lib/ema_variable.c


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// Variable EMA
//
// ema_variable - EMA
//
// EMA with alpha = 2/(k+1): y = prev + alpha * (x - prev)
//
// Inputs:    1
// Outputs:   1 (EMA)
// Constants: 1 (period)

#include <math.h>
#include "ts.h"

typedef struct {
    fp_t k;
} ts_ema_variable_params_t;

ts_parameter_t const ts_ema_variable_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_ema_variable_params_t) };

uint_t ts_ema_variable_offset( ts_constant_t const *c )
{
	( void )c;
	return ( 0 );
}

int ts_ema_variable(
	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_ema_variable_p );
	if ( !c ) return -1;
    fp_t k = ((ts_ema_variable_params_t *)c)->k;
    if (k <= 0) return -1;
    if (n == 0) return -1;

    fp_t alpha = 2.0 / (k + 1.0);
    y[0][0] = x[0][0];

    for (uint_t i = 1; i < n; ++i)
    {
        y[0][i] = y[0][i - 1] + alpha * (x[0][i] - y[0][i - 1]);
    }
	return 0;
}