Adjusted Mean Absolute Deviation Estimator/ Multi Symbol

I converted this based on this page .
Historical-Volatility-Estimators by Balipour
https://www.tradingview.com/script/nT8O ... ators-pig/

It uses the distance log return is from its moving average as volatility .
It’s a simple way to calculate volatility and it’s effective. The difference is the estimator does not have to square the log returns to get the volatility .
The paper suggests this estimator has more predictive power.
The mean absolute deviation here is adjusted to get rid of the bias. It scales the value so that it can be comparable to the other historical volatility estimators.

Close-to-Close is calculated based on standard deviation so it is vulnerable to returns that are not normally distributed and have fat tails.
Mean and Median absolute deviation makes the historical volatility more stable with extreme values.

[Notes]
Percentile Rank is a heavy processing.
So please select it when necessary, and limit the number of bars to calculate.

original published paper:
2023/01/17
The file name was changed because the name was not unified.