Bill Dreiss, Fractal Dimension, and Chopiness Index
zhao
sorry I haven gotten back to you yet. I have not writen anything but if you've tried that vertical line thing then you can see that the 1M to 5M spand was to much, the articale in the current SC said to use a 5 to 1 scale differrents. A 3 to 1 scale differenes is better, To find them in real time you can use a simple oscellator, like the builtin Stochastic indicator. I use a custom oscellator but the stoch, will work just as will. Mlanden also created an oscellator back 2 years ago that worked very well I cant remember the name of it how ever. If he can remember it was a good choise I remember it was a tos up between what I created and that indicator, I went for my oscellator, only cause I wrote it, Mlanden indicator though was just as good as mine.
Put the stoch indicator on the chart, starting with the one minute. Set the stoch, to some thing like; 5-3-3 or 7-4-4 or even up to 9-5-5 Set the price to highest and lowest close price not the high/low price seting and use the weighted MA. one last thing set the levels to 87 on the high side and and 13 on the low side.
After you have done that place the vertical lines as you did before on the high points of the stoch indicator now NOT the price, and place it on the low of the oscellator, heres how its done, lets start with the oscellator above the 87 level look for the highest high in price and keep moving the vline up on each time the price makes a higher high when the oscellator goes down and breaks the lower level of 13 place a fixed marker now with the oscellator below 13 place a vline on the chart and keep moving it on each lower low, when the ocellator rises and breaks the 87 level fix the vline at the lowest low that was acheived, if the oscellator rises but doesnot break the 87 level before it comes back down then the low has not been fixed yet keep moving it if a lower low has been acheived, untill the oscellator breaks that 87 livel.
use the same settings on all charts and do the same routine for the 5, 15, and 30 minutes you will have a better result that way, then you have using subjective judement in placeing them, Now if you do it right and use the same coloring as in the above experiment, what you will find is that under each Gold Line will be a Blue one, and under that a Green one as well as a Red one under the Green one. This needs to be so as each time scale has cycles and all cycles have to bottom (top) together on each time frame below to form a lower low (higher high) on a higher time scale.
I made meny comments about cycles in the past as there are not fixed in time nor price altertude (movement). You will see that the Blue markers (on the 15M scale) will get closer to getter and not have as high an altertude when price volalitility decrease, If your useing price cycles this is a very good way to find them too,
Toy with this for a few days and you will see the value in it very quickly, What you need to do is to program an indicator to place the needed markers above and below price based on the rules givien above. This indicator is not always right and when MT went to 5 places in price it make this indicator less precisses but I have established rules for placeing trend lines based on these markers and these rules removes most of these times were one would question the markers placement. Will locate them and post it soon. I have writen them dowm already (years ago) will have to find them.
Keit
Hello Keit,
much much appreciated and many thanks for sharing a manual way of getting the mutiple TF fractals.
Best regards.
- zhao
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Here is the interview with Bill Dreiss by Active Trader Magizine April 2009, Theres another interview in Futures Magizine on the same month April 2009, I have not copied that article, It was not as good nor informative as the AT interview but if some one wants that one too I will look it up and post it. (I have over 12 years of magizines in my library).
Attached you will fine;
A... the interview with Bill, AT April 2009.
B... the Traders System Lab, Sept. 2009, Dreiss's chopiness index.
C... I also posting the AT Traders System Lab, for April 2009 which has a different volatility indicator that I found interesting and have adapted for my use. May be Mladen can make something with it for you.. I used it to get the volalitiy of both up and down moves. It was conventently in the same issue with Dreiss's interview.
D... And a white paper on Fractal I found interesting cant remember how I came about it. Its informative as should be read that way as it is overly compilcated for no real reason.
The pdf files were made with full version 5 of Adobe hopfully its compatable with the current reader version ??10?? is it.
I have not had time to write any thing about my method yet, and while your wating on me try this little experiment out, Its how I came about to finding this out.
Use the following time periods M1, M5, M15, & M30. Starting with M1 and place a vertical line (red) at all high price swings Here we want nice intermediate swings which are easy to see in hindsite. For get about the low price as they will just reflect the same in reverse. You will need to place a lot of these lines on the one minute chart as the chart will be changed upto the 30 minutes periods before your done.
When you think you've placed enough vertical lines on the one minute chart. Change the chart time period to five minutes, and repeat the process and add green vertical lines at all intermediate highs on that chart. you may have to place some green lines on top of some of the red ones that ok.
when your done with the 5 minutes turn the time period to 15 minutes and repeat it again with blue vertical lines, again some will fall on the green ones.
Think your done? one more time and turn to the 30 minutes and repeat using a gold vertical line.
Now when your done turn the chart back to the 15 minutes time frame back off and look at the lines theres the multi level fractals that every one is looking for. These are only the tops mind you. theres more to it then that but you'll get the principle behine it. Will post on how to derive them from code hopfully tomorrow. I trade the 15 minute time period so if your trading another timeframe just use that one divid that period by 3 to the next time period MT offers and use the next one down form that divided by 3 or the nearest to MTs offering. I use one period above not as most do that is to find the tread above but for another reason will explain tomorrow.
Keit
edit[will have to split the interview up into two parts it to big to upload will be up in a few minutes]