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GameTime  
#1 Posted : Wednesday, January 6, 2016 8:18:21 AM(UTC)
GameTime

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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.

 

 

GameTime  
#2 Posted : Wednesday, January 6, 2016 5:43:23 PM(UTC)
GameTime

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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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