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Hi everyone,
I'm trying to replicate the MS formula for "Error-Adjusted Momentum" as described by David Varadi in this article:
https://cssanalytics.wordpress.com/2014/07/30/error-adjusted-momentum/
Essentially its the 200SMA of ROC / MAE
I don't know how to go about coding MAE (Mean Absolute Error)
Any help would be greatly appreciated.
Thank you.
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers
Joined: 1/22/2011(UTC)
Posts: 34
Thanks: 1 times
Was thanked: 1 time(s) in 1 post(s)
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I think I may have worked it out, but would be good to get some confirmation.
Forecast:=Mov(ROC(C,1,%),10,S);
Error:=ROC(C,1,%)-Forecast;
MAE:=Mov(Abs(Error),10,S);
Mov(ROC(C,1,%)/MAE,200,S)
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