Ehlers Fractal Dimension code correction

• 04/22/2017 at 12:51 PM #32943
  DAK

  Hi everyone,

  A few weeks ago I discovered the Fractal Dimension Index in the Prorealcode library and got very interested in it.

  I did some research and found out that John Ehlers did his own version called the Fractal Dimension (with more smoothing and filtering).

  I decided to give it a try and started to code his version of the indicator. See the Easylanguage code here (bottom of page)  :

  http://traders.com/Documentation/FEEDbk_docs/2010/06/TradersTips.html

  I ended up with the below version. However I found it not to be very well working.  I lags a lot, wrongly filters range and trending markets. Which is a bit surprising with Ehlers work. I reviewed the code and didn’t manage to find errors (but I’m still a beginner in programming).

  To all the experienced programmers : Can you please check the below code and tell me where I did wrong ?

  Many thanks !

   

  N = 30 Price = ((High + Low) / 2) Smooth = (Price + 2*Price[1] + 2*Price[2] + Price[3]) / 6 N3 = (Highest[N](Smooth) - Lowest[N](Smooth)) / N HH = Smooth LL = Smooth For Count = 0 To ((N/2) -1) Do IF Smooth[Count] > HH THEN HH = Smooth[Count] ENDIF IF Smooth[Count] < LL THEN LL = Smooth[Count] ENDIF NEXT N1 = (HH - LL) / (N/2) HH = Smooth[N/2] LL = Smooth[N/2] For Count = (N/2) To (N-1) Do IF Smooth[Count] > HH Then HH = Smooth[Count] ENDIF IF Smooth[Count] < LL THEN LL = Smooth[Count] ENDIF NEXT N2 = (HH - LL) / (N/2) IF N1 > 0 AND N2>0 AND N3>0 THEN Ratio = 0.5 * ((LOG(N1+N2) - LOG(N3)) / LOG(2) + Dimen[1]) Dimen = Average[20](Ratio) ENDIF RETURN Dimen as "fractal dimension", 1.4 as "1.4 level", 1.6 as "1.6 level"

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  N = 30   Price = ((High + Low) / 2)   Smooth = (Price + 2*Price[1] + 2*Price[2] + Price[3]) / 6   N3 = (Highest[N](Smooth) - Lowest[N](Smooth)) / N   HH = Smooth   LL = Smooth   For Count = 0 To ((N/2) -1) Do IF Smooth[Count] > HH THEN HH = Smooth[Count] ENDIF IF Smooth[Count] < LL THEN LL = Smooth[Count] ENDIF NEXT     N1 = (HH - LL) / (N/2) HH = Smooth[N/2] LL = Smooth[N/2]   For Count = (N/2) To (N-1) Do IF Smooth[Count] > HH Then HH = Smooth[Count] ENDIF IF Smooth[Count] < LL THEN LL = Smooth[Count] ENDIF NEXT   N2 = (HH - LL) / (N/2)   IF N1 > 0 AND N2>0 AND N3>0 THEN Ratio = 0.5 * ((LOG(N1+N2) - LOG(N3)) / LOG(2) + Dimen[1])   Dimen = Average[20](Ratio) ENDIF     RETURN Dimen as "fractal dimension", 1.4 as "1.4 level", 1.6 as "1.6 level"

   

  

  DAK

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  04/23/2017 at 7:58 PM #33095
  Elsborgtrading

  Hi DAX, I don’t think there is anything wrong with your code, but there are a lot of calculation that takes up resources on your pc.

  If you need all the backtracking data it the only way, or you can limit the data with

  //FIRST LINE defparam CALCULATEONLASTBARS = 2000

  1 2	//FIRST LINE defparam CALCULATEONLASTBARS = 2000

   

  Cheers Kasper

  1 user thanked author for this post.

  DAK

  

  Elsborgtrading

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