Fractal DImension Index

[randl]

Does anyone know if this index has been coded for NT? I did look throught the indicator forum and did not see it. I am new to this forum and may have missed other areas to look, Here is a reference for what this is: http://transcripts.fxstreet.com/2005...l_dimensi.html Also it is discussed in the S&C of March 2007 (pg 36). Thanks

[marketmasher]

Check results before using.

[randl]

Thank You Very Much!
Randl
P.S.: I am new to the Ninja world, and I am finding it has many friendly traders! Thanks

[Kaustin]

Fractal dimension calculated?

Seems very different than the "scientific" fractal dimension.
What are functions and theory behind it? Anyone of these (see pdf)?

[Harry]

We have discussed the Fractal Dimension Index some time ago on Big Mike's Forum. Please read the thread, which can be found here:

https://www.bigmiketrading.com/elite-circle/17157-fractal-dimensions-differentiating-between-trending-range-bound-markets.html

Here are some excerpts from the thread:

1) Erik Long suggests a rescaled range analysis to calculate the Hurst exponent and then derives the fractal dimension from the Hurst exponent.
(2) There is Wealth-Lab and Neo-Ticker code available in the Trader's Tips of May 2003 referring to Erik Long's article.
(3) The tradestation code from the Trader's Tips of April 2007, which is the base for the Multicharts code presented by @Jura has nothing to do with rescaled range analysis, but is based on a publication by Carlos Sevcik to estimate the fractal dimension of waveforms.
(4) The VT Trader code published in the same edition of the Trader's Tips uses rescaled range analysis.
(5) There are several MetaTrader versions of the FDI.
(6) There is a probably false implementation on the NinjaTrader forum.

I have coded various experimental versions of the FDI.

X0 follows the geometrical definition of a fractal.
X1 is a translation of the TradeStation indicator
X2 is a version based on the original formula published by Carlos Sevcik (which was the base for the TradeStation implementation)
X1M uses the formula by Carlos Sevcik with a modification suggested by Alex Matulich
X3 applies the method of rescaled ranges as explained in the Trader Tips of the May 2003 issue.

Attached is a chart showing the versions X0, X1, X1M and X2 for comparison. The indicators can be downloaded at Big Mike's forum, or I will send them to anybody, who is interested in discussing the matter. Just send me a private message.

[Harry]

Kaufman Efficiency Ratio

An alternative to the Fractal Dimension Index is the Kaufman Efficiency Ratio, which is also known as Fractal Efficiency Ratio.

A free version is available here.

https://www.bigmiketrading.com/download/ninjatrader-7/indicators/935-download.htmlBin

This indicator also comes with a modified formula based on the balanced momentum, which is an enhanced version of the standard momentum indicator.

[Pablo GJ]

is there any way to download this indicator without being an elite member?

[NinjaTrader_PaulH]

Hello Pablo,

Thanks for your post.

I believe the indicator is not in the elite section of Big Mikes trading. You would need to register on BigMikes to access though.

[Harry]

is there any way to download this indicator without being an elite member?

Send me a private message with your e-mail.