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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
39 lines
1.3 KiB
Plaintext
39 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("Weighted Mean Absolute Percentage Error", "WMAPE", overlay=false, format=format.percent)
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//@function Calculates Weighted Mean Absolute Percentage 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 calculation
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//@returns WMAPE value as percentage
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wmape(series float actual, series float predicted, simple int length) =>
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float epsilon = 1e-10
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// Compute absolute error and absolute actual for current bar
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float absError = math.abs(nz(actual, 0.0) - nz(predicted, 0.0))
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float absActual = math.abs(nz(actual, 0.0))
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// Rolling sums
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float sumAbsError = ta.sum(absError, length)
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float sumAbsActual = ta.sum(absActual, length)
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// WMAPE = (Σ|error| / Σ|actual|) * 100
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float result = sumAbsActual > epsilon ? (sumAbsError / sumAbsActual) * 100.0 : 0.0
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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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wmape_value = wmape(i_actual, i_predicted, i_length)
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// Plot
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plot(wmape_value, "WMAPE", color=color.yellow, linewidth=2)
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hline(0, "Perfect", color=color.green, linestyle=hline.style_dotted)
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