mirror of
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.
37 lines
1.2 KiB
Plaintext
37 lines
1.2 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Mean Relative Absolute Error", "MRAE", overlay=false)
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//@function Calculates Mean Relative Absolute 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 averaging
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//@returns MRAE value (0 = perfect, 1 = 100% error)
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mrae(series float actual, series float predicted, simple int length) =>
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float epsilon = 1e-10
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// Compute relative absolute error for current bar
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float absActual = math.abs(nz(actual, 1.0))
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float absError = math.abs(nz(actual, 0.0) - nz(predicted, 0.0))
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float relError = absActual > epsilon ? absError / absActual : 0.0
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// Rolling mean of relative errors
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float result = ta.sma(relError, length)
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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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mrae_value = mrae(i_actual, i_predicted, i_length)
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// Plot
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plot(mrae_value, "MRAE", color=color.yellow, linewidth=2)
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hline(0, "Perfect", color=color.green, linestyle=hline.style_dotted)
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hline(1, "100% Error", color=color.red, linestyle=hline.style_dotted)
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