Volume Weigthed Mean Absolute Deviation

The volume weighted mean absolute deviation

The volume weighted mean absolute deviation is a dispersion measure of a set of data points. The volume weighted mean absolute deviation is the mean absolute deviation applied to weighted data set.

Indicator Description

Calculation: The mean absolute deviation of the selected data set is the volume weighted arithmetic mean of the absolute deviations from the volume weighted arithmetic mean of the data set.

The indicator values are calculated from the price data over the selected lookback period.

  1. We start with the calculation of the volume weighted mean of the selected input data.
  2. Next we find out how much the data points deviate from the volume weighted mean and calculate the absolute differences dropping any negative signs.
  3. We take the absolute values of the differences and calculate the volume weighted arithmetic mean of the absolute values.

The indicator is available for NinjaTrader 8.