Median Absolute Error

Category: volatility

Calculates the Median Absolute Error (MdAE) between an actual source and a predicted source over a rolling window. It is a robust measure of forecast accuracy that is less sensitive to outliers than Mean Absolute Error.

Formula

MdAE = \text{median}(|actual_i - predicted_i|, \text{length})

Inputs

• Length (default: 14)
• Actual (default: close)
• Predicted (default: open)

See signal primitives and every published strategy that uses Median Absolute Error on WOBR StrategyVerse.