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// Choppiness Index
//
// choppiness_index - CHOP
//
// 100 * log(SUM(H-L) / Range) / log(k), measures trend vs chop
//
// Inputs: 3 (HLC)
// Outputs: 1 (CHOP)
// Constants: 0
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
} ts_choppiness_index_params_t;
ts_parameter_t const ts_choppiness_index_p = { .n_inputs = 3, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_choppiness_index_params_t) };
uint_t ts_choppiness_index_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? 2 * ((ts_choppiness_index_params_t const *)c)->k : 0 );
}
int ts_choppiness_index(
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_choppiness_index_p );
if ( !c ) return -1;
uint_t k = ((ts_choppiness_index_params_t const *)c)->k;
uint_t range_period = 2 * k;
if (k == 0 || n < range_period) return -1;
for ( uint_t i = range_period; i < n; ++i )
{
fp_t sum_range = 0;
for ( uint_t j = i - k + 1; j <= i; ++j )
{
sum_range += fabs( ts_h( x, j ) - ts_l( x, j ) );
}
fp_t hh = ts_h( x, i - range_period + 1 );
fp_t ll = ts_l( x, i - range_period + 1 );
for ( uint_t j = i - range_period + 1; j <= i; ++j )
{
if ( ts_h( x, j ) > hh ) hh = ts_h( x, j );
if ( ts_l( x, j ) < ll ) ll = ts_l( x, j );
}
fp_t range = hh - ll;
if ( range == 0 || sum_range == 0 || k <= 1 )
{
y[0][i] = 0;
}
else
{
y[0][i] = 100.0 * log( sum_range / range ) / log( ( fp_t )k );
}
}
return 0;
}
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