pine files

lib/errors/wrmse/wrmse.pine

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+// The MIT License (MIT)
+// © mihakralj
+//@version=6
+indicator("Weighted Root Mean Squared Error", "WRMSE", overlay=false)
+
+//@function Calculates Weighted Root Mean Squared Error
+//@doc     WRMSE extends RMSE by weighting each error differently.
+//@doc     WRMSE = √(Σ(w * (actual - predicted)²) / Σ(w))
+//@doc     Reduces to RMSE when all weights are equal.
+//@param   actual Series of actual values
+//@param   predicted Series of predicted/forecast values
+//@param   weight Series of weights for each observation
+//@param   length Rolling window for calculation
+//@returns WRMSE value in same units as original data
+wrmse(series float actual, series float predicted, series float weight, simple int length) =>
+    float epsilon = 1e-10
+
+    // Compute weighted squared error for current bar
+    float diff = nz(actual, 0.0) - nz(predicted, 0.0)
+    float w = math.max(nz(weight, 1.0), 0.0)  // Ensure non-negative weight
+    float weightedSqError = w * diff * diff
+
+    // Rolling sums
+    float sumWeightedError = ta.sum(weightedSqError, length)
+    float sumWeight = ta.sum(w, length)
+
+    // WRMSE = √(Σ(w*e²) / Σ(w))
+    float result = sumWeight > epsilon ? math.sqrt(sumWeightedError / sumWeight) : 0.0
+    result
+
+//@function Calculates WRMSE with uniform weights (equivalent to RMSE)
+//@param   actual Series of actual values
+//@param   predicted Series of predicted/forecast values
+//@param   length Rolling window for calculation
+//@returns WRMSE value (same as RMSE when weights are uniform)
+wrmse_uniform(series float actual, series float predicted, simple int length) =>
+    wrmse(actual, predicted, 1.0, length)
+
+// ---------- Main loop ----------
+
+// Inputs
+i_length = input.int(14, "Length", minval=1)
+i_use_volume_weights = input.bool(false, "Use Volume as Weights", tooltip="When enabled, errors are weighted by volume")
+i_actual = input.source(close, "Actual")
+i_predicted = input.source(open, "Predicted")
+
+// Calculation
+weight = i_use_volume_weights ? volume : 1.0
+wrmse_value = wrmse(i_actual, i_predicted, weight, i_length)
+
+// Plot
+plot(wrmse_value, "WRMSE", color=color.yellow, linewidth=2)
+hline(0, "Perfect", color=color.green, linestyle=hline.style_dotted)