Thursday, April 9, 2009

A trading strategy using the Fractal dimension

On this forum, somebody is proposing an Expert Advisor for MT4, with an automated strategy to enter the market that uses the Fractal Dimension.

I believe some improvements can be made, and I have shared my thoughts on the thread itself, and will continue to do so as it develops.

3 comments:

Anonymous said...

hello Jean-Philippe, have you thought about creating FRACD histogram (as MACD analogy) and OsFRA (analog to OsMA moving average oscilator)? can you add shifting option to FRASMA? (ie. MA can be shifted n bars to the left or to the right in its settings using positive or negative integer, the indicator alligator is based on 3 shifted smoothed MAs). thanks for attention and plenty of success to you. martin.

Jean-Philippe said...

Hi Martin,

Yes, I consider creating MACD type of indicators, but I still look at ways to do it so as to be consistent at a mathematical point of view.
The problem is that the FRASMA gets its speed adapted relatively to the fractal dimension, so to combine a slow MA and a quick one, I must consider the fractal dimension that corresponds to each speed of the MAs. As of now, I am looking at combining FRASMA taken at different timescale. But more than just the numerical value of the fractal dimension, I try to also take into account the qualitative information it gives us (whether we are in a trend or not). I am still in the process to figure all this out, and will publish any interesting findings.

As for adding shifting to the FRASMA, I just did it (see post: FRASMAv2).

All the best to you, and thanks for your input.

Jean-Philippe

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