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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
24e86d762a
- Updated BBWN, BBWP, CCV, CV, CVI, EWMA, GKV, HLV, HV, Jvolty, JVOLTYN, MASSI, NATR, RSV, RV, RVI, TR, UI, VOV, VR, YZV indicators with documentation links. - Added documentation links for Aberration, Acceleration Bands, Andrews' Pitchfork, Adaptive Price Zone, ATR Bands, Bollinger Bands, Center of Gravity, Donchian Channels, Decay Min-Max Channel, Detrended Synthetic Price, EACP, EBSW, HOMOD, Jurik Volatility Bands, Keltner Channel, MA Envelope, Min-Max Channel, Price Channel, Regression Channels, Standard Deviation Channel, Stoller Average Range Channel, Super Trend Bands, Ultimate Bands, Ultimate Channel, VWAP Bands, and VWAP with Standard Deviation Bands.
47 lines
1.8 KiB
Plaintext
47 lines
1.8 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Huber Loss (HUBER)", "HUBER")
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//@function Calculates Huber Loss between two sources using SMA for averaging
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//@param source1 First series to compare
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//@param source2 Second series to compare
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//@param period Lookback period for error averaging
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//@param delta Threshold that determines switch between MSE and MAE behavior
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//@returns Huber loss value averaged over the specified period using SMA
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huber(series float source1, series float source2, simple int period, simple float delta = 1.345) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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int p = math.min(math.max(1, period), 4000)
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error = source1 - source2
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huber_error = math.abs(error) <= delta ? 0.5 * math.pow(error, 2) : delta * math.abs(error) - 0.5 * math.pow(delta, 2)
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var float[] buffer = array.new_float(p, na)
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var int head = 0
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var float sum = 0.0
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var int valid_count = 0
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float oldest = array.get(buffer, head)
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if not na(oldest)
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sum := sum - oldest
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valid_count := valid_count - 1
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if not na(huber_error)
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sum := sum + huber_error
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valid_count := valid_count + 1
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array.set(buffer, head, huber_error)
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head := (head + 1) % p
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valid_count > 0 ? sum / valid_count : huber_error
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// ---------- Main loop ----------
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// Inputs
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i_source1 = input.source(close, "Source")
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i_period = input.int(100, "Period", minval=1)
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i_delta = input.float(1.345, "Delta", minval=0.1)
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i_source2 = ta.ema(i_source1, i_period)
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// Calculation
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error = huber(i_source1, i_source2, i_period, i_delta)
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// Plot
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plot(error, "Huber", color=color.new(color.red, 60), linewidth=2, style = plot.style_area)
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plot(i_source2, "EMA", color=color.yellow, linewidth=1, style = plot.style_line, force_overlay = true)
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