MultiCharts - Fractal Dimension Index
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Fractal Dimension Index
This is the Fractal Dimension Index (FDI) for MultiCharts.

The FDI was developed by Erik Long and the code for this version is based on Radha Panini's March 2007 S&C article "Using The Fractal Dimension Index: Trading Systems And Fractals".

According to Long in this article:

Quoting
 This specialized indicator identifies the Fractal Dimension of the market by using re-scaled range analysis and an estimated Hurst exponent. FDI uses all available data on the time/price chart to determine the volatility or trendiness of a given market.

For interpretation, Long suggests:

Quoting
 The FDI is useful for traders because it determines the amount of market volatility. The easiest way to use this indicator is to understand that a value of 1.5 suggests that the market is acting in a completely random fashion. As the market deviates from 1.5, the opportunity for profit earning is increased in proportion to the amount of deviation.

and..

Quoting
 When a market is not random it is more predictable. In the case of the FDI a fractal dimension closer to two may provide substantial opportunities because of the high volatility and changes in market movement. An FDI closer to one signals a trending market that is moving in one direction.

As the image shows, this indicator plots an horizontal line at 1.5, and the farther the FDI indicator moves from 1.5, the stronger is the trend. Note that this indicator does not say which direction the trend is moving; a negative value can happen in a uptrend or a downtrend.

Radha Panini uses in his S&C article a length of 30, which is set to the default value in this indicator.

Thanks to FatTails for pointing out the S&C code for the FDI indicator.

Category MultiCharts

 Details: Fractal Dimension Index Category: MultiCharts  January 21st, 2012 Size: 9.72 KB Downloaded: 465 times Keywords: fractals long ranini chaostheory

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