lib/zero_lag_ema.c


1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53

// Zero Lag Ema
//
// zero_lag_ema
//
// Zero Lag EMA
//
// 
//
// Inputs:    1
// Outputs:   1
// Constants: 1


#include "ts.h"

typedef struct {
    uint_t k;
} ts_zero_lag_ema_params_t;

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

uint_t ts_zero_lag_ema_offset( ts_constant_t const *c )
{
	( void )c;
	return ( c ? ((ts_zero_lag_ema_params_t *)c)->k : 0 );
}

int ts_zero_lag_ema(
	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_zero_lag_ema_p );
	if ( !c ) return -1;
    uint_t k = ((ts_zero_lag_ema_params_t *)c)->k;
    if (k == 0 || n < k) return -1;

    /* Zero-lag EMA: compute lag, then apply EMA to (2*x - x_lag) */
    fp_t alpha = 2.0 / (k + 1.0);
    uint_t lag = (k - 1) / 2;

    for (uint_t i = lag; i < n; ++i)
    {
        fp_t adjusted = 2.0 * x[0][i] - x[0][i - lag];
        if (i == lag)
            y[0][i] = adjusted;
        else
            y[0][i] = y[0][i - 1] + alpha * (adjusted - y[0][i - 1]);
    }
	return 0;
}