The indicator is described in Technical Analysis of Stocks and Commodities, in a article by Radha Panini, in March, 2007, which is based on Carlos Sevcik, "A procedure to Estimate the Fractal Dimension of Waveforms" article.
- Code: Select all
function Init()
indicator:name("Fractal_Graph_Dimension");
indicator:description("Fractal_Graph_Dimension");
indicator:requiredSource(core.Bar);
indicator:type(core.Oscillator);
indicator.parameters:addInteger("Period", "Period", "Period", 30);
indicator.parameters:addString("app_price", "app_price", "", "close");
indicator.parameters:addStringAlternative("app_price", "close", "", "close");
indicator.parameters:addStringAlternative("app_price", "open", "", "open");
indicator.parameters:addStringAlternative("app_price", "high", "", "high");
indicator.parameters:addStringAlternative("app_price", "low", "", "low");
indicator.parameters:addStringAlternative("app_price", "median", "", "median");
indicator.parameters:addStringAlternative("app_price", "typical", "", "typical");
indicator.parameters:addStringAlternative("app_price", "weighted", "", "weighted");
indicator.parameters:addDouble("Random_Line", "Random_Line", "Random_Line", 1.5);
indicator.parameters:addColor("clr_buffUP", "Color of buffUp", "Color of buffUp", core.rgb(0, 0, 255));
indicator.parameters:addColor("clr_buffDN", "Color of buffDn", "Color of buffDn", core.rgb(255, 0, 0));
indicator.parameters:addColor("clr_UPbuffUP", "Color of UPbuffUp", "Color of UPbuffUp", core.rgb(0, 0, 255));
indicator.parameters:addColor("clr_UPbuffDN", "Color of UPbuffDn", "Color of UPbuffDn", core.rgb(255, 0, 0));
indicator.parameters:addColor("clr_DNbuffUP", "Color of DNbuffUp", "Color of DNbuffUp", core.rgb(0, 0, 255));
indicator.parameters:addColor("clr_DNbuffDN", "Color of DNbuffDn", "Color of DNbuffDn", core.rgb(255, 0, 0));
end
local first;
local source = nil;
local Period;
local app_price;
local Random_Line;
local Price;
local buffUP=nil;
local buffDN=nil;
function Prepare()
source = instance.source;
Period=instance.parameters.Period;
app_price=instance.parameters.app_price;
Random_Line=instance.parameters.Random_Line;
first = source:first()+2;
local name = profile:id() .. "(" .. source:name() .. ", " .. instance.parameters.Period .. ", " .. instance.parameters.app_price .. ", " .. instance.parameters.Random_Line .. ")";
instance:name(name);
Price = instance:addInternalStream(0, 0);
buffUP = instance:addStream("buffUP", core.Line, name .. ".buffUP", "buffUP", instance.parameters.clr_buffUP, first);
buffDN = instance:addStream("buffDN", core.Line, name .. ".buffDN", "buffDN", instance.parameters.clr_buffDN, first);
UPbuffUP = instance:addStream("UPbuffUP", core.Line, name .. ".UPbuffUP", "UPbuffUP", instance.parameters.clr_UPbuffUP, first);
UPbuffDN = instance:addStream("UPbuffDN", core.Line, name .. ".UPbuffDN", "UPbuffDN", instance.parameters.clr_UPbuffDN, first);
DNbuffUP = instance:addStream("DNbuffUP", core.Line, name .. ".DNbuffUP", "DNbuffUP", instance.parameters.clr_DNbuffUP, first);
DNbuffDN = instance:addStream("DNbuffDN", core.Line, name .. ".DNbuffDN", "DNbuffDN", instance.parameters.clr_DNbuffDN, first);
buffUP:addLevel(Random_Line);
end
function Update(period, mode)
if app_price=="close" then
Price[period]=source.close[period];
elseif app_price=="open" then
Price[period]=source.open[period];
elseif app_price=="high" then
Price[period]=source.high[period];
elseif app_price=="low" then
Price[period]=source.low[period];
elseif app_price=="median" then
Price[period]=(source.high[period]+source.low[period])/2.;
elseif app_price=="typical" then
Price[period]=(source.high[period]+source.low[period]+source.close[period])/3.;
else
Price[period]=(source.high[period]+source.low[period]+2.*source.close[period])/4.;
end
if (period>first+Period) then
local priceMax=core.max(Price,core.rangeTo(period,Period));
local priceMin=core.min(Price,core.rangeTo(period,Period));
local length=0.;
local priorDiff=0.;
local sum=0.;
for i=period-Period+1,period,1 do
if priceMax-priceMin>0. then
diff=(Price[i]-priceMin)/(priceMax-priceMin);
if i>period-Period+1 then
length=length+math.sqrt(math.pow(diff-priorDiff,2)+(1./math.pow(Period,2)));
end
priorDiff=diff;
end
end
local variance;
local fdi;
if length>0. then
fdi=1.+(math.log(length)+math.log(2.))/math.log(2.*(Period-1));
local mean=length/(Period-1);
local delta;
for i=period-Period+1,period,1 do
if priceMax-priceMin>0. then
diff=(Price[i]-priceMin)/(priceMax-priceMin);
if i>period-Period+1 then
delta=math.sqrt(math.pow(diff-priorDiff,2)+(1./math.pow(Period,2)));
sum=sum+math.pow(delta-length/(Period-1),2);
end
priorDiff=diff;
end
end
variance=sum/(math.pow(length,2)*math.pow(math.log(2.*(Period-1)),2));
else
fdi=0.;
variance=0.;
end
local stddev=math.sqrt(variance);
if fdi>Random_Line then
buffUP[period]=fdi;
buffUP[period-1]=math.max(buffUP[period-1],buffDN[period-1]);
buffDN[period]=nil;
UPbuffUP[period]=fdi+stddev;
UPbuffUP[period-1]=buffUP[period-1]+stddev;
UPbuffDN[period]=nil;
if fdi-stddev>Random_Line then
DNbuffUP[period]=fdi-stddev;
DNbuffUP[period-1]=buffUP[period-1]-stddev;
DNbuffDN[period]=nil;
else
DNbuffDN[period]=fdi-stddev;
DNbuffDN[period-1]=buffUP[period-1]-stddev;
DNbuffUP[period]=nil;
end
else
buffDN[period]=fdi;
buffDN[period-1]=math.max(buffUP[period-1],buffDN[period-1]);
buffUP[period]=nil;
if fdi+stddev>Random_Line then
UPbuffUP[period]=fdi+stddev;
UPbuffUP[period-1]=buffDN[period-1]+stddev;
UPbuffDN[period]=nil;
else
UPbuffDN[period]=fdi+stddev;
UPbuffDN[period-1]=buffDN[period-1]+stddev;
UPbuffUP[period]=nil;
end
DNbuffDN[period]=fdi-stddev;
DNbuffDN[period-1]=buffDN[period-1]-stddev;
DNbuffUP[period]=nil;
end
end
end
MT4 / MQ4 version is available here.
viewtopic.php?f=38&t=63912
