Mean Deviation Index Blau_MDI - indicator for MetaTrader 5

Author: Andrey N. Bolkonsky

The Ergodic MDI (Mean Deviation Index, MDI) is the double-smoothed Mean Deviation Index (see Momentum, Direction, and Divergence: Applying the Latest Momentum Indicators for Technical Analysis).

The mean deviation is defined as a distance between close price and exponentially smoothed moving average, applied to close price.

• The smoothing leads to a lag, it can be seen at price reversal points. The value of mean deviation shows the distance between price and r-period moving average, applied to price.
  
• The sign of the mean deviation shows price position relative to r-period moving average, applied to price: it positive if price below the moving average and negative if price is lower than moving average.

• WilliamBlau.mqh must be placed in terminal_data_folder\MQL5\Include\
• Blau_MDI.mq5 must be placed in terminal_data_folder\MQL5\Indicators\

Mean Deviation Index by William Blau

Calculation:

The mean deviation is calculated by formula:

where:

• price - close price;
• EMA(price,r) - market trend, determined by exponentially smoothed moving average with period r, applied to price.
  

Mean Deviation Index is calculated by formula:

where:

• price - close price;
• EMA(price,r) - market direction - 1st EMA smoothing of period r, applied to price;
  
• md(price,r)=price-EMA(price,r) - mean deviation;
• EMA(md(price,r),s) - 2nd smoothing - exponentially smoothed moving average of period s, applied to mean deviation;
• EMA(EMA(md(price,r),s),u) - 3rd smoothing - exponentially smoothed moving average of period u, applied to result of the 1st smoothing;

• r - period of the 1st EMA, applied to price (by default r=20);
• s - period of the 2nd EMA, applied to mean deviation (by default s=5);
• u - period of the 3rd EMA, applied to result of the smoothing (by default u=3);
• AppliedPrice - price type (by default AppliedPrice=PRICE_CLOSE).

• r>1;
• s>0, u>0.  If r, s or u =1, smoothing is not used;
• Min. rates=(r+s+u-3+1).