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WRMSE - Wrmse

Architectural problem

Real-time chart analysis needs deterministic updates per bar and explicit handling of warm-up periods. WRMSE addresses this by implementing Calculates Weighted Root Mean Squared Error with parameterized inputs and direct state progression.

Design decision

This implementation favors streaming execution over batch recomputation. The trade-off is more attention to state initialization, but latency stays predictable when charts scale.

API surface

Functions

  • Calculates Weighted Root Mean Squared Error
  • Calculates WRMSE with uniform weights (equivalent to RMSE)

Parameters

Parameter Purpose
actual Series of actual values
predicted Series of predicted/forecast values
weight Series of weights for each observation
length Rolling window for calculation
actual Series of actual values
predicted Series of predicted/forecast values
length Rolling window for calculation

Returns

  • WRMSE value in same units as original data

Input configuration

Input variable Type Configuration
i_length input.int default: 14, label: "Length"
i_use_volume_weights input.bool default: false, label: "Use Volume as Weights"
i_actual input.source default: close, label: "Actual"
i_predicted input.source default: open, label: "Predicted"

Runtime profile

  • Declared optimization: not explicitly annotated in source comments.
  • Streaming model: single-pass update on each new bar.
  • Warm-up behavior: outputs can be unstable until enough samples satisfy length.
  • Memory model: state is kept in Pine series context rather than external buffers.

Trade-offs

Streaming logic keeps incremental cost stable, but initialization and edge-case handling become first-class concerns. That is a deliberate choice: predictable execution beats opaque recalculation spikes in live charts.

Verification checklist

  1. Open the script in TradingView and confirm it compiles under Pine Script v6.
  2. Validate warm-up behavior on sparse data and short histories.
  3. Compare output against a trusted reference implementation for the same parameters.
  4. Confirm parameter bounds reject invalid values without silent fallback.

References