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Miha Kralj
2026-03-13 13:47:10 -07:00
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lib/errors/mrae/Mrae.md
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@@ -13,9 +13,7 @@
| **PineScript** | [mrae.pine](mrae.pine) |
- Mean Relative Absolute Error (MRAE) measures the average magnitude of errors relative to the actual values.
- Parameterized by `period`.
- Output range: $\geq 0$.
- Requires 1 bar of warmup before first valid output (IsHot = true).
- **Similar:** [RAE](../rae/Rae.md), [MASE](../mase/Mase.md) | **Trading note:** Mean Relative Absolute Error; ratio of errors to benchmark errors. Scale-free comparison metric.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
Mean Relative Absolute Error (MRAE) measures the average magnitude of errors relative to the actual values. This normalization makes the metric scale-independent and easier to interpret across different datasets.
@@ -161,4 +159,4 @@ Batch SIMD: 4x-8x speedup for large windows. ~3-5 cy/bar amortized in vectorized
* [MAE](../mae/Mae.md) - Mean Absolute Error (non-relative)
* [MAPE](../mape/Mape.md) - Mean Absolute Percentage Error
* [SMAPE](../smape/Smape.md) - Symmetric Mean Absolute Percentage Error
* [SMAPE](../smape/Smape.md) - Symmetric Mean Absolute Percentage Error