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// Donchian Channel
//
// donchian_channel - DC
//
// Upper: highest high over k periods
// Lower: lowest low over k periods
// Middle: (Upper + Lower) / 2
//
// Inputs: 5 (OHLCV)
// Outputs: 3 (Upper, Lower, Middle)
// Constants: 1 (period)
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
} ts_donchian_channel_params_t;
ts_parameter_t const ts_donchian_channel_p = { .n_inputs = 4, .n_outputs = 3, .n_constants = 1, .params_size = sizeof(ts_donchian_channel_params_t) };
uint_t ts_donchian_channel_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_donchian_channel_params_t *)c)->k > 0 ? ((ts_donchian_channel_params_t *)c)->k - 1 : 0 : 0 );
}
int ts_donchian_channel(
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_donchian_channel_p );
if ( !c ) return -1;
uint_t k = ((ts_donchian_channel_params_t *)c)->k;
if (k == 0 || n < k) return -1;
for ( uint_t i = k - 1; i < n; ++i )
{
fp_t upper = ts_h( x, i - k + 1 );
fp_t lower = ts_l( x, i - k + 1 );
for ( uint_t j = i - k + 1; j <= i; ++j )
{
if ( ts_h( x, j ) > upper )
upper = ts_h( x, j );
if ( ts_l( x, j ) < lower )
lower = ts_l( x, j );
}
y[0][i] = upper;
y[1][i] = lower;
y[2][i] = ( upper + lower ) / 2.0;
}
return 0;
}
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