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Polarized Fractal Efficiency Indicator
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Polarized Fractal Efficiency Indicator

  #41 (permalink)
Trading Apprentice
Denver, Colorado, USA
 
Futures Experience: Intermediate
Platform: Ninjatrader
Broker/Data: Kinetick
Favorite Futures: Forex
 
Posts: 36 since Aug 2011
Thanks: 6 given, 17 received


Silver Dragon View Post
@Fat Tails

Excellent posts! Curious; Is Fractal Dimension Index the same/similar as Polarized Fractal Efficiency Indicator? The chart in the link below looks similar to screenshots you posted.


Fractal Dimension Index

Thanks!
SD

I've always thought of these two indicators as different, however you made me think. I believe they are trying to measure something similar. I'll take a look at the formulas a little closer and post again unless someone beats me to it.


Last edited by Antisyzygy; July 15th, 2012 at 02:01 AM. Reason: N/A no changes
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  #42 (permalink)
Trading Apprentice
Denver, Colorado, USA
 
Futures Experience: Intermediate
Platform: Ninjatrader
Broker/Data: Kinetick
Favorite Futures: Forex
 
Posts: 36 since Aug 2011
Thanks: 6 given, 17 received


Antisyzygy View Post
I've always thought of these two indicators as different, however you made me think. I believe they are trying to measure something similar. I'll take a look at the formulas a little closer and post again unless someone beats me to it.

So after looking at the formulas, the FDI is based on the Hurst exponent, which is sort of a measure of how a time series is observed to behave around its mean. The PFE dimensionless version is Net Change between bar N and 1 divided by the Path-wise "distance" so to speak. They aren't the same.

Here is a good read on the Hurst exponent : Estimating the Hurst Exponent

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  #43 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
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Silver Dragon View Post
@Fat Tails

Excellent posts! Curious; Is Fractal Dimension Index the same/similar as Polarized Fractal Efficiency Indicator? The chart in the link below looks similar to screenshots you posted.


Fractal Dimension Index

Thanks!
SD

The Polarized Fractal Efficiency has nothing to do with the Fractal Dimension Index, with the exception that both indicators are based on vague geometrical concepts.

For a detailed discussion of the Fractal Dimension Index, please see this thread:

https://futures.io/elite-circle/17157-fractal-dimensions-differentiating-between-trending-range-bound-markets.html

The term "fractal" was also used by Perry Kaufman. He called his indicator Fractal Efficiency Indicator. To avoid further confusion, I have posted it as Kaufman Efficiency Ratio.

https://futures.io/download/ninjatrader-7/indicators/935-download.html?view

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  #44 (permalink)
Trading Apprentice
Ravenna+Italy/Emilia-Romagna
 
Futures Experience: Intermediate
Platform: MetaTrader
Favorite Futures: Forex
 
Posts: 1 since Nov 2013
Thanks: 0 given, 0 received

PFE

Hi, i'm reading with interest this thread but unfortunatley i'm a mt4 user...sob!
Would anyone be so kind to code a mql version of PFE?
Thank you

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  #45 (permalink)
Trading Apprentice
Vancouver Washington United State of America
 
Futures Experience: Intermediate
Platform: TS, TOS, IB, Street Smart
Favorite Futures: West Texas Intemediate
 
Marvin S's Avatar
 
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PFE


zentrade View Post
Does anyone use this indicator in the futures market? It seems to give clear signals. Most sites claim it's mainly used to trade FX.

I recently became aware of the Polarized Fractile Efficiency indicator reading in Technical Analysis from A to Z by Achelis. I applied it to a few charts in Trade Station. It looked like it might have some merit on short time frames of some trading vehicles (futures, mostly, in my case). I am still very preliminary in my assessment. It was helpful in three out of the four trading days last week. I made money each of the four trading days, but the PFE was only helpful in three of them. I trade mostly on the basis of price and price history. I often put all kinds of indicators on my charts trying to see if something would be helpful. CCI and now maybe PFE add some restraint in some cases and confidence in others to my trading decisions. I changed the level of both the high and low alert levels in the PFE and use it differently than is described in the book and Trade Station definition. I know I am being coy but I don't want to appear foolish by being premature. I have had high hopes for indicators in the past and very few have made me happy in the long run.

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  #46 (permalink)
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Vancouver Washington United State of America
 
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Platform: TS, TOS, IB, Street Smart
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Thanks: 2 given, 4 received

PFE

I have become negative toward PFE. It may(??) have some value trading a 5 minute chart. But for now I am going to throw it out.

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  #47 (permalink)
Trading Apprentice
Vancouver Washington United State of America
 
Futures Experience: Intermediate
Platform: TS, TOS, IB, Street Smart
Favorite Futures: West Texas Intemediate
 
Marvin S's Avatar
 
Posts: 11 since Nov 2013
Thanks: 2 given, 4 received

PFE indicator

I have had some success on a 5 minute CL (WTI) chart by trading opposite the indicator when it is +/- 100.

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