Fractal Dimension index
The Fractal Dimension Index, possibly within Amibroker, measures the market’s volatility and complexity. Though not directly tied to the Amibroker data feeder, it helps traders assess market conditions. Its integration enables traders to understand volatility changes, potentially aiding in decision-making regarding trade entries or exits.
/_SECTION_BEGIN("FDI");
pr = Close;
periods = 30;
Ri = log(pr/Ref(pr,-1));
Mn = Sum(ri,periods)/periods;
X = Sum((Ri-Mn),periods);
Rn = HHV(X,periods) - LLV(X,periods);
Sn = StDev(Ri,periods);
Hurst = log(Rn/Sn) / log(periods/2);
FDI = 2 - Hurst;
Plot(FDI, "", colorRed);
PlotGrid(1, colorLightGrey);
PlotGrid(1.5, colorLightGrey);
PlotGrid(2, colorLightGrey);
_SECTION_END();