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feat: add USI (Ehlers Ultimate Strength Index) - TASC Nov 2024

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Miha Kralj
2026-03-17 16:44:48 -07:00
parent d3cb9d2513
commit 84d12e5706
14 changed files with 1318 additions and 0 deletions
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python/quantalib/_bridge.py
+1
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@@ -458,6 +458,7 @@ HAS_BBB = _bind("qtl_bbb", [_dp, _ci, _dp, _ci, _cd])
HAS_BBI = _bind("qtl_bbi", [_dp, _ci, _dp, _ci, _ci, _ci, _ci])
HAS_DEM = _bind("qtl_dem", [_dp, _dp, _ci, _dp, _ci])
HAS_BRAR = _bind("qtl_brar", [_dp, _dp, _dp, _dp, _ci, _dp, _dp, _ci])
HAS_USI = _bind("qtl_usi", [_dp, _ci, _dp, _ci])
# ── Trends — FIR (Exports.cs — manual) ──
HAS_SMA = _bind("qtl_sma", [_dp, _ci, _dp, _ci])
python/quantalib/oscillators.py
+8
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@@ -639,3 +639,11 @@ def brar(open: object, high: object, low: object, close: object,
n = len(o); br = _out(n); ar = _out(n)
_check(_lib.qtl_brar(_ptr(o), _ptr(h), _ptr(l), _ptr(c), n, _ptr(br), _ptr(ar), length))
return _wrap_multi({f"BR_{length}": br, f"AR_{length}": ar}, idx, "oscillators", offset)
def usi(close: object, period: int = 28, offset: int = 0, **kwargs) -> object:
"""Ehlers Ultimate Strength Index (USI)."""
period = int(period); offset = int(offset)
c, idx = _arr(close); n = len(c); dst = _out(n)
_check(_lib.qtl_usi(_ptr(c), n, _ptr(dst), period))
return _wrap(dst, idx, f"USI_{period}", "oscillators", int(offset))
python/src/Exports.cs
+10
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@@ -517,6 +517,16 @@ public static unsafe partial class Exports
catch { return StatusCodes.QTL_ERR_INTERNAL; }
}
// Usi: Pattern A (src, out, int period)
[UnmanagedCallersOnly(EntryPoint = "qtl_usi")]
public static int QtlUsi(double* src, int n, double* dst, int period)
{
int v = Chk1(src, dst, n); if (v != 0) return v;
v = ChkPeriod(period); if (v != 0) return v;
try { Usi.Batch(Src(src, n), Dst(dst, n), period); return StatusCodes.QTL_OK; }
catch { return StatusCodes.QTL_ERR_INTERNAL; }
}
// ═══════════════════════════════════════════════════════════════════════
// §8.4 Trends — FIR
// ═══════════════════════════════════════════════════════════════════════