Relative Absolute Error (RAE)

Category: volatility

Calculates the Relative Absolute Error (RAE) by comparing the sum of absolute errors of a prediction model against the sum of absolute errors relative to the mean of the actual data.

Formula

RAE = (\sum |source1_i - source2_i|) / (\sum |source1_i - mean(source1)|)

Inputs

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

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.