[0][i] = mean != 0 ? ( upper - lower ) / mean * 100.0 : 0;
}
return 0;
}
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