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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
37 lines
1.3 KiB
Plaintext
37 lines
1.3 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Mean Relative Absolute Error", "MRAE", overlay=false)
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//@function Calculates Mean Relative Absolute Error
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//@param actual Series of actual values
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//@param predicted Series of predicted/forecast values
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//@param length Rolling window for averaging
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//@returns MRAE value (0 = perfect, 1 = 100% error)
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mrae(series float actual, series float predicted, simple int length) =>
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float epsilon = 1e-10
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// Compute relative absolute error for current bar
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float absActual = math.abs(nz(actual, 1.0))
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float absError = math.abs(nz(actual, 0.0) - nz(predicted, 0.0))
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float relError = absActual > epsilon ? absError / absActual : 0.0
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// Rolling mean of relative errors
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float result = ta.sma(relError, length)
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result
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// ---------- Main loop ----------
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// Inputs
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i_length = input.int(14, "Length", minval=1)
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i_actual = input.source(close, "Actual")
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i_predicted = input.source(open, "Predicted")
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// Calculation
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mrae_value = mrae(i_actual, i_predicted, i_length)
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// Plot
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plot(mrae_value, "MRAE", color=color.yellow, linewidth=2)
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hline(0, "Perfect", color=color.green, linestyle=hline.style_dotted)
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hline(1, "100% Error", color=color.red, linestyle=hline.style_dotted)
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