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MedianAbsoluteDeviation

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Median Absolute Deviation (MAD) is a measure of variation used in a similar manner to the standard deviation. The MAD is more robust in the presence of outliers and does not require a Gaussian distribution.

In order to estimate the standard deviation for a Gaussian distribution the MAD can be multiplied by 1.4826

Syntax:
MedianAbsoluteDeviation( series, bars )

Parameter:	Description:
bars	The number of bars over which to find the median absolute deviation

Returns:
The median absolute deviation over the specified number of bars.

Example:
' ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ ' Update Indicators Script ' ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ ' MedAbsDev = IPV - Numeric Series ' Bar_Count = 21 MedAbsDev = MedianAbsoluteDeviation( Instrument.Close, Bar_Count ) ' ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Chart Display: Median Absolute Deviation Indicator

Example:

' ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
' Update Indicators Script
' ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
' MedAbsDev = IPV - Numeric Series
' Bar_Count = 21
MedAbsDev = MedianAbsoluteDeviation( Instrument.Close, Bar_Count )
' ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Chart Display:

Median Absolute Deviation Indicator

Links:
Historic Volatility, Market Noise

See Also:
Indicator Pack 1 Series Functions

Edit Time: 9/26/2020 1:25:37 PM

Topic ID#: 418

MedianAbsoluteDeviation

Syntax:

Parameter:

Description:

Returns:

Example:

Chart Display:

Links:

See Also: