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.

kvak wrote: Wed Nov 23, 2022 10:29 am Variance MA with Averages Filters

Added button and some averages...

grateful. Filtering horizontal markets works well

honje19960321 wrote: Tue Jan 17, 2023 7:48 pm grateful. Filtering horizontal markets works well

When the blue line is below the red line, it means that the market is about to or has already trended
When the red line is above the blue line, it means the market is calm and trading sideways

I created a file to use in EAs and other indis. It only output the volatility estimation, but all within one convenient file
you will need to rename
Volatility Estimator_Adjusted Mean Absolute Deviation_MultiSymbol.mq4
to
Volatility Estimator_Adjusted Mean Absolute Deviation MultiSymbol.mq4
or download the file attached

Jeff

ionone wrote: Tue Jan 17, 2023 7:10 pm thanks that's awesome work

here is all the files named better

A little interested, thanks to yoake for sharing.
I try to figure out how to use it later.
I hope it will be useful for filtering horizontal markets

ionone wrote: Tue Jan 17, 2023 8:09 pm I created a file to use in EAs and other indis. It only output the volatility estimation, but all within one convenient file


you will need to rename
Volatility Estimator_Adjusted Mean Absolute Deviation_MultiSymbol.mq4
to
Volatility Estimator_Adjusted Mean Absolute Deviation MultiSymbol.mq4
or download the file attached

Jeff

Thanks to Jeff for making the EA for this

honje19960321 wrote: Tue Jan 17, 2023 8:16 pm Thanks to Jeff for making the EA for this

it's not an EA it's an Indi

and here is a "compact" version, easier to use

ionone wrote: Tue Jan 17, 2023 7:10 pm thanks that's awesome work

here is all the files named better

Dear Ionone

I have responded to your request and standardized the file names.

I would like you to rename your files if possible. It is confusing.

I have a request for you.
Please stop re-uploading other people's code with different names.

At least I do not feel very good about it.

Thank you in advance.

yoake wrote: Wed Jan 18, 2023 5:31 pm Dear Ionone

I have responded to your request and standardized the file names.

I would like you to rename your files if possible. It is confusing.

I have a request for you.
Please stop re-uploading other people's code with different names.

At least I do not feel very good about it.

Thank you in advance.

so sorry my dude. i thought it would be more easily found with the names changed

I was going to upload it sooner.
This is Historical Volatility Estimators_ALL.
Eight Historical Volatility Estimators are available, Close to Close, Parkinson, Garman Klass, Garman Klass YZ Extension, Roger-Satchell, EWMA, Yang Zhang Estimator, Adjustable Mean Absolute Deviation, and Adjustable Median Absolute Deviation.

I converted it based on this page.
Balipour's TradingView Script
https://www.tradingview.com/script/nT8O ... ators-pig/
In addition, multi-symbols can be used.

Please read Balipour's page and post #264 for more information on Historical Volatility Estimators.
Volatility Indicators for MT4 #264
viewtopic.php?p=1295500963#p1295500963


If you want to use the indicators individually, please use the RAR file that contains all 8 indicators.