mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-28 01:37:43 +00:00
Miha Kralj
44 lines
1.5 KiB
Plaintext
44 lines
1.5 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("Theil's U Statistic", "TheilU", overlay=false)
|
|
|
|
//@function Calculates Theil's U Statistic (U1)
|
|
//@param actual Series of actual values
|
|
//@param predicted Series of predicted/forecast values
|
|
//@param length Rolling window for calculation
|
|
//@returns Theil's U value (0 to 1+ range)
|
|
theil_u(series float actual, series float predicted, simple int length) =>
|
|
float epsilon = 1e-10
|
|
|
|
// Compute squared values for current bar
|
|
float error = nz(predicted, 0.0) - nz(actual, 0.0)
|
|
float sqError = error * error
|
|
float sqActual = nz(actual, 0.0) * nz(actual, 0.0)
|
|
float sqPred = nz(predicted, 0.0) * nz(predicted, 0.0)
|
|
|
|
// Rolling sums
|
|
float sumSqError = ta.sum(sqError, length)
|
|
float sumSqActual = ta.sum(sqActual, length)
|
|
float sumSqPred = ta.sum(sqPred, length)
|
|
|
|
// TheilU = √(Σ(pred-act)²) / √(Σact² + Σpred²)
|
|
float denom = math.sqrt(sumSqActual + sumSqPred)
|
|
float result = denom > epsilon ? math.sqrt(sumSqError) / denom : 0.0
|
|
result
|
|
|
|
// ---------- Main loop ----------
|
|
|
|
// Inputs
|
|
i_length = input.int(14, "Length", minval=1)
|
|
i_actual = input.source(close, "Actual")
|
|
i_predicted = input.source(open, "Predicted")
|
|
|
|
// Calculation
|
|
theilu_value = theil_u(i_actual, i_predicted, i_length)
|
|
|
|
// Plot
|
|
plot(theilu_value, "Theil's U", color=color.yellow, linewidth=2)
|
|
hline(0, "Perfect", color=color.green, linestyle=hline.style_dotted)
|
|
hline(1, "Naive", color=color.red, linestyle=hline.style_dotted)
|