iVAR Indicator

iVAR Indicator Fractal definition of trend

Download iVar indicator

In this topic, propose to discuss an interesting iVAR Indicator, he calls his variation index.

The indicator is based on fractal analysis of time series. We are on the forum topic "Fractal analysis of forex," but it is closely connected with the trading system by Bill Williams, who to the fractal analysis in the broadest sense of the word has nothing to do. I announced the details of this message.

Currently, the most popular representatives of fractal time functions are financial time series.

Fractal structure of these series are well known and, according to Mandelbrot, is a "reformulation of the well-known market saying that the movement

shares or currencies is quite similar, regardless of the scale of time and money. The observer can not tell by appearance schedule, whether the

data to weekly, daily or hourly changes "[1].

To determine the fractal dimension is usually calculated Hurst index [2]. However, for reliable calculation of this indicator requires

large amount of data (~ 10 ^ 3), which is too much compared to the duration of tradable trends.

The authors of [1] a new fractal feature - the index of variation (m), closely associated with the usual fractal dimension.

In contrast to the Hurst exponent for the variation of the index requires data on two orders of magnitude smaller. This leads to the possibility of using

it as a local characteristic, which determines the dynamics of the price series. The case m lower than 0.5 can be interpreted as a trend,

and the case of m bigger than 0.5 - as flat.


The proposed indicator calculates the index variation on the preceding interval of length 2 ^ n. The parameter n is specified by the user.

General rules of the iVAR Indicator as follows:

The iVAR Indicator value below 0.5 means trending market conditions.
Extremely low value is often preceded by an end (correction) of the current trend.
The iVAR Indicator value above 0.5 means iVAR Indicator market conditions.
Extremely high value is often preceded by the beginning of significant trends.
The iVAR Indicator value of 0.5 means the area of ​​uncertain market conditions.

I cast light on the plot, and that's what I did. Not quite poor results.
Pair EUR / USD, timeframe = H1. We have 4 sites. (Three call indicator below 0.5).
At three sites the trend was confirmed, no one, but I'm interested, I will continue to test the indicator.

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