1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
|
// ConnorsRSI Volatility
//
// cv - CV
//
// EMA_fast(H-L) - EMA_slow(H-L), volatility measure
//
// Inputs: 4 (OHLC)
// Outputs: 1 (CV)
// Constants: 2 (fast, slow periods)
#include <math.h>
#include "ts.h"
typedef struct {
fp_t fast;
fp_t slow;
} ts_cv_params_t;
ts_parameter_t const ts_cv_p = { .n_inputs = 4, .n_outputs = 1, .n_constants = 2, .params_size = sizeof(ts_cv_params_t) };
uint_t ts_cv_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? (uint_t)((ts_cv_params_t const *)c)->slow : 0 );
}
int ts_cv(
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_cv_p );
if ( !c ) return -1;
fp_t fast = ((ts_cv_params_t const *)c)->fast;
fp_t slow = ((ts_cv_params_t const *)c)->slow;
if (fast == 0 || slow == 0) return -1;
fp_t a_fast = 1.0 / fast;
fp_t a_slow = 1.0 / slow;
fp_t ema_fast = ts_h( x, 0 ) - ts_l( x, 0 );
fp_t ema_slow = ema_fast;
for( uint_t i = 1; i < n; ++i )
{
fp_t range = ts_h( x, i ) - ts_l( x, i );
ema_fast = ema_fast + a_fast * ( range - ema_fast );
ema_slow = ema_slow + a_slow * ( range - ema_slow );
y[0][i] = ema_fast - ema_slow;
}
return 0;
}
|