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Fractal Dimensions As A Market Mode Sensor

In his article “Fractal Dimensions As A Market Mode Sensor”, John F. Ehlers has demonstrated how one can determine whether the market is in a cycle mode or trend mode.

Using Tradecision’s Indicator Builder, one needs to create the FRACTAL DIMENSION indicator:

FRACTAL DIMENSION indicator:

input
Price:"Price",MedianPrice();
N:"N must be an even number",30;
end_input

var
Smooth:=0;
count:=0;
N1:=0;
N2:=0;
N3:=0;
HH:=0;
LL:=0;
Ratio:=0;
Dimen:=0;
end_var

if HistorySize < 3 then return 0;

Smooth:=(Price + 2 * Price\1\ + 2 * Price\2\ + 
Price\3\) / 6;
N3:=(Highest(Smooth, N) - Lowest(Smooth, N)) / N;
HH:=Smooth;
LL:=Smooth;
for count:=0 to N / 2 - 1 do begin
	if Smooth\count\ >HH then
		HH:=Smooth\count\;
	if Smooth\count\ < LL then
		LL:=Smooth\count\;
end;
N1:=(HH - LL) / (N / 2);
HH:=Smooth\N / 2\;
LL:=Smooth\N / 2\;
for count:=N / 2 to N - 1 do begin
	if Smooth\count\ >HH then
		HH:=Smooth\count\;
	if Smooth\count\ < LL then
		LL:=Smooth\count\;
end;
N2:=(HH - LL) / (N / 2);
if N1 >0 and N2 >0 and N3 >0 then
	Ratio:=0.5 * ((LogN(N1 + N2) - LogN(N3)) / 
    LogN(2) + Dimen\1\);
Dimen:=SMA(Ratio, 20);

return Dimen;



Download to import into Tradecision.

How to use this indicator in Tradecision:
  1. Click Download.
  2. Save this indicator in a safe location on your hard drive.
  3. Open Tradecision and in the Tools menu click Indicator Builder.
  4. In the Indicator Builder dialog, click Import, locate the saved file and then click OK.
The indicator will be added to the Custom Indicators list.
 
Fractal Dimensions As A Market Mode Sensor
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