//+------------------------------------------------------------------------------------------------------------------+
//| fractal_dimension.mq4 |
//| iliko [arcsin5@netscape.net] |
//| |
//| |
//| The Fractal Dimension Index determines the amount of market volatility. The easiest way to use this indicator is|
//| to understand that a value of 1.5 suggests the market is acting in a completely random fashion. |
//| As the market deviates from 1.5, the opportunity for earning profits is increased in proportion |
//| to the amount of deviation. |
//| But be carreful, the indicator does not show the direction of trends !! |
//| |
//| The indicator is RED when the market is in a trend. And it is blue when there is a high volatility. |
//| When the FDI changes its color from red to blue, it means that a trend is finishing, the market becomes |
//| erratic and a high volatility is present. Usually, these "blue times" do not go for a long time.They come before|
//| a new trend. |
//| |
//| For more informations, see |
//| http://www.forex-tsd.com/suggestions-trading-systems/6119-tasc-03-07-fractal-dimension-index.html |
//| |
//| |
//| HOW TO USE INPUT PARAMETERS : |
//| ----------------------------- |
//| |
//| 1) e_period [ integer >= 1 ] => 30 |
//| |
//| The indicator will compute the historical market volatility over this period. |
//| Choose its value according to the average of trend lengths. |
//| |
//| 2) e_type_data [ int = {PRICE_CLOSE = 0, |
//| PRICE_OPEN = 1, |
//| PRICE_HIGH = 2, |
//| PRICE_LOW = 3, |
//| PRICE_MEDIAN (high+low)/2 = 4, |
//| PRICE_TYPICAL (high+low+close)/3 = 5, |
//| PRICE_WEIGHTED (high+low+close+close)/4 = 6} => PRICE_CLOSE |
//| |
//| Defines on which price type the Fractal Dimension is computed. |
//| |
//| 3) e_random_line [ 0.0 < double < 2.0 ] => 1.5 |
//| |
//| Defines your separation betwen a trend market (red) and an erratic/high volatily one. |
//| |
//| v1.0 - February 2007 |
//+------------------------------------------------------------------------------------------------------------------+
#property link "arcsin5@netscape.net"
//----
#property indicator_separate_window
#property indicator_levelcolor LimeGreen
#property indicator_levelwidth 1
#property indicator_levelstyle STYLE_DASH
#property indicator_buffers 2
#property indicator_color1 Blue
#property indicator_color2 Red
#property indicator_width1 2
#property indicator_width2 2
//************************************************************
// Input parameters
//************************************************************
extern int e_period =30;
extern int e_type_data =PRICE_CLOSE;
extern double e_random_line =1.5;
//************************************************************
// Constant
//************************************************************
string INDICATOR_NAME="FDI";
string FILENAME ="___fractal_dimension.mq4";
double LOG_2;
//************************************************************
// Private vars
//************************************************************
//---- input buffer
double ExtInputBuffer[];
//---- output buffer
double ExtOutputBufferUp[];
double ExtOutputBufferDown[];
int g_period_minus_1;
//+-----------------------------------------------------------------------+
//| FUNCTION : init |
//| Initialization function |
//| Check the user input parameters and convert them in appropriate types.|
//+-----------------------------------------------------------------------+
int init()
{
// Check e_period input parameter
if(e_period < 2 )
{
Alert( "[ 10-ERROR " + FILENAME + " ] input parameter \"e_period\" must be >= 1 (" + e_period + ")" );
return( -1 );
}
if(e_type_data < PRICE_CLOSE || e_type_data > PRICE_WEIGHTED )
{
Alert( "[ 20-ERROR " + FILENAME + " ] input parameter \"e_type_data\" unknown (" + e_type_data + ")" );
return( -1 );
}
if(e_random_line < 0.0 || e_random_line > 2.0 )
{
Alert( "[ 30-ERROR " + FILENAME + " ] input parameter \"e_random_line\" = " + e_random_line + " out of range ( 0.0 < e_random_line < 2.0 )" );
return( -1 );
}
IndicatorBuffers( 3 );
SetIndexBuffer( 0, ExtOutputBufferUp );
SetIndexStyle( 0, DRAW_LINE, STYLE_SOLID, 2 );
SetIndexBuffer( 1, ExtOutputBufferDown );
SetIndexStyle( 1, DRAW_LINE, STYLE_SOLID, 2 );
SetIndexBuffer( 2, ExtInputBuffer );
SetLevelValue( 0, e_random_line );
IndicatorShortName( INDICATOR_NAME );
SetIndexLabel( 0, INDICATOR_NAME );
SetIndexDrawBegin( 0, 2 * e_period );
g_period_minus_1=e_period - 1;
LOG_2=MathLog( 2.0 );
//----
return( 0 );
}
//+------------------------------------------------------------------+
//| FUNCTION : deinit |
//| Custor indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
return(0);
}
//+------------------------------------------------------------------+
//| FUNCTION : start |
//| This callback is fired by metatrader for each tick |
//+------------------------------------------------------------------+
int start()
{
int countedBars=IndicatorCounted();
//---- check for possible errors
if(countedBars < 0)
{
return(-1);
}
_computeLastNbBars( Bars - countedBars - 1 );
//----
return( 0 );
}
//+================================================================================================================+
//+=== FUNCTION : _computeLastNbBars ===+
//+=== ===+
//+=== ===+
//+=== This callback is fired by metatrader for each tick ===+
//+=== ===+
//+=== In : ===+
//+=== - lastBars : these "n" last bars must be repainted ===+
//+=== ===+
//+================================================================================================================+
//+------------------------------------------------------------------+
//| FUNCTION : _computeLastNbBars |
//| This callback is fired by metatrader for each tick |
//| In : - lastBars : these "n" last bars must be repainted |
//+------------------------------------------------------------------+
void _computeLastNbBars( int lastBars )
{
int pos;
switch( e_type_data )
{
case PRICE_CLOSE : _computeFdi( lastBars, Close ); break;
case PRICE_OPEN : _computeFdi( lastBars, Open ); break;
case PRICE_HIGH : _computeFdi( lastBars, High ); break;
case PRICE_LOW : _computeFdi( lastBars, Low ); break;
case PRICE_MEDIAN :
for( pos=lastBars; pos>=0; pos--)ExtInputBuffer[pos]=(High[pos]+Low[pos])/2.0; _computeFdi( lastBars, ExtInputBuffer );
break;
case PRICE_TYPICAL :
for( pos=lastBars; pos>=0; pos--)ExtInputBuffer[pos]=(High[pos]+Low[pos]+Close[pos])/3.0; _computeFdi( lastBars, ExtInputBuffer );
break;
case PRICE_WEIGHTED :
for( pos=lastBars; pos>=0; pos--)ExtInputBuffer[pos]=(High[pos]+Low[pos]+Close[pos]+Close[pos])/4.0; _computeFdi( lastBars, ExtInputBuffer );
break;
default :
Alert( "[ 20-ERROR " + FILENAME + " ] the imput parameter e_type_data <" + e_type_data + "> is unknown" );
}
}
//+------------------------------------------------------------------+
//| FUNCTION : _computeFdi |
//| Compute FDI values from input data. |
//| In : |
//| - lastBars : these "n" last bars must be repainted |
//| - inputData : data array on which the FDI will be applied |
//+------------------------------------------------------------------+
void _computeFdi( int lastBars, double inputData[] )
{
int pos, iteration;
double diff, priorDiff;
double length;
double priceMax, priceMin;
double fdi;
//----
for( pos=lastBars; pos>=0; pos-- )
{
priceMax=_highest( e_period, pos, inputData );
priceMin=_lowest( e_period, pos, inputData );
length =0.0;
priorDiff=0.0;
//----
for( iteration=0; iteration < g_period_minus_1; iteration++ )
{
if(( priceMax - priceMin)> 0.0 )
{
diff =(inputData[pos + iteration] - priceMin )/( priceMax - priceMin );
if(iteration > 0 )
{
length+=MathSqrt( MathPow( diff - priorDiff, 2.0)+(1.0/MathPow( e_period, 2.0)) );
}
priorDiff=diff;
}
}
if(length > 0.0 )
{
fdi=1.0 +(MathLog( length)+ LOG_2 )/MathLog( 2 * e_period );
}
else
{
/*
** The FDI algorithm suggests in this case a zero value.
** I prefer to use the previous FDI value.
*/
fdi=0.0;
}
if(fdi > e_random_line )
{
ExtOutputBufferUp[pos] =fdi;
ExtOutputBufferUp[pos+1]=MathMin( ExtOutputBufferUp[pos+1], ExtOutputBufferDown[pos+1] );
ExtOutputBufferDown[pos]=EMPTY_VALUE;
}
else
{
ExtOutputBufferDown[pos] =fdi;
ExtOutputBufferDown[pos+1]=MathMin( ExtOutputBufferUp[pos+1], ExtOutputBufferDown[pos+1] );
ExtOutputBufferUp[pos]=EMPTY_VALUE;
}
}
}
//+------------------------------------------------------------------+
//| FUNCTION : _highest |
//| Search for the highest value in an array data |
//| In : |
//| - n : find the highest on these n data |
//| - pos : begin to search for from this index |
//| - inputData : data array on which the searching for is done |
//| |
//| Return : the highest value | |
//+------------------------------------------------------------------+
double _highest( int n, int pos, double inputData[] )
{
int length=pos + n;
double highest=0.0;
//----
for( int i=pos; i < length; i++ )
{
if(inputData[i] > highest)highest=inputData[i];
}
return( highest );
}
//+------------------------------------------------------------------+
//| FUNCTION : _lowest | ===+
//| Search for the lowest value in an array data |
//| In : |
//| - n : find the hihest on these n data |
//| - pos : begin to search for from this index |
//| - inputData : data array on which the searching for is done |
//| |
//| Return : the highest value |
//+------------------------------------------------------------------+
double _lowest( int n, int pos, double inputData[] )
{
int length=pos + n;
double lowest=9999999999.0;
//----
for( int i=pos; i < length; i++ )
{
if(inputData[i] < lowest)lowest=inputData[i];
}
return( lowest );
}
//+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Series array that contains the highest prices of each bar
Series array that contains the lowest prices of each bar
Series array that contains close prices for each bar
Indicator Curves created:
Implements a curve of type DRAW_LINE
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
Other Features:
It issuies visual alerts to the screen