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I wanted to add one more thing:
My fractal dimension calculation in EasyLanguage is at
http://unicorn.us.com/trading/src/_FractalDim.txt and reproduced below.
It's an approximation, but a pretty good and efficient one, as you will
see if you slog through the article from where I got the algorithm.
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{_FractalDim
Calculate the approximate Fractal Dimension of a waveform
Copyright (c) 2003 by Alex Matulich, Unicorn Research Corporation
Note: the Hurst exponent H = 2 - D, where D is the fractal dimension.
See the following article:
http://www.csu.edu.au/ci/vol05/sevcik/sevcik.html
"A procedure to Estimate the Fractal Dimension of Waveforms"
by Carlos Sevcik
Laboratory on Cellular Neuropharmacology
Centro de Biofísica y Bioquímica
Instituto Venezolano de Investigaciones Científicas (IVIC)
Apartado 21827, Caracas 1020A
Venezuela.
}
Inputs:
y(NumericSeries), {price data, e.g. Close of data1}
n(NumericSimple); {lookback length}
Vars: j(0), lngth(0), ymax(0), ymin(0), yscl(0), dx2(0), dy(0);
ymin = Lowest(y, n); ymax = Highest(y, n); yscl = ymax - ymin;
if n < 2 Or ymax = ymin Or n = 1 then
lngth = 1
else begin
{ calculate length of curve }
lngth = 0;
dx2 = Square(1/(n-1));
for j = 1 To n-1 begin
dy = (y[j] - y[j-1]) / yscl;
lngth = lngth + SquareRoot(dx2 + dy*dy);
end;
end;
_FractalDim = 1 + Log(lngth) / Log(2*(n-1));
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-Alex
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