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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
32 lines
1.0 KiB
Plaintext
32 lines
1.0 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("Median Absolute Error", "MdAE", overlay=false)
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//@function Calculates Median 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 median calculation
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//@returns MdAE value
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mdae(series float actual, series float predicted, simple int length) =>
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// Compute absolute error for current bar
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float absError = math.abs(nz(actual, 0.0) - nz(predicted, 0.0))
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// Use ta.median for rolling median of absolute errors
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float result = ta.median(absError, 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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mdae_value = mdae(i_actual, i_predicted, i_length)
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// Plot
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plot(mdae_value, "MdAE", color=color.yellow, linewidth=2)
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hline(0, "Zero", color=color.gray, linestyle=hline.style_dotted)
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