Mean Squared Logarithmic Error (MSLE)

Category: volatility

Calculates the Mean Squared Logarithmic Error between a source and its moving average, emphasizing relative errors rather than absolute differences.

Formula

MSLE = \frac{1}{n} \sum_{i=0}^{n-1} (\ln(1 + \text{source}) - \ln(1 + \text{predicted}))^2

Inputs

• i_source1 (default: close)
• i_period (default: 100)

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