Fractal Stock Grapher

Fractal Stock Grapher is a desktop app that plots the Fractal Dimension Index for stocks (click image to enlarge):

Download version 1.0.0:

Windows installer: Fractal-Setup.exe

Mac OS X installer: Fractal.dmg

The Windows version should run on any version of Windows. It has been tested on the 32-bit versions of Windows 7, Vista, and XP. If you have a 64-bit system, and it doesn’t work, try running it in compatibility mode.

The Mac version is a “fat binary” and will run on both Intel, and PowerPC OS X systems.

The program fetches data from Yahoo Finance, and uses the Google Chart API to make the charts. So, you need to be connected to the internet while using it unless you are importing your own data (see below). If you are behind an office firewall, you may need to tell the firewall software to permit Fractal Stock Grapher to access trivisonno.com, yahoo.com, and google.com.

Instructions:
After installing, enter a symbol and click the “Graph” button. If the symbol is in Yahoo’s database, the charts will appear in a couple of seconds.

To look at two charts side-by-side, go onto the “File” menu, and then to “Make New Grapher Window”. You can have as many windows open as you need.

You can also chart intra-day data if you have someplace to download it from. To do that:

Go onto the “File” menu, and then to “Open Data File” and select a file containing the data. The program expects two columns of data, Date and Price, separated by a tab. We have some samples you can download here: Fractal-Data.zip. The file can be of any size, though only the last 100 data points will be graphed. You can use any kind of data: hourly, daily, weekly, monthly. The program will graph whatever you give it.

Use the “Save Data” command on the “File” menu to save a new file with a third column containing the Fractal Dimension Index. The first 30 data points will not have an FDI, but the rest will, no matter how many you have. You can then open this new file in a program like Excel to make larger charts than the Fractal Stock Grapher can make.

Some trading programs allow you to download data. I know that TradeStation and E*Trade do, but as far as I can tell, ThinkOrSwim does not. Wherever you get your data from, all that you need to do is re-format it into a simple two-column, tab-delimited file, and it should work.

If you want to download data from Yahoo yourself, follow these steps:

  1. Go to: http://finance.yahoo.com/
  2. Enter a symbol such as SPY
  3. Click the “Get Quotes” button
  4. Click the “Historical Prices” link
  5. Enter your date range
  6. Click the “Get Prices” button
  7. Scroll down and click the “Download to Spreadsheet” link
  8. Save the file to your desktop
  9. Open the file with Excel
  10. Delete all of the columns except for “Date” and “Close”
  11. Delete the first row that contains the column headers
  12. Use Excel’s sort feature to sort the data into ascending order by date
  13. Go to “Save As – Other Formats”
  14. Chose “Text (tab delimited)” for the “Save as type”
  15. Name the file using the symbol. Example: SPY.txt
  16. Save the new file and then open it with Fractal Stock Grapher

14 Responses to “Fractal Stock Grapher”

  1. laurent says:

    Why not take volume and high/low into account in the FDI calculation ?

  2. admin says:

    laurent,

    You would have to ask that question of the inventor of the FDI algorithm. I suspect that the answer would be that the FDI was not invented specifically for the stock market.

    Fractal Stock Grapher can be used to calculate FDI values for non-stock data. In that case, there would be no volume or high/low, right?

    Matt

  3. laurent says:

    @admin

    right, in that case stock is a 3D graph : price, volume against time which means stock FDI values are from 2 to 3

  4. after says:

    question : is there any significance to a relatively large (%) change in the FDI reading on a one day basis ?
    thanks

  5. admin says:

    after,

    My guess would be “no”, but that is a question for Mandelbrot.

    Matt

  6. BAP says:

    I just started using Fractal Stock Grapher. I love it. I would like to do some blind backtesting with it to see how it works with the other technical things I use. Is there a way to create a date range of your choosing without downloading a set of data into Excel from Yahoo for each and every stock ? Can I adjust the end date of the calculation away from the current date somehow to run a backtest ?

    I also am curious as to why 30 data points are used to calculate each curve point. Is this a Mandelbrot thing ?

  7. admin says:

    BAP,

    I’m sorry but FSG wasn’t designed with back-testing in mind. So, there is no way to change the date range. However, it might not be that difficult to implement, so I have added it as a possible new feature in the next version.

    The value of the “N” variable may be from Mandelbrot or Sevcik; I’m not really sure. However, my guess is that using a period shorter than 30 is probably not a good idea, while using a longer period might not be a catastrophically bad idea. However, I wouldn’t change it without first understanding Sevcik’s algorithm:

    http://www.complexity.org.au/ci/vol05/sevcik/sevcik.html

    Matt

  8. Lee Wenzel says:

    I’m doing backtesting on 200 current positions. The earlier periods are easy to view by simultaneously using a laptop, netbook and desktop computer and back-setting the computers’ dates on two of them.

    Is there a way to get alerts when a signal line is crossed without having to enter each position each day? For example, could I have Excel calculate the FDI?

    I’m finding the signals are right on. Some things are obvious when I think about it, but took me a bit to discover, i.e.
    * It signals exits more than entries.
    * When the signals appear, they are quite accurate but not every move is signaled.
    * May get a headfake after end-of-range.
    * End-of-range is sometimes premature, which is ok.
    * After end-of-range, you are on your own to find a next trend.
    * The signal is taken from the last 30 bars, or 30% of the chart. That’s the range.
    * When one range ends, another more volatile range may begin.

  9. admin says:

    Lee,

    It might be possible to program the FDI in Excel, but I don’t know for sure. But if you are doing this much work with it, why not use TradeStation, or another trading platform that has an FDI indicator? Did you see the FDI indicator that I have for TradeStation at the bottom of this page?:

    http://www.trivisonno.com/fractal-dimension-index

    Not only can you get alerts with it, but you can get voice alerts. So, you could set up 200 charts with the FDI indicator, and then leave TradeStation running in the background until you hear your computer voice announce: “SPY end of trend signal”, for example.

    Matt

  10. Lee Wenzel says:

    At $300/month plus additional packages, both the cost and learning curve for TradeStation are more than I want to bite off. It doesn’t look like they permit opening an account with a minimum deposit and not trading. I just exited accounts at IB while all my client accounts are at Scottrade, and the propect of multiple brokers makes transactions too cumbersome.

    I have been doing some looking and find that so far, everybody must have a unique formula for the FDI as the charts do not line up. (Nichols at Fractal Market Report and Erik Long’s article used as the basis for Worden’s StockFinder5.) Since I know your algorithm works quite well, I want to stay with it. I will check with Amibroker. It like the documentation piece you wrote. It is clear and intelligible. Thanks.

  11. Roy says:

    Hi Matt …
    I read a few of Nichols’ articles this evening and was very intrigued by his fractal dimension indicator … so I was doing serches on Yahoo to see what I might could learn anout fractals and ran across this page … and this page is very intriguing as well. I see where something called version 1 of this fractal indicator can be downloaded. Is this offer of version 1 a free offer? I mean … can anyone just down load it and use it gratis? I was hoping this might be the case as I would really like to see if I couldn’t get a feel as to how such a thing might work … but I didn’t want to down load it without asking first. Anyway … just curious.
    Roy

  12. BAP says:

    Is this Carlos Sevcik’s algorithm? I was trying to get him to send me a usable copy of it awhile back, but I was nowhere near the computer geek to get that to work. I’ve been experimenting with my Fractal Stock Grapher now for awhile and, while I can’t do any proper backtesting with it (see my post above), I must say I am amazed by how well it works.

    I am finding much of the same things about it that Lee Wenzel above found. It is way better at determining sell points than buy points. It’s very good at telling you when a strong trend is running out of fuel. I am combining it with technical methods I’ve learned for buys and the combo seems compatible. The algo all by itself can be misleading on buy points (end of range head fakes Lee mentions) but it tells you how much dynamite there is for a possible climb. It’s basically a dynamite gauge. Also, it is blind as to the direction a stock takes after end of range is detected. It can start with a sharp move down, which sends the FDI into a release of energy. But then a reversal by the stock into a big climb simply extends the release of energy by the FDI chart. A trend up or down is all the same to the algo.

    Nichols uses a different algorithm, and he looks at everything in terms of energy levels.

    Laurent above asked why not have the algo compute volume on a stock. Volume is so important (it’s called the “truth teller” for a move) you would think it should be crammed in there somehow. But as admin said that’s a 3rd dimension and totally messes with the fractal theory. It looks only at all action between a line (1 dimension) and a plane (2 dimensions). You have to use volume and other good things on your own without the help of the algo.

    Anyway, I am writing, not to blather about theory, but because I recently got a new computer and am having trouble moving my Fractal Stock Grapher over from my old computer. In my email, I have the serial key that was sent to me back in 2010. Can I just find that (or have it resent to my email) and reactivate the demo?

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