QuanTAlib/lib/errors/mdae/mdae.pine

// Licensed under the Apache License, Version 2.0
// © mihakralj
//@version=6
indicator("Median Absolute Error", "MdAE", overlay=false)

//@function Calculates Median Absolute Error
//@param   actual Series of actual values
//@param   predicted Series of predicted/forecast values
//@param   length Rolling window for median calculation
//@returns MdAE value
mdae(series float actual, series float predicted, simple int length) =>
    // Compute absolute error for current bar
    float absError = math.abs(nz(actual, 0.0) - nz(predicted, 0.0))

    // Use ta.median for rolling median of absolute errors
    float result = ta.median(absError, length)
    result

// ---------- Main loop ----------

// Inputs
i_length = input.int(14, "Length", minval=1)
i_actual = input.source(close, "Actual")
i_predicted = input.source(open, "Predicted")

// Calculation
mdae_value = mdae(i_actual, i_predicted, i_length)

// Plot
plot(mdae_value, "MdAE", color=color.yellow, linewidth=2)
hline(0, "Zero", color=color.gray, linestyle=hline.style_dotted)