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Miha Kralj
2024-10-13 17:31:35 -07:00
parent 2236f5f483
commit ffed6491d4
66 changed files with 671 additions and 1088 deletions
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lib/errors/Mapd.cs
+3 -60
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@@ -1,25 +1,10 @@
namespace QuanTAlib;
/// <summary>
/// Represents a Mean Absolute Percentage Deviation calculator that measures the average absolute percentage difference
/// between actual values and predicted values.
/// </summary>
/// <remarks>
/// The Mapd class calculates the Mean Absolute Percentage Deviation using circular buffers
/// to efficiently manage the actual and predicted data points within the specified period.
/// </remarks>
public class Mapd : AbstractBase
{
private readonly CircularBuffer _actualBuffer;
private readonly CircularBuffer _predictedBuffer;
/// <summary>
/// Initializes a new instance of the Mapd class with the specified period.
/// </summary>
/// <param name="period">The period over which to calculate the Mean Absolute Percentage Deviation.</param>
/// <exception cref="ArgumentOutOfRangeException">
/// Thrown when period is less than 1.
/// </exception>
public Mapd(int period)
{
if (period < 1)
@@ -33,20 +18,12 @@ public class Mapd : AbstractBase
Init();
}
/// <summary>
/// Initializes a new instance of the Mapd class with the specified source and period.
/// </summary>
/// <param name="source">The source object to subscribe to for value updates.</param>
/// <param name="period">The period over which to calculate the Mean Absolute Percentage Deviation.</param>
public Mapd(object source, int period) : this(period)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
/// <summary>
/// Initializes the Mapd instance by clearing the buffers.
/// </summary>
public override void Init()
{
base.Init();
@@ -54,10 +31,6 @@ public class Mapd : AbstractBase
_predictedBuffer.Clear();
}
/// <summary>
/// Manages the state of the Mapd instance based on whether a new value is being processed.
/// </summary>
/// <param name="isNew">Indicates whether the current input is a new value.</param>
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -67,18 +40,6 @@ public class Mapd : AbstractBase
}
}
/// <summary>
/// Performs the Mean Absolute Percentage Deviation calculation for the current period.
/// </summary>
/// <returns>
/// The calculated Mean Absolute Percentage Deviation value for the current period.
/// </returns>
/// <remarks>
/// This method calculates the Mean Absolute Percentage Deviation using the formula:
/// MAPD = (sum(|actual - predicted| / |actual|) / n) * 100
/// where actual is each actual value, predicted is each predicted value, and n is the number of values.
/// If there's only one value in the buffer or if any actual value is zero, those values are excluded from the calculation.
/// </remarks>
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -95,38 +56,20 @@ public class Mapd : AbstractBase
var actualValues = _actualBuffer.GetSpan().ToArray();
var predictedValues = _predictedBuffer.GetSpan().ToArray();
double sumOfAbsolutePercentageDeviations = 0;
int validCount = 0;
double sumAbsolutePercentageDeviation = 0;
for (int i = 0; i < _actualBuffer.Count; i++)
{
if (actualValues[i] != 0)
{
sumOfAbsolutePercentageDeviations += Math.Abs((actualValues[i] - predictedValues[i]) / actualValues[i]);
validCount++;
sumAbsolutePercentageDeviation += Math.Abs((actualValues[i] - predictedValues[i]) / actualValues[i]);
}
}
if (validCount > 0)
{
mapd = (sumOfAbsolutePercentageDeviations / validCount) * 100;
}
mapd = sumAbsolutePercentageDeviation / _actualBuffer.Count;
}
IsHot = _index >= WarmupPeriod;
return mapd;
}
/// <summary>
/// Calculates the Mean Absolute Percentage Deviation for the given actual and predicted values.
/// </summary>
/// <param name="actual">The actual value.</param>
/// <param name="predicted">The predicted value.</param>
/// <returns>The calculated Mean Absolute Percentage Deviation.</returns>
public double Calc(double actual, double predicted)
{
Input = new TValue(DateTime.Now, actual);
Input2 = new TValue(DateTime.Now, predicted);
return Calculation();
}
}