namespace QuanTAlib; /// /// Represents a Symmetric Mean Absolute Percentage Error calculator that measures the percentage difference /// between actual and predicted values, using a symmetric formula to handle both positive and negative errors equally. /// /// /// The Smape class calculates the Symmetric Mean Absolute Percentage Error using circular buffers /// to efficiently manage the data points within the specified period. /// public class Smape : AbstractBase { private readonly CircularBuffer _actualBuffer; private readonly CircularBuffer _predictedBuffer; /// /// Initializes a new instance of the Smape class with the specified period. /// /// The period over which to calculate the Symmetric Mean Absolute Percentage Error. /// /// 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(); } /// /// Initializes a new instance of the Mape class with the specified source and period. /// /// The source object to subscribe to for value updates. /// The period over which to calculate the Mean Absolute Percentage Error. public Smape(object source, int period) : this(period) { var pubEvent = source.GetType().GetEvent("Pub"); pubEvent?.AddEventHandler(source, new ValueSignal(Sub)); } /// /// Initializes the Smape instance by clearing the buffers. /// public override void Init() { base.Init(); _actualBuffer.Clear(); _predictedBuffer.Clear(); } /// /// Manages the state of the Smape instance based on whether new values are being processed. /// /// Indicates whether the current inputs are new values. protected override void ManageState(bool isNew) { if (isNew) { _lastValidValue = Input.Value; _index++; } } /// /// Performs the Symmetric Mean Absolute Percentage Error calculation for the current period. /// /// /// The calculated Symmetric Mean Absolute Percentage Error value for the current period. /// /// /// This method calculates the Symmetric Mean Absolute Percentage Error using the formula: /// SMAPE = (100% / n) * sum(2 * |actual - predicted| / (|actual| + |predicted|)) /// where actual is each actual value, predicted is each predicted value, and n is the number of values. /// 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); double smape = 0; if (_actualBuffer.Count > 0) { var actualValues = _actualBuffer.GetSpan().ToArray(); var predictedValues = _predictedBuffer.GetSpan().ToArray(); double sumSymmetricPercentageError = 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) { sumSymmetricPercentageError += 2 * Math.Abs(actualValues[i] - predictedValues[i]) / denominator; validCount++; } } if (validCount > 0) { smape = (100.0 / validCount) * sumSymmetricPercentageError; } } IsHot = _index >= WarmupPeriod; return smape; } /// /// Calculates the Symmetric Mean Absolute Percentage Error for the given actual and predicted values. /// /// The actual value. /// The predicted value. /// The calculated Symmetric Mean Absolute Percentage Error. public double Calc(double actual, double predicted) { Input = new TValue(DateTime.Now, actual); Input2 = new TValue(DateTime.Now, predicted); return Calculation(); } }