WAPE: Weighted Absolute Percentage Error

I was recently asked for my view on the so-called “Weighted Absolute Percentage Error” (WAPE).

The WAPE was introduced by Kolassa & Schütz (2007) who called it the MAD/Mean ratio. It is defined as $\text{WAPE} = \frac{\sum_{t} |y_t - \hat{y}_t|}{\sum_{t} |y_t|}$ where

$y_t$ is the actual value at time <img …