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// Volatility Stop
//
// volatility_stop
//
// Volatility Stop
//
//
//
// Inputs: 4
// Outputs: 2
// Constants: 2
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
fp_t mult;
} ts_volatility_stop_params_t;
ts_parameter_t const ts_volatility_stop_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 2, .params_size = sizeof(ts_volatility_stop_params_t) };
uint_t ts_volatility_stop_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_volatility_stop_params_t const *)c)->k : 0 );
}
int ts_volatility_stop(
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_volatility_stop_p );
if ( !c ) return -1;
TS_CHECK_INPUT(x, x_n, n);
uint_t k = ((ts_volatility_stop_params_t const *)c)->k;
fp_t mult = ((ts_volatility_stop_params_t const *)c)->mult;
if (k == 0 || n < k) return -1;
if (mult < 0 || isnan(mult) || isinf(mult)) return -1;
for( uint_t i = 0; i < k; ++i )
{
y[0][i] = NAN;
y[1][i] = NAN;
}
for( uint_t i = k; i < n; ++i )
{
fp_t hh = ts_h(x, i - k);
fp_t ll = ts_l(x, i - k);
for( uint_t j = i - k + 1; j <= i; ++j )
{
if( ts_h(x, j) > hh ) hh = ts_h(x, j);
if( ts_l(x, j) < ll ) ll = ts_l(x, j);
}
fp_t atr = 0;
for( uint_t j = i - k; j <= i; ++j )
{
fp_t tr = ts_h(x, j) - ts_l(x, j);
if( j > 0 )
{
fp_t prev_close = ts_c(x, j - 1);
fp_t tr2 = fabs(ts_h(x, j) - prev_close);
fp_t tr3 = fabs(ts_l(x, j) - prev_close);
if( tr2 > tr ) tr = tr2;
if( tr3 > tr ) tr = tr3;
}
atr += tr;
}
atr /= (k + 1);
y[0][i] = hh - mult * atr;
y[1][i] = ll + mult * atr;
}
return 0;
}
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