private static int StdErr(int size, decimal[][] inputs, decimal[] options, decimal[][] outputs)
{
var period = (int)options[0];
if (period < 1)
{
return(TI_INVALID_OPTION);
}
if (size <= StdErrStart(options))
{
return(TI_OKAY);
}
var input = inputs[0];
var output = outputs[0];
decimal sum = default;
decimal sum2 = default;
for (var i = 0; i < period; ++i)
{
sum += input[i];
sum2 += input[i] * input[i];
}
decimal scale = Decimal.One / period;
decimal s2S2 = sum2 * scale - sum * scale * sum * scale;
if (s2S2 > Decimal.Zero)
{
s2S2 = DecimalMath.Sqrt(s2S2);
}
decimal mul = Decimal.One / DecimalMath.Sqrt(period);
int outputIndex = default;
output[outputIndex++] = mul * s2S2;
for (var i = period; i < size; ++i)
{
sum += input[i];
sum2 += input[i] * input[i];
sum -= input[i - period];
sum2 -= input[i - period] * input[i - period];
s2S2 = sum2 * scale - sum * scale * sum * scale;
if (s2S2 > Decimal.Zero)
{
s2S2 = DecimalMath.Sqrt(s2S2);
}
output[outputIndex++] = mul * s2S2;
}
return(TI_OKAY);
}
private static int Bbands(int size, decimal[][] inputs, decimal[] options, decimal[][] outputs)
{
var period = (int)options[0];
if (period < 1)
{
return(TI_INVALID_OPTION);
}
if (size <= BbandsStart(options))
{
return(TI_OKAY);
}
decimal[] input = inputs[0];
decimal[] lower = outputs[0];
decimal[] middle = outputs[1];
decimal[] upper = outputs[2];
decimal sum = default;
decimal sum2 = default;
for (var i = 0; i < period; ++i)
{
sum += input[i];
sum2 += input[i] * input[i];
}
decimal stddev = options[1];
decimal scale = Decimal.One / period;
decimal sd = DecimalMath.Sqrt(sum2 * scale - sum * scale * sum * scale);
int lowerIndex = default;
int middleIndex = default;
int upperIndex = default;
middle[middleIndex++] = sum * scale;
lower[lowerIndex++] = middle[0] - stddev * sd;
upper[upperIndex++] = middle[0] + stddev * sd;
for (var i = period; i < size; ++i)
{
sum += input[i];
sum2 += input[i] * input[i];
sum -= input[i - period];
sum2 -= input[i - period] * input[i - period];
sd = DecimalMath.Sqrt(sum2 * scale - sum * scale * sum * scale);
middle[middleIndex] = sum * scale;
upper[upperIndex++] = middle[middleIndex] + stddev * sd;
lower[lowerIndex++] = middle[middleIndex] - stddev * sd;
++middleIndex;
}
return(TI_OKAY);
}
private static int Volatility(int size, decimal[][] inputs, decimal[] options, decimal[][] outputs)
{
var period = (int)options[0];
if (period < 1)
{
return(TI_INVALID_OPTION);
}
if (size <= VolatilityStart(options))
{
return(TI_OKAY);
}
var input = inputs[0];
var output = outputs[0];
decimal sum = default;
decimal sum2 = default;
for (var i = 1; i <= period; ++i)
{
decimal c = input[i] / input[i - 1] - Decimal.One;
sum += c;
sum2 += c * c;
}
decimal scale = Decimal.One / period;
decimal annual = DecimalMath.Sqrt(252m); // Multiplier, number of trading days in year.
int outputIndex = default;
output[outputIndex++] = DecimalMath.Sqrt(sum2 * scale - sum * scale * sum * scale) * annual;
for (var i = period + 1; i < size; ++i)
{
decimal c = input[i] / input[i - 1] - Decimal.One;
sum += c;
sum2 += c * c;
decimal cp = input[i - period] / input[i - period - 1] - Decimal.One;
sum -= cp;
sum2 -= cp * cp;
output[outputIndex++] = DecimalMath.Sqrt(sum2 * scale - sum * scale * sum * scale) * annual;
}
return(TI_OKAY);
}
private static int Sqrt(int size, decimal[][] inputs, decimal[] options, decimal[][] outputs)
{
Simple1(size, inputs[0], outputs[0], d => DecimalMath.Sqrt(d));
return(TI_OKAY);
}
private static int Vidya(int size, decimal[][] inputs, decimal[] options, decimal[][] outputs)
{
int shortPeriod = (int)options[0];
int longPeriod = (int)options[1];
decimal alpha = options[2];
if (shortPeriod < 1 || longPeriod < shortPeriod || longPeriod < 2 || alpha < Decimal.Zero || alpha > Decimal.One)
{
return(TI_INVALID_OPTION);
}
if (size <= VidyaStart(options))
{
return(TI_OKAY);
}
decimal[] input = inputs[0];
decimal[] output = outputs[0];
decimal shortSum = default;
decimal shortSum2 = default;
decimal longSum = default;
decimal longSum2 = default;
for (var i = 0; i < longPeriod; ++i)
{
longSum += input[i];
longSum2 += input[i] * input[i];
if (i >= longPeriod - shortPeriod)
{
shortSum += input[i];
shortSum2 += input[i] * input[i];
}
}
decimal shortDiv = Decimal.One / shortPeriod;
decimal longDiv = Decimal.One / longPeriod;
decimal val = input[longPeriod - 2];
int outputIndex = default;
output[outputIndex++] = val;
if (longPeriod - 1 < size)
{
var shortStdDev = DecimalMath.Sqrt(shortSum2 * shortDiv - shortSum * shortDiv * shortSum * shortDiv);
var longStdDev = DecimalMath.Sqrt(longSum2 * longDiv - longSum * longDiv * longSum * longDiv);
decimal k = shortStdDev / longStdDev;
k *= alpha;
val = (input[longPeriod - 1] - val) * k + val;
output[outputIndex++] = val;
}
for (var i = longPeriod; i < size; ++i)
{
longSum += input[i];
longSum2 += input[i] * input[i];
shortSum += input[i];
shortSum2 += input[i] * input[i];
longSum -= input[i - longPeriod];
longSum2 -= input[i - longPeriod] * input[i - longPeriod];
shortSum -= input[i - shortPeriod];
shortSum2 -= input[i - shortPeriod] * input[i - shortPeriod];
decimal shortStdDev = DecimalMath.Sqrt(shortSum2 * shortDiv - shortSum * shortDiv * shortSum * shortDiv);
decimal longStdDev = DecimalMath.Sqrt(longSum2 * longDiv - longSum * longDiv * longSum * longDiv);
decimal k = shortStdDev / longStdDev;
k *= alpha;
val = (input[i] - val) * k + val;
output[outputIndex++] = val;
}
return(TI_OKAY);
}
