Fractal Dimension - Ehlers - MetaTrader 5 Script | Trading Script Download - MT4/MT5 Resources

Based on the article "Fractal Dimensions as Market Pattern Sensors" by John Ehlers and Rick Ways in the June 2010 issue of TASC.

A brief description of their interpretation of fractal dimension is as follows:

fractal dimension

There is no doubt that market prices are fractal. Price charts look similar regardless of the time frame. If you remove the labels from the five-minute chart, daily chart, and weekly chart, you will have a hard time distinguishing them. Fractal shapes are self-similar because they have the same roughness and sparsity regardless of the time interval. This self-similarity can be defined by the fractal dimension that describes the sparsity at all levels of amplification.

To determine the fractal dimension of a generalized pattern, we numerically overlay the pattern with several small objects S of different sizes. The relationship between the number of objects in the two sets of sizes is:

By its nature, the Fractal Dimension Index indicator is non-directional. Instead, it shows whether a trend exists. If the value of FDI is less than the target threshold, there is no trend (the market is in a volatile state). If the value is above this threshold, the market is trending.

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📎fractal_dimension_ehlers.mq5 (10.5 KB)

Source: MQL5 #20580