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Favorite Futures: ES ,design own advanced custom breadth indicators
Posts: 2 since Dec 2013
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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.
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You said: "The formula itself is fairly straight forward", could you post the formula, and maybe we can help..
Favorite Futures: ES ,design own advanced custom breadth indicators
Posts: 2 since Dec 2013
Thanks: 0 given,
0
received
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...
