Calculating the Fractal Dimension Index from Price Data

Summary

The document presents a custom calculation of the Fractal Dimension Index (FDI), an indicator intended to characterize trend strength from price variation. It describes using a rolling window of 30 bars, normalizing historical custom closing prices within the window’s highest and lowest closing prices, and accumulating the distances between successive normalized observations. A logarithmic transformation of that path length produces the index.

The code is offered as a way to make the indicator available for custom screening or automated trading where the platform’s built-in version cannot be used. It gives no chart examples, validation, trading rules, or performance evidence. The description does not explain how to interpret specific FDI levels, and the calculation’s behavior depends on the selected price series and window, so users would need to verify its output before relying on it.

Key ideas

• The calculation normalizes prices against the rolling high-to-low range.
• It estimates path length from changes between consecutive normalized observations.
• A logarithmic formula converts the path length into the reported index.
• The provided implementation uses a 30-bar lookback window.
• The document provides no empirical validation or guidance for using index values in trades.

Tags

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