Dynamic Mean Deviation
Regular mean deviation indicator use a fixed length look back. It is useful in normal cases but less effective when one wants to the mean deviation to keep up with fast market environment. Here is one way in implementing the concept.
Following is a chart of Emini S&P in 5-Min resolution. Bottom pane is the 20 period mean deviation (blue line).
Notice the way mean deviation spiked way higher when volatility increased.
Following is the same chart with range controlled look back on the dynamic mean deviation overlaid on top of the 20 period mean deviation.
The dynamic range to look back period function is different from smoothing the mean deviation by moving average. Notice the dynamic mean deviation (red line) reacted faster during high volatility period and slowed its pace down when price entered compression. A simple concept that works well in controlling which part of the data series to focus on.
Since not all platforms can perform dynamic evaluation based on a formula, I will see what I can do to implement this indicator in various platforms. Will post the indicators in the forum.