Adjusted Median 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/

This is another estimator that does not use standard deviation to measure volatility .
Using the median gives a more robust estimator when there are extreme values in the returns. It works better in fat-tailed distribution.
The median absolute deviation is adjusted by maximum likelihood estimation so that its value is scaled to be comparable to other 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]
Median Calculation is a heavy processing.
So limit the number of bars to calculate.

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