Volatility Index - MetaTrader 5 Script - MQL5 #21585 - MT4/MT5 Resources

Volatility Index: Another way to calculate fractal dimension.

Volatility is a modern indicator based on ideas from chaos theory and fractal geometry. Benoit Mandelbrot is one of the most important figures who took great interest in the subject of fractal geometry. He showed how fractals appear in many different places in mathematics and elsewhere in nature. They can be found under clouds, waves, leaves, fingerprints and sunflowers, and his ideas provide some exciting glue between mathematics and nature. Using computer graphics and with help from IBM, Mandelbrot was able to show how computer graphics can be used to express fractal geometry.

While most of us think of only integer dimensions, such as 1D, 2D and 3D, in fractal geometry there are fractional dimensions between the integer dimensions. Therefore, there are many fractal dimensions between one-dimensional lines and two-dimensional planes. Fractals are basically a measure of the dimensionality of a system; they are able to express different images based on the fractional properties of the dimensions.

Australian trader EW Dreiss came up with the idea of ​​using fractal geometry to measure security price movements. He cleverly assigns a "dimension" to price movement charts. A chart that is trending and linear can have its entire dimension of 1, while a chart that is completely volatile and non-trending can be considered to have a dimension of 2. Somewhere between these two values ​​represents fractional status and varying degrees of volatility.

Attachment download

📎 choppiness_index.mq5 (4.25 KB)

Source: MQL5 #21585