using System; namespace QuanTAlib; /// /// Represents the Mean Absolute Scaled Error (MASE) calculation. /// public class Mase : AbstractBase { private readonly CircularBuffer _actualBuffer; private readonly CircularBuffer _predictedBuffer; private readonly CircularBuffer _naiveBuffer; /// /// Initializes a new instance of the Mase class. /// /// The period for MASE calculation. /// Thrown when period is less than 1. public Mase(int period) { if (period < 1) { throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1."); } WarmupPeriod = period; _actualBuffer = new CircularBuffer(period); _predictedBuffer = new CircularBuffer(period); _naiveBuffer = new CircularBuffer(period); Name = $"Mase(period={period})"; Init(); } /// /// Initializes a new instance of the Mase class with a source object. /// /// The source object for event subscription. /// The period for MASE calculation. public Mase(object source, int period) : this(period) { var pubEvent = source.GetType().GetEvent("Pub"); pubEvent?.AddEventHandler(source, new ValueSignal(Sub)); } /// /// Initializes the Mase instance. /// public override void Init() { base.Init(); _actualBuffer.Clear(); _predictedBuffer.Clear(); _naiveBuffer.Clear(); } /// /// Manages the state of the Mase instance. /// /// Indicates if the input is new. protected override void ManageState(bool isNew) { if (isNew) { _lastValidValue = Input.Value; _index++; } } /// /// Performs the MASE calculation. /// /// The calculated MASE value. protected override double Calculation() { ManageState(Input.IsNew); double actual = Input.Value; _actualBuffer.Add(actual, Input.IsNew); double predicted = double.IsNaN(Input2.Value) ? _actualBuffer.Average() : Input2.Value; _predictedBuffer.Add(predicted, Input.IsNew); if (_actualBuffer.Count > 1) { _naiveBuffer.Add(_actualBuffer.GetSpan()[^2], Input.IsNew); } double mase = CalculateMase(); IsHot = _index >= WarmupPeriod; return mase; } private double CalculateMase() { if (_actualBuffer.Count <= 1) return 0; ReadOnlySpan actualValues = _actualBuffer.GetSpan(); ReadOnlySpan predictedValues = _predictedBuffer.GetSpan(); ReadOnlySpan naiveValues = _naiveBuffer.GetSpan(); double sumAbsoluteError = CalculateSumAbsoluteError(actualValues, predictedValues); double _naiveForecastError = CalculateNaiveForecastError(actualValues, naiveValues); return _naiveForecastError != 0 ? (sumAbsoluteError / _actualBuffer.Count) / _naiveForecastError : double.PositiveInfinity; } private static double CalculateSumAbsoluteError(ReadOnlySpan actualValues, ReadOnlySpan predictedValues) { double sum = 0; for (int i = 0; i < actualValues.Length; i++) { sum += Math.Abs(actualValues[i] - predictedValues[i]); } return sum; } private static double CalculateNaiveForecastError(ReadOnlySpan actualValues, ReadOnlySpan naiveValues) { double sum = 0; for (int i = 1; i < actualValues.Length; i++) { sum += Math.Abs(actualValues[i] - naiveValues[i - 1]); } return sum / (actualValues.Length - 1); } }