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Indicators

Mean Deviation Index Blau_MDI - indicator for MetaTrader 5

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2940
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votes: 17
Published:
2011.06.28 19:20
Updated:
2016.11.22 07:32
blau_mdi.mq5 (6.41 KB)view
\MQL5\Include\

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.
How to use:
  • 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

Mean Deviation Index by William Blau

Calculation:

The mean deviation is calculated by formula:

md(price,r) = price - EMA(price,r)

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:

MDI(price,r,s,u) = EMA(EMA( md(price,r) ,s),u) = EMA(EMA( price-EMA(price,r) ,s),u)

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

Translated from Russian by MetaQuotes Software Corp.
Original code: https://www.mql5.com/ru/code/373

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