TASC 03/07 Fractal Dimension Index
I have just finished it.
I hope there is no bug. It's Friday evening so I can not test it in live 
.
hi
To any friendly metatrader coder:
In the new Technical Analysis of Stocks and Commodities, there is a article by Radha Panini, it is the second article in a series. The first article went on about hurst applications and I thought at first it was going to be a promo for mesa or John Ehlers digital systems.
The second article shows a indicator called the Fractal dimension index. It is a indicator that shows strength of trend- it is compared to the vertical horizontal filter, ADX, DMI. I have used adx on most of my trades, as most traders are aware ADX it is a little slow and a little late- but can be used to make general assumptions about trending/range state. I also tried the vertical horizontal filter- but I could not find a consistent way to apply the indicator. It seems, as traders, that we are always searching for a better indicator.
This indicator backtested very favorable and of course only a email was listed for further inquiry- Sounds like a money grab. I did a search and I found some code for the indicator. It does not appear to be copyrighted.
Here is a earlier article pdf:
http://www.fractalfinancecubed.com/user/Making%20Sense%20of%20Fractals%20by%20Erik%20Long.pdf
Here is code for tradestation:
{ ************ Program to Calculate Fractal Dimension of Waveforms
Based on code by Carlos Sevcik,
"A procedure to Estimate the Fractal Dimension of Waveforms",
see /go?link=http://www.csu.edu.au/ci/vol05/sevcik/sevcik.html
Thanks for Alex Matulich for points out this article
N ( 30 ) ;
variables:
Diff( 0 ),
Length( 0 ),
PriceMax ( 0 ),
PriceMin( 0 ),
PriorDiff( 0 ),
Iteration( 0 ),
FractalDim( 0 ) ;
PriceMax = Highest( Close , N ) ;
PriceMin = Lowest( Close, N ) ;
Length = 0 ;
PriorDiff = 0 ;
for Iteration = 1 TO N -1
begin
if (PriceMax - PriceMin) > 0 then
begin
Diff = (Close - PriceMin) / (PriceMax - PriceMin) ;
if (Iteration> 1) then
begin
Length = Length + SquareRoot( Square(Diff - PriorDiff) + (1 / Square(N)) ) ;
end ;
PriorDiff = Diff ;
end ;
end ;
if Length > 0 then
FractalDim = 1 + ( LOG( Length )+ LOG( 2 ) ) / LOG( 2 * ( N ) )
else
FractalDim = 0 ;
Plot1( FractalDim ) ;
from link:
https://www.tradestation.com/discussions/Topic.aspx?Result=1&Topic_ID=13542
more links about indicator:
http://www.fractalfinance.com/software.html
I hope somebody will take the time to code this indicator- it appears that it could be applied to a robust EA!
Thank You,
M RippyHi that's interesting indicator.....
===================
Piprippy&iliko
PipRippy:Thanks for posting the code of this unbelievably useful indicator,as well as all the additional info on its potential meanings
Iliko:Thanks for converting to .mq4 the above mentioned indicator..I have been testing on "closed charts" and it seems to work just fine,let`s see next week with live data though it looks very promising
Thanks again to both and regards
Simba
Hi,
I think there is an error in the following line:
for( iteration = 0; iteration < g_period_minus_1; iteration++ )
it must be replaced with
for( iteration = 0; iteration <= g_period_minus_1; iteration++ )
It can be found in the _computeFdi subroutine:
void _computeFdi( int lastBars, double inputData[] )
This doesn't change the result much.
Regards
Derik
Looks interesting. Thanks
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To any friendly metatrader coder:
In the new Technical Analysis of Stocks and Commodities, there is a article by Radha Panini, it is the second article in a series. The first article went on about hurst applications and I thought at first it was going to be a promo for mesa or John Ehlers digital systems.
The second article shows a indicator called the Fractal dimension index. It is a indicator that shows strength of trend- it is compared to the vertical horizontal filter, ADX, DMI. I have used adx on most of my trades, as most traders are aware ADX it is a little slow and a little late- but can be used to make general assumptions about trending/range state. I also tried the vertical horizontal filter- but I could not find a consistent way to apply the indicator. It seems, as traders, that we are always searching for a better indicator.
This indicator backtested very favorable and of course only a email was listed for further inquiry- Sounds like a money grab. I did a search and I found some code for the indicator. It does not appear to be copyrighted.
Here is a earlier article pdf:
http://www.fractalfinancecubed.com/user/Making%20Sense%20of%20Fractals%20by%20Erik%20Long.pdf
Here is code for tradestation:
{ ************ Program to Calculate Fractal Dimension of Waveforms
Based on code by Carlos Sevcik,
"A procedure to Estimate the Fractal Dimension of Waveforms",
see http://www.csu.edu.au/ci/vol05/sevcik/sevcik.html
Thanks for Alex Matulich for points out this article
/go?link=http://unicorn.us.com/ }
Inputs:
N ( 30 ) ;
variables:
Diff( 0 ),
Length( 0 ),
PriceMax ( 0 ),
PriceMin( 0 ),
PriorDiff( 0 ),
Iteration( 0 ),
FractalDim( 0 ) ;
PriceMax = Highest( Close , N ) ;
PriceMin = Lowest( Close, N ) ;
Length = 0 ;
PriorDiff = 0 ;
for Iteration = 1 TO N -1
begin
if (PriceMax - PriceMin) > 0 then
begin
Diff = (Close - PriceMin) / (PriceMax - PriceMin) ;
if (Iteration> 1) then
begin
Length = Length + SquareRoot( Square(Diff - PriorDiff) + (1 / Square(N)) ) ;
end ;
PriorDiff = Diff ;
end ;
end ;
if Length > 0 then
FractalDim = 1 + ( LOG( Length )+ LOG( 2 ) ) / LOG( 2 * ( N ) )
else
FractalDim = 0 ;
Plot1( FractalDim ) ;
from link:
https://www.tradestation.com/discussions/Topic.aspx?Result=1&Topic_ID=13542
more links about indicator:
http://www.fractalfinance.com/software.html
I hope somebody will take the time to code this indicator- it appears that it could be applied to a robust EA!
Thank You,
M Rippy