mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
47 lines
1.8 KiB
Plaintext
47 lines
1.8 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("Huber Loss (HUBER)", "HUBER")
|
|
|
|
//@function Calculates Huber Loss between two sources using SMA for averaging
|
|
//@param source1 First series to compare
|
|
//@param source2 Second series to compare
|
|
//@param period Lookback period for error averaging
|
|
//@param delta Threshold that determines switch between MSE and MAE behavior
|
|
//@returns Huber loss value averaged over the specified period using SMA
|
|
huber(series float source1, series float source2, simple int period, simple float delta = 1.345) =>
|
|
if period <= 0
|
|
runtime.error("Period must be greater than 0")
|
|
int p = math.min(math.max(1, period), 4000)
|
|
error = source1 - source2
|
|
huber_error = math.abs(error) <= delta ? 0.5 * math.pow(error, 2) : delta * math.abs(error) - 0.5 * math.pow(delta, 2)
|
|
var float[] buffer = array.new_float(p, na)
|
|
var int head = 0
|
|
var float sum = 0.0
|
|
var int valid_count = 0
|
|
float oldest = array.get(buffer, head)
|
|
if not na(oldest)
|
|
sum := sum - oldest
|
|
valid_count := valid_count - 1
|
|
if not na(huber_error)
|
|
sum := sum + huber_error
|
|
valid_count := valid_count + 1
|
|
array.set(buffer, head, huber_error)
|
|
head := (head + 1) % p
|
|
valid_count > 0 ? sum / valid_count : huber_error
|
|
|
|
// ---------- Main loop ----------
|
|
|
|
// Inputs
|
|
i_source1 = input.source(close, "Source")
|
|
i_period = input.int(100, "Period", minval=1)
|
|
i_delta = input.float(1.345, "Delta", minval=0.1)
|
|
i_source2 = ta.ema(i_source1, i_period)
|
|
|
|
// Calculation
|
|
error = huber(i_source1, i_source2, i_period, i_delta)
|
|
|
|
// Plot
|
|
plot(error, "Huber", color=color.new(color.red, 60), linewidth=2, style = plot.style_area)
|
|
plot(i_source2, "EMA", color=color.yellow, linewidth=1, style = plot.style_line, force_overlay = true)
|