mirror of
https://github.com/softwaredevelop/mql5.git
synced 2026-11-02 11:16:15 +00:00
docs: add document
This commit is contained in:
Toh4iem9
@@ -1,8 +1,8 @@
|
||||
# Institutional Fractal Dimension Index Pro (Enterprise Ultra Edition v2.20)
|
||||
# Institutional Fractal Dimension Index Pro (Enterprise Ultra Edition v2.40)
|
||||
|
||||
## 1. Executive Summary & Fractal Topology in Financial Markets
|
||||
|
||||
The **Institutional Fractal Dimension Index Pro (FDI_Pro)** is an advanced non-linear quantitative regime-detection engine engineered for MetaTrader 5 (Year 2026 Enterprise Edition). Rooted in the mathematical principles of Benoit Mandelbrot's fractal geometry and Carlos Ševčík's normalized waveform algorithm (1998), it quantifies the **topological complexity, persistence, and geometric roughness** of price trajectories.
|
||||
The **Institutional Fractal Dimension Index Pro (FDI_Pro)** is an advanced non-linear quantitative regime-classification and persistence-detection engine developed for MetaTrader 5 (Year 2026 Enterprise Edition). Rooted in the mathematical principles of Benoit Mandelbrot's fractal geometry and Carlos Ševčík's normalized waveform algorithm (1998), it quantifies the **topological complexity, memory persistence, and geometric roughness** of price trajectories.
|
||||
|
||||
### The Topological Scale of Market Dimension ($D$)
|
||||
|
||||
@@ -43,7 +43,7 @@ The algorithm maps an arbitrary financial time series of length $N$ onto a norma
|
||||
+-------------------------------------------------------------------------------+
|
||||
| SEVCIK FRACTAL DIMENSION PIPELINE |
|
||||
+-------------------------------------------------------------------------------+
|
||||
Price Window: [P_{i-N+1} ... P_i] (Length N = 30)
|
||||
Price Stream: P_t (Standard or Heikin Ashi via ENUM_APPLIED_PRICE_HA_ALL)
|
||||
|
|
||||
v
|
||||
Unit Square Coordinate Normalization:
|
||||
@@ -58,6 +58,14 @@ The algorithm maps an arbitrary financial time series of length $N$ onto a norma
|
||||
Fractal Dimension Output (D):
|
||||
FDI_NORMALIZED_BROWNIAN: D = 1.0 + ln(L) / ln(N - 1)
|
||||
[Strictly Anchored: Flat Line = 1.00, Brownian Walk = 1.50, Chaos = 2.00]
|
||||
|
|
||||
+---------------------------------------+
|
||||
| |
|
||||
v v
|
||||
+-----------------------------+ +-----------------------------+
|
||||
| 3-Zone Activity Classifier | | Unified Signal MA Engine |
|
||||
| (Blue, Gold, Crimson) | | (SMA, EMA, SMMA, LWMA...) |
|
||||
+-----------------------------+ +-----------------------------+
|
||||
|
||||
```
|
||||
|
||||
@@ -74,19 +82,11 @@ $$L = \sum_{k=1}^{N-1} \sqrt{(\Delta x)^2 + (\Delta y_k)^2}$$
|
||||
|
||||
*ALU Optimization: The engine precalculates $(\Delta x)^2$ in `Init()` and replaces all runtime divisions with a single reciprocal multiplication: $\Delta y_k = \Delta P_k \cdot (1.0 / \text{Range}_t)$, achieving a 4x ALU pipelined speedup.*
|
||||
|
||||
### B. The Finite-Window Scaling Paradox & Brownian Normalization
|
||||
### B. The Pure Brownian Normalization (`FDI_NORMALIZED_BROWNIAN`)
|
||||
|
||||
In Carlos Ševčík's original 1998 derivation, the formula was defined as:
|
||||
$$D = 1.0 + \frac{\ln(L)}{\ln(2 \cdot (N - 1))}$$
|
||||
In Carlos Ševčík's original 1998 formulation, the denominator included a factor of 2: $\ln(2(N-1))$. At small trading windows ($N = 30$), this suppressed the random walk value from $1.50$ down to $1.25$, causing conventional indicators to remain locked in the blue trend zone.
|
||||
|
||||
* **The Finite-Window Flaw:** Ševčík designed his formula for large datasets ($N = 1024, 2048$). At small trading windows ($N = 30$), the denominator $\ln(2(N-1)) = \ln(58) \approx 4.06$ is excessively large relative to the random walk path length ($L \approx 3.0$). Consequently, a pure random walk produced $D \approx 1.25 \dots 1.28$, completely failing to reach the theoretical $1.50$ baseline!
|
||||
* **The Retail `+ln(2)` Hack:** Early retail coders attempted to fix this by arbitrarily adding $\ln(2)$ to the numerator:
|
||||
$$D_{\text{retail}} = 1.0 + \frac{\ln(L) + \ln(2)}{\ln(2 \cdot (N - 1))}$$
|
||||
While this shifted random walk close to $1.45$, it introduced an artificial $+0.17$ upward bias on straight lines ($L = 1.0 \implies D \approx 1.17$).
|
||||
|
||||
### The Solution: Pure Brownian Normalization (`FDI_NORMALIZED_BROWNIAN`)
|
||||
|
||||
In **v2.10+**, the engine incorporates the **Pure Brownian Normalized Scaling**:
|
||||
`FDI_Pro` incorporates the **Pure Brownian Normalized Scaling**:
|
||||
$$D = 1.0 + \frac{\ln(L)}{\ln(N - 1)}$$
|
||||
|
||||
* **Flat Straight Line ($L = 1.0$):** $\ln(1.0) = 0 \implies \mathbf{D \equiv 1.000}$ (Perfect Euclidean trend).
|
||||
@@ -114,7 +114,32 @@ $$H = 2.0 - D$$
|
||||
|
||||
---
|
||||
|
||||
## 4. High-Performance 2026 MTF Fast-Path Architecture
|
||||
## 4. Centralized `CFractalEngine` & Universal Price Pipeline
|
||||
|
||||
In accordance with Level 5 Enterprise Architecture conventions (Single Responsibility Principle & DRY), `CFDICalculator` embeds **`<MyIncludes\Fractal_Engine.mqh>`** as its single mathematical source of truth:
|
||||
|
||||
* All fractal dimension, unit-square path length, and Hurst exponent operations are centralized.
|
||||
* Supports **14 price types natively** (`ENUM_APPLIED_PRICE_HA_ALL`), including 7 standard prices and 7 smoothed Heikin Ashi prices.
|
||||
|
||||
### Why Heikin Ashi Smoothing Enhances Fractal Analysis
|
||||
|
||||
On volatile crypto and index instruments, single-bar tick wicks artificially inflate the Euclidean path length $L$, falsely driving the fractal dimension toward chaos ($> 1.55$).
|
||||
Selecting **`PRICE_HA_CLOSE`**, **`PRICE_HA_TYPICAL`**, or **`PRICE_HA_MEDIAN`** filters out isolated micro-wicks, measuring the authentic topological roughness of the underlying trend body.
|
||||
|
||||
---
|
||||
|
||||
## 5. Unified Signal Line Architecture (`MovingAverage_Engine.mqh`)
|
||||
|
||||
To quantify whether the market's fractal complexity is accelerating or decaying, `FDI_Pro` embeds the unified `CMovingAverageCalculator::CalculateOnArray()` engine, providing a high-contrast **Magenta Signal Line (`InpSignalType`)**:
|
||||
|
||||
* **VHF / FDI Momentum Rule:**
|
||||
* When `FDI` falls below its Signal Line: Trend persistence is accelerating ($H$ is expanding).
|
||||
* When `FDI` crosses above its Signal Line: Market is transitioning into random chop.
|
||||
* **Supported Signal Types:** `EMA`, `SMA`, `SMMA` (Wilder), `LWMA`, `DEMA`, `TEMA`, and `VWMA`.
|
||||
|
||||
---
|
||||
|
||||
## 6. High-Performance 2026 MTF Fast-Path & Multi-Instance Protocol
|
||||
|
||||
When evaluating higher timeframe fractal dimensions (e.g., viewing H1 or H4 FDI on an M5 or M15 chart), traditional indicators freeze the terminal UI by executing tens of thousands of `iBarShift()` API calls.
|
||||
|
||||
@@ -137,10 +162,11 @@ Higher Timeframe (h_time[]): [HTF 0] ---> [HTF 1] ---> ... ---> [HTF 1,999]
|
||||
* **Two-Pointer Linear Sweep:** Replaces 50,000 native API calls with $O(N)$ integer pointer increments. Historical synchronization latency drops from **$\approx 35.0 \text{ ms}$ to $\approx 0.08 \text{ ms}$ (350x speedup)**.
|
||||
* **Live-Tick Isolated Fast-Path:** Intra-bar ticks update the forming HTF candle in RAM (`live_idx = g_htf_count - 1`), snapping instantly to the block start via $O(\log N)$ binary search (`ArrayBsearch`).
|
||||
* **Zero-Heap Mandate:** All buffers, caches, and registers reside in persistent BSS arrays. **Zero bytes of heap allocation occur on live ticks.**
|
||||
* **Multi-Instance Isolation (`InpInstanceID`):** Every instance on a chart generates a unique deterministic namespace (`FDI_%I64d_%s_%d_%d_`), completely preventing multi-indicator collisions.
|
||||
|
||||
---
|
||||
|
||||
## 5. Comprehensive Parameter Reference & Calibration Matrix
|
||||
## 7. Comprehensive Parameter Reference & Calibration Matrix
|
||||
|
||||
### Input Settings
|
||||
|
||||
@@ -149,51 +175,34 @@ Higher Timeframe (h_time[]): [HTF 0] ---> [HTF 1] ---> ... ---> [HTF 1,999]
|
||||
| `InpTimeframe` | `ENUM_TIMEFRAMES` | `PERIOD_CURRENT` | Calculation timeframe (Current or HTF). | Native $O(1)$ or Two-Pointer MTF. |
|
||||
| `InpPeriod` | `int` | `30` | Analysis window ($N$, recommended: 20–50). | Governs curve sample size. |
|
||||
| `InpMethod` | `ENUM_FDI_METHOD` | `FDI_NORMALIZED_BROWNIAN` | Mathematical scaling formulation. | Flagship mode: Brownian Normalization. |
|
||||
| `InpPrice` | `ENUM_APPLIED_PRICE` | `PRICE_CLOSE` | Source price series. | Applied price feed. |
|
||||
| `InpPriceSource` | `ENUM_APPLIED_PRICE_HA_ALL` | `PRICE_CLOSE_STD` | Price source (Standard / Heikin Ashi). | Full Heikin Ashi support. |
|
||||
| `InpHistoryBars` | `int` | `1000` | Historical lookback limit (0 = Full Chart). | Eliminates cold-start terminal freezes. |
|
||||
| `InpAutoThresholds` | `bool` | `true` | Auto-adapts thresholds to window $N$. | Guarantees balanced color distribution. |
|
||||
| `InpLevelTrend` | `double` | `1.45` | Manual trend threshold (if Auto is false). | Upper boundary for DeepSkyBlue zone. |
|
||||
| `InpLevelChop` | `double` | `1.55` | Manual chop threshold (if Auto is false). | Lower boundary for Crimson zone. |
|
||||
| `InpVisualType` | `ENUM_FDI_VISUAL` | `VISUAL_FDI_HISTOGRAM` | Display mode (`VISUAL_FDI_LINE` or `VISUAL_FDI_HISTOGRAM`). | Toggles plot appearance. |
|
||||
| `InpVisualType` | `ENUM_FDI_VISUAL` | `VISUAL_FDI_LINE` | Display mode (`VISUAL_FDI_LINE` or `VISUAL_FDI_HISTOGRAM`). | Toggles plot appearance. |
|
||||
| `InpColorTrend` | `color` | `clrDeepSkyBlue` | Plot color for Persistent Trend ($D < 1.45$). | Native GPU plot buffer. |
|
||||
| `InpColorRandom` | `color` | `clrGold` | Plot color for Random Walk ($1.45 \le D \le 1.55$). | Native GPU plot buffer. |
|
||||
| `InpColorChop` | `color` | `clrCrimson` | Plot color for Anti-persistent Chop ($D > 1.55$). | Native GPU plot buffer. |
|
||||
| `InpWidthPlot` | `int` | `2` | Main plot line / histogram width. | Visual thickness. |
|
||||
| `InpShowSignal` | `bool` | `true` | Display Signal Line overlay. | Toggles Signal Line plot. |
|
||||
| `InpSignalPeriod` | `int` | `9` | Signal Line exponential smoothing period. | Governs trend momentum in FDI. |
|
||||
| `InpSignalPeriod` | `int` | `9` | Signal Line smoothing period. | Governs trend momentum in FDI. |
|
||||
| `InpSignalType` | `ENUM_MA_TYPE` | `EMA` | Signal Line MA Method (SMA, EMA, etc.). | Unified Moving Average Engine. |
|
||||
| `InpColorSignal` | `color` | `clrMagenta` | Universal high-contrast Signal Line color. | Highly visible on dark & light themes. |
|
||||
| `InpWidthSignal` | `int` | `2` | Signal Line width. | Visual thickness. |
|
||||
| `InpInstanceID` | `int` | `1` | Unique instance ID for multi-indicator setups. | Prevents chart namespace collisions. |
|
||||
|
||||
### Quantitative Calibration Matrix
|
||||
|
||||
| Trading Style | Asset Class | Base Chart | Target TF | FDI Period ($N$) | Calculation Method | Strategy Objective |
|
||||
| :--- | :--- | :---: | :---: | :---: | :---: | :--- |
|
||||
| **Micro-Scalping** | Indices / Majors FX | M1 / M5 | `PERIOD_CURRENT` | `20` | `FDI_NORMALIZED_BROWNIAN` | Fast detection of micro-trend persistence vs spread chop. |
|
||||
| **Day Trading** | FX / Oil / Metals | M5 / M15 | M15 / H1 | `30` | `FDI_NORMALIZED_BROWNIAN` | Standard institutional calibration for session breakout filtering. |
|
||||
| **Swing Trading** | Equities / Crypto | H1 / H4 | H4 / D1 | `40` | `FDI_NORMALIZED_BROWNIAN` | Filters multi-day consolidation noise on macro asset flows. |
|
||||
| Trading Style | Asset Class | Base Chart | Target TF | FDI Period ($N$) | Calculation Method | Price Source | Strategy Objective |
|
||||
| :--- | :--- | :---: | :---: | :---: | :---: | :---: | :--- |
|
||||
| **Micro-Scalping** | Indices / Majors FX | M1 / M5 | `PERIOD_CURRENT` | `20` | `FDI_NORMALIZED_BROWNIAN` | `PRICE_MEDIAN_STD` | Fast detection of micro-trend persistence vs spread chop. |
|
||||
| **Day Trading** | FX / Oil / Metals | M5 / M15 | M15 / H1 | `30` | `FDI_NORMALIZED_BROWNIAN` | `PRICE_CLOSE_STD` | Standard institutional calibration for session breakout filtering. |
|
||||
| **Swing Structure** | Equities / Crypto | H1 / H4 | H4 / D1 | `40` | `FDI_NORMALIZED_BROWNIAN` | `PRICE_HA_CLOSE` | Filters multi-day consolidation noise on macro asset flows. |
|
||||
|
||||
---
|
||||
|
||||
## 6. Visual Interface Standards & High-Contrast Design
|
||||
|
||||
```text
|
||||
|
||||
Plot 0: [BufFDI ] ---> DRAW_COLOR_LINE / DRAW_COLOR_HISTOGRAM (Width 2)
|
||||
- Color 0: clrDeepSkyBlue (Trend Regime)
|
||||
- Color 1: clrGold (Equilibrium / Random Walk)
|
||||
- Color 2: clrCrimson (Chaos / Mean-Reverting Chop)
|
||||
|
||||
Plot 1: [BufSignal] ---> DRAW_LINE (clrMagenta, Width 2)
|
||||
- Universal high-contrast signal overlay.
|
||||
- Distinctly visible on both Black and White chart templates.
|
||||
|
||||
```
|
||||
|
||||
* **Auto-Adaptive Levels:** When `InpAutoThresholds = true`, horizontal lines at $D_{\text{trend}}$, $1.50$, and $D_{\text{chop}}$ are dynamically injected into the subwindow based on the exact sample depth $N$.
|
||||
|
||||
---
|
||||
|
||||
## 7. Quantitative Trading Playbooks
|
||||
## 8. Quantitative Synergy Playbooks & EA Integration Guide
|
||||
|
||||
### Playbook A: Persistent Trend Surfing ($D < 1.45$ + `KAMA_Bands_Pro`)
|
||||
|
||||
@@ -214,53 +223,29 @@ FDI Subwindow
|
||||
|
||||
```
|
||||
|
||||
1. **Setup:**
|
||||
* Price breaks outside consolidation.
|
||||
* `FDI_Pro` drops sharply below `1.45` and prints **Deep Sky Blue**.
|
||||
* *Interpretation:* The Hurst exponent has expanded above $H > 0.55$. Price increments possess strong positive autocorrelation (persistence).
|
||||
2. **Execution Trigger:**
|
||||
* Enter in the direction of the breakout.
|
||||
* Allow pullbacks to retest the $+1.0\sigma$ band of `KAMA_Bands_Pro`. As long as $D < 1.45$, hold the trade with wide trailing stops.
|
||||
3. **Exit:** Exit or take partial profits when `BufFDI` climbs back above `1.50` (trend persistence has decayed back into random walk equilibrium).
|
||||
1. **Setup:** Price breaks outside consolidation. `FDI_Pro` drops sharply below `1.45` and prints **Deep Sky Blue**.
|
||||
2. **Interpretation:** Hurst exponent has expanded above $H > 0.55$. Price increments possess strong positive autocorrelation (persistence).
|
||||
3. **Execution:** Enter in the direction of the breakout. Hold position as long as $D < 1.45$. Exit when `BufFDI` crosses back above $1.50$.
|
||||
|
||||
---
|
||||
|
||||
### Playbook B: Anti-Persistent Mean-Reversion Scalp ($D > 1.55$ at $\pm 3\sigma$)
|
||||
|
||||
1. **Setup:**
|
||||
* Price spikes into the extreme outer $\pm 3.0\sigma$ band of `VWAP_Bands_Pro` or `KAMA_Bands_Pro`.
|
||||
* `FDI_Pro` surges above `1.55` and prints **Crimson Red**.
|
||||
* *Interpretation:* $H < 0.45$. The market is severely anti-persistent. A space-filling jagged reversal is mathematically probable.
|
||||
2. **Execution Trigger:**
|
||||
* Wait for a wick rejection candle at the $\pm 3\sigma$ band.
|
||||
* **FADE:** Enter Short (if at upper band) or Long (if at lower band) targeting the mean.
|
||||
* **Stop Loss:** Strict tight stop (10 ticks). In anti-persistent regimes, reversals occur immediately; if price continues running, an institutional regime shift is occurring.
|
||||
1. **Setup:** Price spikes into the extreme outer $\pm 3.0\sigma$ band of `VWAP_Bands_Pro` or `KAMA_Bands_Pro`.
|
||||
2. **FDI Audit:** `FDI_Pro` surges above `1.55` and prints **Crimson Red** ($H < 0.45$).
|
||||
3. **Execution:** The market is severely anti-persistent. A space-filling reversal is mathematically imminent. Fade the move targeting the mean with a strict tight stop.
|
||||
|
||||
---
|
||||
|
||||
### Playbook C: The Dual-Complexity Meta-Filter (`FDI_Pro` + `Entropy_Pro`)
|
||||
### Example MQL5 EA Integration Snippet
|
||||
|
||||
| Regime Metric | `Entropy_Pro` (SampEn) | `FDI_Pro` (Fractal Dimension) | Market State & Strategic Alignment |
|
||||
| :---: | :---: | :---: | :--- |
|
||||
| **Low / Low** | $< 0.80$ (Blue) | $< 1.45$ (Blue) | **PRISTINE SUPER-TREND.** Maximum geometric & phase space order. Heavy trend positioning permitted. |
|
||||
| **Low / High** | $< 0.80$ (Blue) | $> 1.55$ (Red) | **COILED SQUEEZE.** Price is compressing inside a narrow space-filling channel. Impending explosive breakout. |
|
||||
| **High / High** | $> 1.30$ (Red) | $> 1.55$ (Red) | **TOTAL MARKET TOXICITY.** High entropy + high fractal roughness. **100% Cash / No Trading.** |
|
||||
|
||||
---
|
||||
|
||||
## 8. Developer Integration & Expert Advisor Guide
|
||||
|
||||
The indicator exposes its visual buffers directly to MetaTrader 5 Expert Advisors (EAs) via the native `iCustom()` API:
|
||||
|
||||
### Buffer Index Map
|
||||
The indicator exposes its visual buffers directly to MetaTrader 5 Expert Advisors (EAs) via `iCustom()`:
|
||||
|
||||
| Buffer Index | Identifier | Description | Range / Output |
|
||||
| :---: | :--- | :--- | :--- |
|
||||
| `0` | `BufFDI` | Raw Fractal Dimension Index ($D$). | Continuous double ($1.0 \dots 2.0$). |
|
||||
| `1` | `BufColor` | Active Color Index. | `0.0` (Blue: Trend), `1.0` (Gold: Random Walk), `2.0` (Red: Chop). |
|
||||
| `2` | `BufSignal` | Signal Line (Exponential Moving Average of FDI). | Continuous positive double. |
|
||||
|
||||
### Example MQL5 EA Integration Snippet
|
||||
| `2` | `BufSignal` | Signal Line (Unified Moving Average). | Continuous positive double. |
|
||||
|
||||
```mql5
|
||||
//+------------------------------------------------------------------+
|
||||
@@ -275,7 +260,7 @@ int OnInit()
|
||||
PERIOD_CURRENT, // Timeframe
|
||||
30, // Analysis Window (N)
|
||||
FDI_NORMALIZED_BROWNIAN, // Brownian Normalization
|
||||
PRICE_CLOSE, // Price Source
|
||||
PRICE_CLOSE_STD, // Price Source
|
||||
1000, // History Bars Limit
|
||||
true, // Auto-Adaptive Thresholds
|
||||
1.45, // Manual Trend Threshold
|
||||
@@ -287,9 +272,11 @@ int OnInit()
|
||||
2, // Plot Width
|
||||
true, // Show Signal Line
|
||||
9, // Signal Period
|
||||
EMA, // Signal MA Type (ENUM_MA_TYPE)
|
||||
clrMagenta, // Signal Color
|
||||
STYLE_SOLID, // Signal Style
|
||||
2); // Signal Width
|
||||
2, // Signal Width
|
||||
1); // Instance ID
|
||||
|
||||
if(h_fdi == INVALID_HANDLE)
|
||||
{
|
||||
@@ -301,19 +288,21 @@ int OnInit()
|
||||
|
||||
void OnTick()
|
||||
{
|
||||
double fdi[1], col[1];
|
||||
double fdi[1], col[1], sig[1];
|
||||
// Read bar index 1 (closed bar) to guarantee non-repainting execution
|
||||
if(CopyBuffer(h_fdi, 0, 1, 1, fdi) <= 0 ||
|
||||
CopyBuffer(h_fdi, 1, 1, 1, col) <= 0)
|
||||
CopyBuffer(h_fdi, 1, 1, 1, col) <= 0 ||
|
||||
CopyBuffer(h_fdi, 2, 1, 1, sig) <= 0)
|
||||
return;
|
||||
|
||||
double fdi_value = fdi[0];
|
||||
double regime_color = col[0]; // 0=Trend, 1=Random Walk, 2=Chop
|
||||
double signal_value = sig[0];
|
||||
|
||||
// REGIME 1: PERSISTENT TREND REGIME (Deep Sky Blue)
|
||||
if(regime_color == 0.0)
|
||||
if(regime_color == 0.0 && fdi_value < signal_value)
|
||||
{
|
||||
// Hurst Exponent H > 0.55! Enable trend-following and momentum breakout robots.
|
||||
// Hurst Exponent H > 0.55 and persistence is accelerating! Enable trend models.
|
||||
EnableTrendStrategy(true);
|
||||
EnableMeanReversionStrategy(false);
|
||||
}
|
||||
@@ -327,7 +316,7 @@ void OnTick()
|
||||
// REGIME 2: RANDOM WALK EQUILIBRIUM (Gold)
|
||||
else
|
||||
{
|
||||
// Uncorrelated noise. Disable aggressive trading.
|
||||
// Uncorrelated noise. Stand down.
|
||||
EnableTrendStrategy(false);
|
||||
EnableMeanReversionStrategy(false);
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user