using System.Linq;
namespace QuanTAlib;
using System;
using System.Collections.Generic;
/*
MAPE: Mean Absolute Percentage Error
Measures the size of the error in percentage terms
Calculation:
MAPE = Σ(|close – SMA| / |close|) / n
Sources:
https://en.wikipedia.org/wiki/Mean_absolute_percentage_error
Remark:
returns infinity if any of observations is 0.
Use SMAPE or WMAPE instead to avoid division-by-zero in MAPE
*/
public class MAPE_Series : TSeries
{
private readonly System.Collections.Generic.List _buffer = new();
protected readonly int _period;
protected readonly bool _NaN;
protected readonly TSeries _data;
//core constructors
public MAPE_Series(int period, bool useNaN)
{
_period = period;
_NaN = useNaN;
Name = $"MAPE({period})";
}
public MAPE_Series(TSeries source, int period, bool useNaN) : this(period, useNaN)
{
_data = source;
Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
_data.Pub += Sub;
Add(_data);
}
public MAPE_Series() : this(period: 0, useNaN: false) { }
public MAPE_Series(int period) : this(period: period, useNaN: false) { }
public MAPE_Series(TBars source) : this(source.Close, 0, false) { }
public MAPE_Series(TBars source, int period) : this(source.Close, period, false) { }
public MAPE_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
public MAPE_Series(TSeries source) : this(source, 0, false) { }
public MAPE_Series(TSeries source, int period) : this(source: source, period: period, useNaN: false) { }
//////////////////
// core Add() algo
public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false)
{
BufferTrim(buffer: _buffer, value: TValue.v, period: _period, update: update);
double _sma = _buffer.Average();
double _mape = 0;
for (int i = 0; i < _buffer.Count; i++)
{
_mape += (_buffer[i] != 0) ? Math.Abs(_buffer[i] - _sma) / Math.Abs(_buffer[i]) : double.PositiveInfinity;
}
_mape /= (_buffer.Count > 0) ? _buffer.Count : 1;
var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _mape);
return base.Add(res, update);
}
public override (DateTime t, double v) Add(TSeries data)
{
if (data == null) { return (DateTime.Today, Double.NaN); }
foreach (var item in data) { Add(item, false); }
return _data.Last;
}
public (DateTime t, double v) Add(bool update)
{
return this.Add(TValue: _data.Last, update: update);
}
public (DateTime t, double v) Add()
{
return Add(TValue: _data.Last, update: false);
}
private new void Sub(object source, TSeriesEventArgs e)
{
Add(TValue: _data.Last, update: e.update);
}
//reset calculation
public override void Reset()
{
_buffer.Clear();
}
}