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mean absolute deviation formula
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mean absolute deviation formula

  #1 (permalink)
Trading Apprentice
Birmingham , United Kingdom
 
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mean absolute deviation formula

Hi there ,

New to this forumn I am looking for formula /code for the mean absolute deviation not a fixed parameter one but a variable period like what vwap is , a variable period volume weighted average . I have already written and done a formula for a variable period standard deviation because there are a couple of alternate formulas to produce the same result . But the mean absolute is proving rather difficult . The formula itself is fairly straight forward but it is proving difficult to code . I do not have a lot of experience in languages , the platform I use is Neoticker and the language they use is called "formula language" . Any help would be appreciated.

THx

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  #2 (permalink)
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  #3 (permalink)
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raker View Post
Hi there ,

New to this forumn I am looking for formula /code for the mean absolute deviation not a fixed parameter one but a variable period like what vwap is , a variable period volume weighted average . I have already written and done a formula for a variable period standard deviation because there are a couple of alternate formulas to produce the same result . But the mean absolute is proving rather difficult . The formula itself is fairly straight forward but it is proving difficult to code . I do not have a lot of experience in languages , the platform I use is Neoticker and the language they use is called "formula language" . Any help would be appreciated.

THx

***************************************************************************
You said: "The formula itself is fairly straight forward", could you post the formula, and maybe we can help..

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  #4 (permalink)
Trading Apprentice
Birmingham , United Kingdom
 
Futures Experience: Intermediate
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the formula is just taking the average distance away from the mean e.g. ;

take the following numbers:

1,2,3,4

add them up and divide by number of data points (4) :

(1+2+3+4)/4 =2.5 this is the mean ;

then take the mean and subtract that from each value;

(1-2.5)+(2-2.5)+(3-2.5)+(4-2.5) this gives us the following :

(-1.5)+(-0.5)+(0.5)+(1.5) at this point some we take the absolute value of the data points which basically
means get rid of the negative sign and add them up :

(1.5)+(0.5)+(0.5)+(1.5) = 4 then take this number and divide by number of data points ;

4/4 = 1 this is the mean absolute deviation.

The part I am having a problem with is the part where you subtract the mean from all the previous data points , I do not know how to loop back to previous values...

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  #5 (permalink)
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Hyannis, MA
 
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You do not specify where the data points are coming from. I assumed they are in an array.

Here is a function that should do what you want.

---

Input: aValues[S1](NumericArray), Size(NumericSimple);

Vars: j(0), Sum(0), Mean(0);

Sum = 0;
for j = 1 to Size begin
Sum = Sum + aValues[j];
end;
Mean = Sum / Size;

Sum = 0;
for j = 1 to Size begin
Sum = Sum + AbsValue(aValues[j] - Mean);
end;

MeanDeviation = Sum / Size;

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