using System; namespace QuanTAlib; /// /// MAPE: Mean Absolute Percentage Error /// A percentage-based error metric that measures the average absolute percentage /// difference between predicted and actual values. MAPE expresses accuracy as a /// percentage, making it scale-independent and easy to interpret. /// /// /// The MAPE calculation process: /// 1. Calculates absolute percentage error for each point /// 2. Sums all absolute percentage errors /// 3. Divides by the number of observations /// /// Key characteristics: /// - Scale-independent (percentage-based) /// - Easy to interpret (0-100% range) /// - Useful for comparing different scales /// - Cannot handle zero actual values /// - Asymmetric (treats over/under predictions differently) /// /// Formula: /// MAPE = (1/n) * Σ|((actual - predicted) / actual)| * 100% /// /// Sources: /// https://en.wikipedia.org/wiki/Mean_absolute_percentage_error /// https://www.statisticshowto.com/mean-absolute-percentage-error-mape/ /// /// Note: Also known as MAPD (Mean Absolute Percentage Deviation) in some contexts /// public class Mape : AbstractBase { private readonly CircularBuffer _actualBuffer; private readonly CircularBuffer _predictedBuffer; /// The number of points over which to calculate the MAPE. /// Thrown when period is less than 1. public Mape(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); Name = $"Mape(period={period})"; Init(); } /// The data source object that publishes updates. /// The number of points over which to calculate the MAPE. public Mape(object source, int period) : this(period) { var pubEvent = source.GetType().GetEvent("Pub"); pubEvent?.AddEventHandler(source, new ValueSignal(Sub)); } public override void Init() { base.Init(); _actualBuffer.Clear(); _predictedBuffer.Clear(); } protected override void ManageState(bool isNew) { if (isNew) { _lastValidValue = Input.Value; _index++; } } protected override double Calculation() { ManageState(Input.IsNew); double actual = Input.Value; _actualBuffer.Add(actual, Input.IsNew); // If no predicted value provided, use mean of actual values double predicted = double.IsNaN(Input2.Value) ? _actualBuffer.Average() : Input2.Value; _predictedBuffer.Add(predicted, Input.IsNew); double mape = 0; if (_actualBuffer.Count > 0) { var actualValues = _actualBuffer.GetSpan().ToArray(); var predictedValues = _predictedBuffer.GetSpan().ToArray(); double sumAbsolutePercentageError = 0; for (int i = 0; i < _actualBuffer.Count; i++) { if (actualValues[i] != 0) { sumAbsolutePercentageError += Math.Abs((actualValues[i] - predictedValues[i]) / actualValues[i]); } } mape = sumAbsolutePercentageError / _actualBuffer.Count; } IsHot = _index >= WarmupPeriod; return mape; } }