mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-31 10:57:43 +00:00
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.
39 lines
1.3 KiB
Plaintext
39 lines
1.3 KiB
Plaintext
// The MIT License (MIT)
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("Weighted Mean Absolute Percentage Error", "WMAPE", overlay=false, format=format.percent)
|
|
|
|
//@function Calculates Weighted Mean Absolute Percentage Error
|
|
//@param actual Series of actual values
|
|
//@param predicted Series of predicted/forecast values
|
|
//@param length Rolling window for calculation
|
|
//@returns WMAPE value as percentage
|
|
wmape(series float actual, series float predicted, simple int length) =>
|
|
float epsilon = 1e-10
|
|
|
|
// Compute absolute error and absolute actual for current bar
|
|
float absError = math.abs(nz(actual, 0.0) - nz(predicted, 0.0))
|
|
float absActual = math.abs(nz(actual, 0.0))
|
|
|
|
// Rolling sums
|
|
float sumAbsError = ta.sum(absError, length)
|
|
float sumAbsActual = ta.sum(absActual, length)
|
|
|
|
// WMAPE = (Σ|error| / Σ|actual|) * 100
|
|
float result = sumAbsActual > epsilon ? (sumAbsError / sumAbsActual) * 100.0 : 0.0
|
|
result
|
|
|
|
// ---------- Main loop ----------
|
|
|
|
// Inputs
|
|
i_length = input.int(14, "Length", minval=1)
|
|
i_actual = input.source(close, "Actual")
|
|
i_predicted = input.source(open, "Predicted")
|
|
|
|
// Calculation
|
|
wmape_value = wmape(i_actual, i_predicted, i_length)
|
|
|
|
// Plot
|
|
plot(wmape_value, "WMAPE", color=color.yellow, linewidth=2)
|
|
hline(0, "Perfect", color=color.green, linestyle=hline.style_dotted)
|