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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
44 lines
1.5 KiB
Plaintext
44 lines
1.5 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("Theil's U Statistic", "TheilU", overlay=false)
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//@function Calculates Theil's U Statistic (U1)
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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 calculation
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//@returns Theil's U value (0 to 1+ range)
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theil_u(series float actual, series float predicted, simple int length) =>
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float epsilon = 1e-10
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// Compute squared values for current bar
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float error = nz(predicted, 0.0) - nz(actual, 0.0)
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float sqError = error * error
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float sqActual = nz(actual, 0.0) * nz(actual, 0.0)
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float sqPred = nz(predicted, 0.0) * nz(predicted, 0.0)
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// Rolling sums
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float sumSqError = ta.sum(sqError, length)
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float sumSqActual = ta.sum(sqActual, length)
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float sumSqPred = ta.sum(sqPred, length)
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// TheilU = √(Σ(pred-act)²) / √(Σact² + Σpred²)
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float denom = math.sqrt(sumSqActual + sumSqPred)
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float result = denom > epsilon ? math.sqrt(sumSqError) / denom : 0.0
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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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theilu_value = theil_u(i_actual, i_predicted, i_length)
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// Plot
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plot(theilu_value, "Theil's U", 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, "Naive", color=color.red, linestyle=hline.style_dotted)
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