Root Mean Squared Error (RMSE)

Category: volatility

Calculates the Root Mean Squared Error (RMSE) between a source price and an estimate (defaulting to an EMA) to quantify prediction error or volatility.

Formula

RMSE = \sqrt{\frac{\sum_{i=1}^{N} (Source_i - Estimate_i)^2}{N}}

Inputs

• Source (default: close)
• Period (default: 100)

See signal primitives and every published strategy that uses Root Mean Squared Error (RMSE) on WOBR StrategyVerse.