Anyone know how to derive the FDI? Seems like a useful tool in latest S&C mag. However, I would also like to see longer term periods, and a greater assortment of stocks covered. I get the basic part about trending/trading range vs. 1.5, but I am looking for specific formulas to derive the FDI and hurst param.
Ok, I have the basic formula. R/S=(a*N)^H FDI = 2 - H Can anyone explain how to apply this formula to a real life stock? Say ebay or appl for example.
Here is the code for tradestation for a Fractal Indicator. [LegacyColorValue = true]; { ************ Program to Calculate Fractal Dimension of Waveforms Based on code by Carlos Sevcik, "A procedure to Estimate the Fractal Dimension of Waveforms", see http://www.csu.edu.au/ci/vol05/sevcik/sevcik.html Thanks for Alex Matulich for pointing out this article http://unicorn.us.com/ } Inputs: N ( 30 ) ; variables: Diff( 0 ), Length( 0 ), PriceMax ( 0 ), PriceMin( 0 ), PriorDiff( 0 ), Iteration( 0 ), FractalDim( 0 ) ; PriceMax = Highest( Close , N ) ; PriceMin = Lowest( Close, N ) ; Length = 0 ; PriorDiff = 0 ; for Iteration = 1 TO N -1 begin if (PriceMax - PriceMin) > 0 then begin Diff = (Close[Iteration ] - PriceMin) / (PriceMax - PriceMin) ; if (Iteration> 1) then begin Length = Length + SquareRoot( Square(Diff - PriorDiff) + (1 / Square(N)) ) ; end ; PriorDiff = Diff ; end ; end ; if Length > 0 then FractalDim = 1 + ( LOG( Length )+ LOG( 2 ) ) / LOG( 2 * ( N ) ) else FractalDim = 0 ; Plot1( FractalDim ) ;
Hi, because the FDI depends on the so-called Hurst exponent, this website (with a hurst exponent excel example) can help you to understand... http://www.gummy-stuff.org/hurst.htm This site of a canadian math prof. has also many other well and funny explained (excel) examples concerning investment and trading issues. bye, zentrader
Thanks for these replies. I just read something in stocks and commodities that blew my mind about fractal generators. Almost makes elliot waves looks objective. Too bad elliot waves != fractals, although it's followers will eventually try to make the connection.
After further investigation, I think this is the correct code (not for tradestation, but it can easily get translated): ---------------------------------------------------------------------------------- if barindex >= N-1 then Length = 0 PriceMax = highest[N](customclose) PriceMin = lowest[N](customclose) PriceRange = PriceMax-PriceMin if PriceRange > 0 then PriorDiff = (customclose[0] - PriceMin) / PriceRange for i = 1 TO N -1 do Diff = (customclose - PriceMin) / PriceRange Length = Length + sqrt(square(Diff - PriorDiff) + (1/square(N))) PriorDiff = Diff next endif if Length > 0 then FractalDim = 1 + (log(Length)+log(2)) / log(2*N) else FractalDim = FractalDim[1] endif else FractalDim = undefined endif return FractalDim as "Fractal Dimension" ---------------------------------------------------------------------------------- For the Hurst exponent, do: H = 2 - FractalDim