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// Relative Volatility
//
// relative_volatility
//
// Relative Volatility Index
//
//
//
// Inputs: 1
// Outputs: 1
// Constants: 1
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
} ts_relative_volatility_params_t;
ts_parameter_t const ts_relative_volatility_p = { .n_inputs = 1, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_relative_volatility_params_t) };
uint_t ts_relative_volatility_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_relative_volatility_params_t const *)c)->k - 1 : 0 );
}
int ts_relative_volatility(
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_relative_volatility_p );
if ( !c ) return -1;
uint_t k = ((ts_relative_volatility_params_t const *)c)->k;
if (k == 0 || n < k) return -1;
uint_t xi = 0;
uint_t yi = k - 1;
fp_t sum = 0;
fp_t sum2 = 0;
for( ; xi < k; ++xi )
{
sum += x[0][xi];
sum2 += _ts_square( x[0][xi] );
}
fp_t mean = sum / k;
fp_t mean2 = sum2 / k;
fp_t variance = mean2 - _ts_square( mean );
fp_t sd = variance >= 0 ? sqrt( variance ) : 0;
y[0][yi] = (fabs( mean ) > 0) ? sd / fabs( mean ) * 100 : 0;
fp_t rk = _ts_reciprocal( k );
for( ; xi < n; ++xi, ++yi )
{
sum = sum + ( x[0][xi] - x[0][xi - k] );
sum2 = sum2 + ( _ts_square( x[0][xi] ) - _ts_square( x[0][xi - k] ) );
mean = sum * rk;
mean2 = sum2 * rk;
variance = mean2 - _ts_square( mean );
sd = variance >= 0 ? sqrt( variance ) : 0;
y[0][yi] = (fabs( mean ) > 0) ? sd / fabs( mean ) * 100 : 0;
}
return 0;
}
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