MAD - Mean Absolute Deviation

2023년 1월 20일

purpose :implementation of MAD Mean Absolute Deviation in pinescript
implementation by : patmaba
type : measures of spread

Mean absolute deviation
The mean absolute deviation of a dataset is the average distance between each data point and the mean. It gives us an idea about the variability in a dataset.
Here's how to calculate the median absolute deviation.
Step 1: Calculate the mean.
Step 2: Calculate how far away each data point is from the mean using positive distances. These are called absolute deviations.
Step 3: Add those deviations together.
Step 4: Divide the sum by the number of data points.

Source of MAD:
khanacademy.org/math/statistics-probability/summarizing-quantitative-data/other-measures-of-spread/a/mean-absolute-deviation-mad-review

Formula :

MAD = ( ∑ |xi−µ| ) / n


where
xi = the value of a data point
|xi − µ| = absolute deviation
​µ = mean
n = sample size