John Ehlers’ and Ric Way’s article in this issue, “Fractal Dimension As A Market Mode Sensor,” provides a method of calculating the fractal dimension of any price series. The authors suggest using the calculations to distinguish trending from cycling price movement
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// Parameters // N = 30 ; N must be an even number // Threshold = 1.4 Price = MedianPrice once HalfN = 0.5 * N once NMinus1 = N - 1 once HalfNMinus1 = HalfN - 1 once Log2 = Log(2) if barindex > N then Smooth = (Price + 2 * Price[1] + 2 * Price[2] + Price[3]) / 6 N3 = ( highest[N](Smooth) - lowest[N](Smooth) ) / N HH = Smooth LL = Smooth for Count = 0 to HalfNMinus1 do if Smooth[Count] > HH then HH = Smooth[Count] endif if Smooth[Count] < LL then LL = Smooth[Count] endif next N1 = ( HH - LL ) / HalfN HH = Smooth[HalfN] LL = Smooth[HalfN] for Count = HalfN to NMinus1 do if Smooth[Count] > HH then HH = Smooth[Count] endif if Smooth[Count] < LL then LL = Smooth[Count] endif next N2 = ( HH - LL ) / HalfN if N1 > 0 and N2 > 0 and N3 > 0 then Ratio = 0.5 * ( ( Log( N1 + N2 ) - Log( N3 ) ) / Log2 + Dimen[1] ) endif Dimen = Average[20](Ratio) endif return Dimen as "Dimen", 1.6 as "1.6", Threshold as "Trigger" |
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