Rebase

Source/Statistics/WMAPE_Series.cs

@@ -0,0 +1,44 @@
+/**
+WMAPE: Weighted Mean Absolute Percentage Error
+
+Measures the size of the error in percentage terms
+
+Sources:
+  https://en.wikipedia.org/wiki/WMAPE
+
+**/
+
+using System;
+namespace QuanTAlib;
+
+public class WMAPE_Series : Single_TSeries_Indicator
+{
+    public WMAPE_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
+    {
+        if (base._data.Count > 0) { base.Add(base._data); }
+    }
+    private readonly System.Collections.Generic.List<double> _buffer = new();
+
+    public override void Add((System.DateTime t, double v) d, bool update)
+    {
+        if (update) { _buffer[_buffer.Count - 1] = d.v; }
+        else { _buffer.Add(d.v); }
+        if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
+
+        double _sma = 0;
+        for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
+        _sma /= this._buffer.Count;
+
+        double _div = 0;
+        double _wmape = 0;
+        for (int i = 0; i < _buffer.Count; i++)
+        {
+            _wmape += Math.Abs(_buffer[i] - _sma);
+            _div += Math.Abs(_buffer[i]);
+        }
+        _wmape /= _div;
+
+        var result = (d.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _wmape);
+        base.Add(result, update);
+    }
+}