MT4 Running Median Indicator - MetaTrader 4 Script | Forex Indicator Download - MetaTrader 4 Resources

This indicator calculates the median of odd spans. The median is described as the value that separates the upper half of a sample or probability distribution from the lower half. It is generally considered to be one of the most robust smoothing operators in the presence of outliers, especially more robust than the mean.

The calculation of the median is a popular technique in summary and summary statistics. A very nice property of the median is that the distance between the median and the mean is bounded by one standard deviation . Median is also a non-lag operator.

Paradoxically, it is almost impossible to find the median indicator in trading software. Additionally, the naive implementation relies on array sorting, which is a very slow operation that does not scale to longer time series.

So I designed this running median operator, which is incremental and therefore very fast. It follows the GNU Public License.

Attachment download

📎 RunMedian.mq4 (3.08 KB)

Source: MQL5 #10784