Description
A fractal dimension indicator that measures the long-term memory of time series data to identify trending vs mean-reverting behavior.
Implementation Logic
Computationally intense. Calculate either Rescaled Range (R/S) or Detrended Fluctuation Analysis (DFA) via nested loops over varying chunk sizes at every tick. Perform a real-time least-squares polynomial fit on the log-log plot to determine the slope. This may require concurrent worker pools to prevent blocking the main thread.
Suggested Package
trend
Labels
Description
A fractal dimension indicator that measures the long-term memory of time series data to identify trending vs mean-reverting behavior.
Implementation Logic
Computationally intense. Calculate either Rescaled Range (R/S) or Detrended Fluctuation Analysis (DFA) via nested loops over varying chunk sizes at every tick. Perform a real-time least-squares polynomial fit on the log-log plot to determine the slope. This may require concurrent worker pools to prevent blocking the main thread.
Suggested Package
trendLabels