Mean Absolute Error (MAE)

Category: volatility

Calculates the Mean Absolute Error (MAE) between price and its EMA (or any two series) over a rolling window using a circular buffer.

Formula

MAE = \frac{1}{n} \sum_{i=0}^{n-1} |source1_i - source2_i|

Inputs

• Source (default: close)
• Period (default: 100)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.