FractalDimension indicator.

Author: mikasoukhov

Algo/Indicators/FractalDimension.cs

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+namespace StockSharp.Algo.Indicators;
+
+/// <summary>
+/// Fractal Dimension Index.
+/// </summary>
+/// <remarks>
+/// https://doc.stocksharp.com/topics/api/indicators/list_of_indicators/fractal_dimension.html
+/// </remarks>
+[Display(
+	ResourceType = typeof(LocalizedStrings),
+	Name = LocalizedStrings.FractalDimensionKey,
+	Description = LocalizedStrings.FractalDimensionDescKey)]
+[Doc("topics/api/indicators/list_of_indicators/fractal_dimension.html")]
+public class FractalDimension : LengthIndicator<decimal>
+{
+	/// <summary>
+	/// Initializes a new instance of the <see cref="FractalDimension"/>.
+	/// </summary>
+	public FractalDimension()
+	{
+		Length = 30;
+
+		Buffer.MinComparer = new DecimalOperator();
+		Buffer.MaxComparer = new DecimalOperator();
+	}
+
+	/// <inheritdoc />
+	public override IndicatorMeasures Measure => IndicatorMeasures.MinusOnePlusOne;
+
+	/// <inheritdoc />
+	protected override IIndicatorValue OnProcess(IIndicatorValue input)
+	{
+		var price = input.GetValue<decimal>();
+
+		var buffer = Buffer;
+
+		if (input.IsFinal)
+			buffer.PushBack(price);
+
+		if (buffer.Count < 2)
+			return new DecimalIndicatorValue(this, 1.5m, input.Time);
+
+		var maxHigh = buffer.Max.Value;
+		var minLow = buffer.Min.Value;
+
+		var startIdx = input.IsFinal ? 1 : 2;
+
+		// Calculate the length of the price path
+		var pathLength = 0m;
+		for (var i = startIdx; i < buffer.Count; i++)
+		{
+			var prev = buffer[i - 1];
+			var curr = buffer[i];
+			pathLength += (curr - prev).Abs();
+		}
+
+		if (!input.IsFinal)
+		{
+			maxHigh = maxHigh.Max(price);
+			minLow = minLow.Max(price);
+
+			pathLength += (price - buffer.Last()).Abs();
+		}
+
+		// Calculate FDI
+		decimal fractalDimension;
+
+		var range = maxHigh - minLow;
+
+		if (pathLength == 0 || range == 0)
+		{
+			fractalDimension = 1.5m;
+		}
+		else
+		{
+			// FDI formula: 1 + (log(pathLength) - log(range)) / log(2 * (Length-1))
+			var logPathLength = pathLength.Log();
+			var logRange = range.Log();
+			var logDenominator = (2m * (Length - 1)).Log();
+
+			if (logDenominator == 0)
+			{
+				fractalDimension = 1.5m;
+			}
+			else
+			{
+				fractalDimension = 1m + (logPathLength - logRange) / logDenominator;
+			}
+		}
+
+		// Clamp between 1.0 and 2.0
+		fractalDimension = 1.0m.Max(2.0m.Min(fractalDimension));
+
+		return new DecimalIndicatorValue(this, fractalDimension, input.Time);
+	}
+}