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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
51 lines
2.0 KiB
Plaintext
51 lines
2.0 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 Root Mean Squared Error", "WRMSE", overlay=false)
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//@function Calculates Weighted Root Mean Squared 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 weight Series of weights for each observation
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//@param length Rolling window for calculation
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//@returns WRMSE value in same units as original data
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wrmse(series float actual, series float predicted, series float weight, simple int length) =>
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float epsilon = 1e-10
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// Compute weighted squared error for current bar
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float diff = nz(actual, 0.0) - nz(predicted, 0.0)
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float w = math.max(nz(weight, 1.0), 0.0) // Ensure non-negative weight
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float weightedSqError = w * diff * diff
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// Rolling sums
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float sumWeightedError = ta.sum(weightedSqError, length)
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float sumWeight = ta.sum(w, length)
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// WRMSE = √(Σ(w*e²) / Σ(w))
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float result = sumWeight > epsilon ? math.sqrt(sumWeightedError / sumWeight) : 0.0
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result
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//@function Calculates WRMSE with uniform weights (equivalent to RMSE)
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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 WRMSE value (same as RMSE when weights are uniform)
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wrmse_uniform(series float actual, series float predicted, simple int length) =>
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wrmse(actual, predicted, 1.0, length)
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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_use_volume_weights = input.bool(false, "Use Volume as Weights", tooltip="When enabled, errors are weighted by volume")
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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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weight = i_use_volume_weights ? volume : 1.0
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wrmse_value = wrmse(i_actual, i_predicted, weight, i_length)
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// Plot
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plot(wrmse_value, "WRMSE", color=color.yellow, linewidth=2)
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hline(0, "Perfect", color=color.green, linestyle=hline.style_dotted)
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