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Simple Moving Median Indicator

by QuantShare, 2007 days ago
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The SMM trading indicator is very similar to the SMA (Simple Moving Average) function, except that instead of returning the average (or mean) price it returns the median price.

A median is conceptually similar to a average except that an average is affected by outliers while a median is not. It is calculated by sorting all the numbers in the series and picking the number in the middle. For example, consider the following 5 days of closing prices for security ABC:
10.01
10.55
10.24
10.20
12.00

The average price is 10.60. The median price is 10.24. Some people like to use Simple Moving Median crossovers instead of Simple Moving Average crossovers.

Examples of usage:
MedianPrice(close, 10) returns the median closing price during the past 10 trading days (2 weeks).
Close > MedianPrice(close, 20) will evaluate to true only if the most recent closing price is more than the median closing price during the past month.

GSPC = GetSeries("^GSPC", close);
a = MedianPrice(GSPC, 252);
returns the median closing price of the S&P 500 Index over the past year.

Note: Do not confuse this indicator with the MedPrice() function which
returns the average of the high and low prices.


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Type: Trading Indicator

Object ID: 1448


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