Implementing it is easy in AmiBroker Formula Language. A ready-to-use formula for the article is presented in the Listing 1. To use it, enter the formula in the Afl Editor, then press the “Insert Indicator” button. Then you would need to click on the chart with the right mouse button and choose “Parameters” from the context menu in order to define parameter N.
A sample chart is shown Below-
LISTING 1
Price = (H+L)/2;
N = Param("N", 30, 10, 100, 2 );
Smooth = ( Price +
2 * Ref( Price, -1 ) +
2 * Ref( Price, -2 ) +
Ref( Price, -3 ) ) / 6;
N3 = (HHV( Smooth, N ) - LLV( Smooth, N ))/N;
HH2 = HHV( Smooth, N/2 );
LL2 = LLV( Smooth, N/2 );
N1 = ( HH2 - LL2 )/(N/2);
N2 = Ref( HH2 - LL2, - N/2 )/(N/2);
Ratio = ( log( N1 + N2 ) - log( N3 ) )/log( 2 );
dimen = Null;
for( i = 20+N; i < BarCount; i++ )
{
ratio[ i ] += Nz( dimen[ i - 1 ] );
ratio[ i ] *= 0.5;
for( sr = 0, k = 0; k < 20; k++ )
sr += ratio[ i - k ];
dimen[ i ] = sr / 20;
}
Plot( Dimen, "Fractal dimension", colorRed );
PlotGrid( 1.6, colorBlue );
PlotGrid( 1.4, colorBlue );
—Tomasz Janeczko, AmiBroker.com
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