using System; namespace QuanTAlib; /// /// SMAPE: Symmetric Mean Absolute Percentage Error /// A variation of MAPE that treats positive and negative errors symmetrically. /// SMAPE uses the average of actual and predicted values in the denominator, /// making it more robust than MAPE for values close to zero. /// /// /// The SMAPE calculation process: /// 1. Calculates absolute difference between actual and predicted /// 2. Divides by sum of absolute actual and predicted values /// 3. Averages these ratios and multiplies by 200% /// /// Key characteristics: /// - Symmetric treatment of errors /// - Range is 0% to 200% /// - More robust than MAPE near zero /// - Scale-independent /// - Handles both positive and negative values /// /// Formula: /// SMAPE = (200/n) * Σ|actual - predicted| / (|actual| + |predicted|) /// /// Sources: /// https://en.wikipedia.org/wiki/Symmetric_mean_absolute_percentage_error /// https://www.sciencedirect.com/science/article/abs/pii/0169207085900059 /// /// Note: More stable than MAPE when actual values are close to zero /// public class Smape : AbstractBase { private readonly CircularBuffer _actualBuffer; private readonly CircularBuffer _predictedBuffer; /// The number of points over which to calculate the SMAPE. /// Thrown when period is less than 1. public Smape(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 = $"Smape(period={period})"; Init(); } /// The data source object that publishes updates. /// The number of points over which to calculate the SMAPE. public Smape(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 smape = 0; if (_actualBuffer.Count > 0) { var actualValues = _actualBuffer.GetSpan().ToArray(); var predictedValues = _predictedBuffer.GetSpan().ToArray(); double sumSymmetricAbsolutePercentageError = 0; int validCount = 0; for (int i = 0; i < _actualBuffer.Count; i++) { double denominator = Math.Abs(actualValues[i]) + Math.Abs(predictedValues[i]); if (denominator != 0) { sumSymmetricAbsolutePercentageError += Math.Abs(actualValues[i] - predictedValues[i]) / denominator; validCount++; } } smape = validCount > 0 ? (200 * sumSymmetricAbsolutePercentageError / validCount) : 0; } IsHot = _index >= WarmupPeriod; return smape; } }