Can I use sMAPE when my actuals and prediction have postive and negative values? I used several datasets and make predictions on it with many algos (ARIMA, Theta, Smoothing, etc.). Until now the current outome as well as the predictions (of the datasets) were strictly positive (always greater than 0). To evaluate the quality of the forecast between different models I used the sMAPE and also RMSE.
However, I have a new dataset that contains both positive and negative values. To be more specific, these are returns of a company (positive if the company wins, negative if the company makes a loss). 
Therefore, is sMAPE suitable for this type of dataset or should I use another measure such as the Root Mean Squared Error (RMSE)?
I ask this question because the sMAPEs I get for this new dataset, unlike the other datasets, gives very large values typically between 120 and 160 while the datasets with positive values are between 1 and 12. However the difference between the RMSE of the positives values datasets and the new dataset is not that huge.
 A: The sMAPE is a percentage error, which expresses the absolute error as a percentage of the average of the forecast and the actual. Percentage errors appear easy to understand and interpret.
However, I would be a bit skeptical about interpreting percentage errors of values that can take positive and negative values. You could even get undefined values, e.g., if you forecast 10 and the actual is -10, and you would try to divide the absolute error of 20 by the average of the actual and the forecast, which is zero. After all, the sMAPE was originally thought up to mitigate the problem of the "ordinary" MAPE with zero actuals, where we would have this exact problem of dividing by zero.
I would not use the sMAPE, or any percentage error, with values that can take negative and positive values.
Shameless piece of self-promotion: I would also suggest you read What are the shortcomings of the Mean Absolute Percentage Error (MAPE)? and think about what functional of the unknown future density you want to elicit using the sMAPE.
