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Does anyone know the formula for Fractal Dimension Index?
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I am not sure if the version posted in TASC is true to the original concept? I thought that to properly compute the Hurst component and then the fractal component would require inner loops which MS cannot support. The only way to code these correctly would involve using external functions, but anyway here is what was in that issue of TASC. A copy of the article is at http://www.fractalfinance.com/fracdimin.html6597[/url] which is very similar to the above version. Code:
{Provided By: Visual Trading Systems, LLC & Capital Market Services, LLC © Copyright 2007}
{Description: Fractal Dimension Index (FDI)}
{Notes: March 2007 Issue - Using the Fractal Dimension Index - Trading Systems and Fractals by Radha Panini}
{vt_FDI Version 1.0}
pr:=CLOSE;
periods:=100;
Ri:= Log(pr/Ref(pr,-1));
Mn:= Sum(ri,periods)/periods;
X:= Sum((Ri-Mn),periods);
Rn:= HHV(X,periods) - LLV(X,periods);
Sn:= Stdev(Ri,periods);
Hurst:= Log(Rn/Sn) / Log(periods/2);
FDI:= 2 - Hurst;
FDI;
http://transcripts.fxstreet.com/2005/05/fractal_dimensi.html
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Rank: Advanced Member
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Joined: 11/7/2005(UTC)
Posts: 602
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That is a lot of info. Thanks.
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