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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
39 lines
1.5 KiB
Plaintext
39 lines
1.5 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("Pseudo-Huber Loss", "PseudoHuber", overlay=false)
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//@function Calculates Pseudo-Huber Loss (Charbonnier Loss)
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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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//@param delta Scale parameter controlling transition smoothness (default 1.0)
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//@returns Mean Pseudo-Huber loss over the window
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pseudohuber(series float actual, series float predicted, simple int length, simple float delta = 1.0) =>
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float deltaSquared = delta * delta
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// Compute Pseudo-Huber loss for current bar: δ² * (√(1 + (error/δ)²) - 1)
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float diff = nz(actual, 0.0) - nz(predicted, 0.0)
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float ratio = diff / delta
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float sqrtTerm = math.sqrt(1.0 + ratio * ratio)
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float loss = deltaSquared * (sqrtTerm - 1.0)
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// Rolling mean of losses
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float result = ta.sma(loss, 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_delta = input.float(1.0, "Delta (transition scale)", minval=0.001, step=0.1, tooltip="Controls transition between quadratic and linear behavior")
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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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pseudohuber_value = pseudohuber(i_actual, i_predicted, i_length, i_delta)
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// Plot
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plot(pseudohuber_value, "Pseudo-Huber", color=color.yellow, linewidth=2)
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hline(0, "Zero", color=color.gray, linestyle=hline.style_dotted)
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