using System.Runtime.CompilerServices; using System.Runtime.InteropServices; namespace QuanTAlib; /// /// MAPD: Mean Absolute Percentage Deviation /// /// /// MAPD measures the average absolute percentage deviation between actual and predicted values. /// Unlike MAPE which divides by actual, MAPD divides by predicted. /// /// Formula: /// MAPD = (100/n) * Σ|((actual - predicted) / predicted)| /// /// Key properties: /// - Scale-independent (expressed as percentage) /// - Cannot be calculated when predicted = 0 /// - Differs from MAPE in denominator choice /// - More stable when actuals have high variance /// [SkipLocalsInit] public sealed class Mapd : AbstractBase { private readonly RingBuffer _buffer; [StructLayout(LayoutKind.Auto)] private record struct State(double Sum, double LastValidActual, double LastValidPredicted, int TickCount); private State _state; private State _p_state; private const int ResyncInterval = 1000; public Mapd(int period) { if (period <= 0) throw new ArgumentException("Period must be greater than 0", nameof(period)); _buffer = new RingBuffer(period); Name = $"Mapd({period})"; WarmupPeriod = period; } public override bool IsHot => _buffer.IsFull; [MethodImpl(MethodImplOptions.AggressiveInlining)] public TValue Update(TValue actual, TValue predicted, bool isNew = true) { double actualVal = actual.Value; double predictedVal = predicted.Value; if (!double.IsFinite(actualVal)) actualVal = double.IsFinite(_state.LastValidActual) ? _state.LastValidActual : 0.0; else _state.LastValidActual = actualVal; if (!double.IsFinite(predictedVal)) predictedVal = double.IsFinite(_state.LastValidPredicted) ? _state.LastValidPredicted : 1.0; // Avoid division by zero else _state.LastValidPredicted = predictedVal; // Avoid division by zero - use small epsilon if predicted is zero double divisor = Math.Abs(predictedVal) < 1e-10 ? 1e-10 : predictedVal; double percentageError = 100.0 * Math.Abs((actualVal - predictedVal) / divisor); if (isNew) { _p_state = _state; double removedValue = _buffer.Count == _buffer.Capacity ? _buffer.Oldest : 0.0; _state.Sum = _state.Sum - removedValue + percentageError; _buffer.Add(percentageError); _state.TickCount++; if (_buffer.IsFull && _state.TickCount >= ResyncInterval) { _state.TickCount = 0; _state.Sum = _buffer.RecalculateSum(); } } else { _state = _p_state; double removedValue = _buffer.Count == _buffer.Capacity ? _buffer.Oldest : 0.0; _state.Sum = _state.Sum - removedValue + percentageError; _buffer.UpdateNewest(percentageError); _state.Sum = _buffer.RecalculateSum(); } double result = _buffer.Count > 0 ? _state.Sum / _buffer.Count : percentageError; Last = new TValue(actual.Time, result); PubEvent(Last, isNew); return Last; } [MethodImpl(MethodImplOptions.AggressiveInlining)] public TValue Update(double actual, double predicted, bool isNew = true) { return Update(new TValue(DateTime.UtcNow, actual), new TValue(DateTime.UtcNow, predicted), isNew); } public override TValue Update(TValue input, bool isNew = true) { throw new NotSupportedException("MAPD requires two inputs. Use Update(actual, predicted)."); } public override TSeries Update(TSeries source) { throw new NotSupportedException("MAPD requires two inputs. Use Calculate(actualSeries, predictedSeries, period)."); } public override void Prime(ReadOnlySpan source, TimeSpan? step = null) { throw new NotSupportedException("MAPD requires two inputs."); } public override void Reset() { _buffer.Clear(); _state = default; _p_state = default; Last = default; } public static TSeries Calculate(TSeries actual, TSeries predicted, int period) { if (actual.Count != predicted.Count) throw new ArgumentException("Actual and predicted series must have the same length", nameof(predicted)); int len = actual.Count; var t = new List(len); var v = new List(len); CollectionsMarshal.SetCount(t, len); CollectionsMarshal.SetCount(v, len); var tSpan = CollectionsMarshal.AsSpan(t); var vSpan = CollectionsMarshal.AsSpan(v); Batch(actual.Values, predicted.Values, vSpan, period); actual.Times.CopyTo(tSpan); return new TSeries(t, v); } [MethodImpl(MethodImplOptions.AggressiveInlining)] public static void Batch(ReadOnlySpan actual, ReadOnlySpan predicted, Span output, int period) { if (actual.Length != predicted.Length || actual.Length != output.Length) throw new ArgumentException("All spans must have the same length", nameof(output)); if (period <= 0) throw new ArgumentException("Period must be greater than 0", nameof(period)); int len = actual.Length; if (len == 0) return; const int StackAllocThreshold = 256; Span buffer = period <= StackAllocThreshold ? stackalloc double[period] : new double[period]; double sum = 0; double lastValidActual = 0; double lastValidPredicted = 1.0; // Default to 1 to avoid division by zero for (int k = 0; k < len; k++) { if (double.IsFinite(actual[k])) { lastValidActual = actual[k]; break; } } for (int k = 0; k < len; k++) { if (double.IsFinite(predicted[k]) && Math.Abs(predicted[k]) >= 1e-10) { lastValidPredicted = predicted[k]; break; } } int bufferIndex = 0; int i = 0; int warmupEnd = Math.Min(period, len); for (; i < warmupEnd; i++) { double act = actual[i]; double pred = predicted[i]; if (double.IsFinite(act)) lastValidActual = act; else act = lastValidActual; if (double.IsFinite(pred) && Math.Abs(pred) >= 1e-10) lastValidPredicted = pred; else pred = lastValidPredicted; double divisor = Math.Abs(pred) < 1e-10 ? 1e-10 : pred; double percentageError = 100.0 * Math.Abs((act - pred) / divisor); sum += percentageError; buffer[i] = percentageError; output[i] = sum / (i + 1); } int tickCount = 0; for (; i < len; i++) { double act = actual[i]; double pred = predicted[i]; if (double.IsFinite(act)) lastValidActual = act; else act = lastValidActual; if (double.IsFinite(pred) && Math.Abs(pred) >= 1e-10) lastValidPredicted = pred; else pred = lastValidPredicted; double divisor = Math.Abs(pred) < 1e-10 ? 1e-10 : pred; double percentageError = 100.0 * Math.Abs((act - pred) / divisor); sum = sum - buffer[bufferIndex] + percentageError; buffer[bufferIndex] = percentageError; bufferIndex++; if (bufferIndex >= period) bufferIndex = 0; output[i] = sum / period; tickCount++; if (tickCount >= ResyncInterval) { tickCount = 0; double recalcSum = 0; for (int k = 0; k < period; k++) recalcSum += buffer[k]; sum = recalcSum; } } } }