MAD (Mean Absolute Deviation)

The MAD (Mean Absolute Deviation) is a measure of statistical dispersion. In finance, it is used to measure the volatility of an asset. It is calculated as the average of the absolute differences between each data point and the mean. A higher MAD indicates higher volatility, and a lower MAD indicates lower volatility.

Arguments

Useful Signal Expressions

1. Increasing Volatility

Signal:

close().mad(9).rising(3)

Explanation: The Mean Absolute Deviation is rising for 3 consecutive periods, indicating increasing volatility.

2. Decreasing Volatility

Signal:

close().mad(9).falling(3)

Explanation: The Mean Absolute Deviation is falling for 3 consecutive periods, indicating decreasing volatility.