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// Macd
//
// macd
//
// Moving Average Convergence Divergence
//
// MACD = EMA(fast) - EMA(slow), Signal = EMA(MACD)
//
// Inputs: 1
// Outputs: 3
// Constants: 3
#include <math.h>
#include "ts.h"
typedef struct {
fp_t fast_k;
fp_t slow_k;
fp_t signal_k;
} ts_macd_params_t;
ts_parameter_t const ts_macd_p = { .n_inputs = 1, .n_outputs = 3, .n_constants = 3, .params_size = sizeof(ts_macd_params_t) };
uint_t ts_macd_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? (uint_t)(((ts_macd_params_t *)c)->slow_k + ((ts_macd_params_t *)c)->signal_k - 2) : 0 );
}
int ts_macd(
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_macd_p );
if ( !c ) return -1;
TS_CHECK_INPUT(x, x_n, n);
fp_t fast_k = ((ts_macd_params_t *)c)->fast_k;
fp_t slow_k = ((ts_macd_params_t *)c)->slow_k;
fp_t signal_k = ((ts_macd_params_t *)c)->signal_k;
if (fast_k < 1 || slow_k < 1 || signal_k < 1) return -1;
if (isnan(fast_k) || isnan(slow_k) || isnan(signal_k)) return -1;
if (n == 0) return -1;
fp_t fast_a = 2.0 / (fast_k + 1.0);
fp_t slow_a = 2.0 / (slow_k + 1.0);
fp_t signal_a = 2.0 / (signal_k + 1.0);
fp_t fast_ema = x[0][0];
fp_t slow_ema = x[0][0];
uint_t total_offset = (uint_t)(slow_k + signal_k - 2);
if (n <= total_offset) return -1;
// Compute EMAs up to total_offset
for( uint_t i = 1; i <= total_offset; ++i )
{
fast_ema = fast_ema + fast_a * ( x[0][i] - fast_ema );
slow_ema = slow_ema + slow_a * ( x[0][i] - slow_ema );
}
fp_t macd_line = fast_ema - slow_ema;
fp_t signal_ema = macd_line;
y[0][total_offset] = macd_line;
y[1][total_offset] = signal_ema;
y[2][total_offset] = 0;
for( uint_t i = total_offset + 1; i < n; ++i )
{
fast_ema = fast_ema + fast_a * ( x[0][i] - fast_ema );
slow_ema = slow_ema + slow_a * ( x[0][i] - slow_ema );
macd_line = fast_ema - slow_ema;
signal_ema = signal_ema + signal_a * ( macd_line - signal_ema );
y[0][i] = macd_line;
y[1][i] = signal_ema;
y[2][i] = macd_line - signal_ema;
}
return 0;
}
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