The median is the value separating the higher half of a data sample, a population, or a probability distribution, from the lower half. For a data set, it may be thought of as the “middle” value. For example, in the data set {1, 3, 3, 6, 7, 8, 9}, the median is 6, the fourth largest, and also the fourth smallest, number in the sample. For a continuous probability distribution, the median is the value such that a number is equally likely to fall above or below it. (wikipedia)

The first part of the code is the median calculation of a Close price (function created by @Despair), then this median price is averaged with a non linear time series Simple Moving Average function that smooth the information and so improve the reading of values.

Idea come from this topic in the Spanish forum: nueva media móvil con precio mediano

//PRC_MA of last X PriceMedian | indicator
//01.05.2018
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge

// --- settings 
length=5
priceMAperiod=20
// --- end of settings 

// median average
//median calc
once Median=0
if barindex>length then
 FOR X = 0 TO length-1
  M = close[X]    //this example takes the median of the last X values
  SmallPart = 0
  LargePart = 0
  FOR Y = 0 TO length-1
   IF close[Y] < M THEN
    SmallPart = SmallPart + 1
   ELSIF close[Y] > M THEN
    LargePart = LargePart + 1
   ENDIF
   IF LargePart = SmallPart AND Y = length-1 THEN
    Median = M
    BREAK
   ENDIF
  NEXT
 NEXT
endif

count=0
sum=0
lastmedian=0
for i = 0 to barindex do
 if median[i]<>lastmedian then
  lastmedian=median[i]
  count=count+1
  sum=sum+median[i]
  if count=priceMAperiod+1 then
   sum=sum-last
   last=median[i]
   break
   //
  endif
 endif
next
if last<>last[1] then
 avg = sum/priceMAperiod
endif

return avg