A Hurst, ATR, and Fibonacci-Based Market Indicator with Signal Rules

Summary

This indicator combines a rolling Hurst-style estimate, ATR-based volatility bands, and price offsets described as Fibonacci vortex layers. It derives a fractal-dimension value from the Hurst estimate, labels higher values as persistent trends and lower values as mean-reverting conditions, and generates two alert classes with a bar-based cooldown. The signal rules also use RSI, a 50-period simple average, volatility expansion, and comparisons between price and sinusoidal ATR offsets. Display options include cascade bands, retracement levels, confluence zones, dashboards, and alerts.

The document provides formulas and code, but no market sample, benchmark, backtest, or evidence that the signals have predictive value. The vortex offsets are constructed from a sine function, ATR, and optional relative volume adjustment; calling them Fibonacci or Mandelbrot structures does not establish a market mechanism. The configurable Fibonacci period list does not control all explicitly calculated vortex series, and the provided script excerpt is incomplete. Treat its labels and suggested interpretations as hypotheses requiring independent implementation checks and out-of-sample testing.

Key ideas

• The indicator estimates persistence with a rolling range-to-standard-deviation calculation and derives a fractal dimension from it.
• ATR is multiplied by a configurable ratio to form progressively wider volatility bands.
• Alert conditions combine Hurst thresholds with RSI, moving-average position, volatility, and synthetic vortex comparisons.
• The vortex offsets use sinusoidal functions of bar index and ATR, with optional volume scaling.
• No results validate the indicator's market interpretations or signal effectiveness.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.