Fractal Dimension Index (FDI) by CoryP1990 – Quant Toolkit

The Fractal Dimension Index (FDI) quantifies how directional or choppy price movement is; in other words, it measures the “roughness” of a trend. FDI values near 1.0–1.3 indicate strong directional trends, while values near 1.5–2.0 reflect chaotic or range-bound behavior. This makes FDI a powerful tool for detecting trend vs. mean-reversion regimes.

How it works

Calculates the ratio of average price changes over full and half-length windows to estimate the fractal dimension of price movement.

Teal line = FDI decreasing → trending behavior (market smoother, more directional).

Orange line = FDI increasing → choppiness or consolidation.

Background:

Green tint = trend-friendly regime (FDI below low threshold).

Orange tint = choppy regime (FDI above high threshold).

Use cases

Detect when markets shift from trend-following to mean-reverting conditions.

Filter trades: favor trend strategies when FDI < 1.3 and reversion setups when FDI > 1.7.

Combine with momentum or volatility metrics to classify regimes.

Defaults

Length = 20

High-FDI threshold = 1.8

Low-FDI threshold = 1.2

Example — TSLA (1D, 2021)

Early 2021 trades choppy to sideways with FDI swinging up toward 1.5, then the index drops below 1.2 as Tesla transitions into a persistent trend-friendly regime through the second half of the year (green background). During the Q4 breakout, FDI holds ~1.0–1.2, confirming strong directionality; brief pullbacks lift FDI back toward the mid-range before trending pressure resumes. At the right edge, FDI sits well below the low threshold, signaling that price remains in a trend-supportive state.

Part of the Quant Toolkit — transparent, open-source indicators for modern quantitative analysis. Built by CoryP1990.