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// Keltner Channel
//
// keltner_channel
//
// Keltner Channel
//
// Middle: EMA, Upper/Lower: EMA ± mult*ATR
//
// Inputs: 4
// Outputs: 3
// Constants: 1
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
} ts_keltner_channel_params_t;
ts_parameter_t const ts_keltner_channel_p = { .n_inputs = 4, .n_outputs = 3, .n_constants = 1, .params_size = sizeof(ts_keltner_channel_params_t) };
uint_t ts_keltner_channel_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_keltner_channel_params_t const *)c)->k : 0 );
}
int ts_keltner_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_keltner_channel_p );
if ( !c ) return -1;
uint_t k = ((ts_keltner_channel_params_t const *)c)->k;
if (k == 0 || n <= k) return -1;
fp_t a = 2.0 / ((fp_t)k + 1.0);
fp_t ema_tp = ( ts_h( x, 0 ) + ts_l( x, 0 ) + ts_c( x, 0 ) ) / 3.0;
fp_t tr = ts_h( x, 1 ) - ts_l( x, 1 );
fp_t tr2 = fabs( ts_h( x, 1 ) - ts_c( x, 0 ) );
fp_t tr3 = fabs( ts_l( x, 1 ) - ts_c( x, 0 ) );
if( tr2 > tr ) tr = tr2;
if( tr3 > tr ) tr = tr3;
fp_t atr = tr;
for (uint_t i = 0; i < k; ++i) { y[0][i] = 0; y[1][i] = 0; y[2][i] = 0; }
for( uint_t i = 1; i < n; ++i )
{
fp_t tp = ( ts_h( x, i ) + ts_l( x, i ) + ts_c( x, i ) ) / 3.0;
ema_tp = ema_tp + a * ( tp - ema_tp );
tr = ts_h( x, i ) - ts_l( x, i );
tr2 = fabs( ts_h( x, i ) - ts_c( x, i - 1 ) );
tr3 = fabs( ts_l( x, i ) - ts_c( x, i - 1 ) );
if( tr2 > tr ) tr = tr2;
if( tr3 > tr ) tr = tr3;
if( i >= 2 )
atr = atr + (tr - atr) / k;
if( i >= k )
{
y[0][i] = ema_tp;
y[1][i] = ema_tp + 2.0 * atr;
y[2][i] = ema_tp - 2.0 * atr;
}
}
return 0;
}
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