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Miha Kralj
2026-03-13 13:47:10 -07:00
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commit 86a1db286c
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lib/errors/rse/Rse.md
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| **PineScript** | [rse.pine](rse.pine) |
- Relative Squared Error (RSE) measures the total squared error of predictions relative to the total squared error of a simple baseline predictor tha...
- Parameterized by `period`.
- Output range: $\geq 0$.
- Requires `period` bars of warmup before first valid output (IsHot = true).
- **Similar:** [RMSE](../rmse/Rmse.md), [Rsquared](../rsquared/Rsquared.md) | **Trading note:** Relative Squared Error; normalized by variance of actuals. >1 = worse than mean prediction.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
Relative Squared Error (RSE) measures the total squared error of predictions relative to the total squared error of a simple baseline predictor that always predicts the mean. RSE is directly related to the coefficient of determination (R²).
@@ -140,4 +138,4 @@ Rse.Batch(actualSpan, predictedSpan, outputSpan, 14);
| **Outlier sensitivity** | High | Low |
| **Related to** | R² | — |
| **Baseline** | Mean predictor | Mean predictor |
| **Interpretation** | 1 - R² | Better/worse than mean |
| **Interpretation** | 1 - R² | Better/worse than mean |