Fractal Dimension EMA Reversion

// ============================================================
// Fractal Dimension EMA Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 4 hours
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
positionSize = 1          // contracts per trade
emaPeriod = 40            // EMA length for the signal
fdiPeriod = 30            // fractal dimension lookback
fdiThreshold = 1.5        // trade only when the fractal dimension is below this
maxBarsInTrade = 4        // close the trade exactly this many bars after entry
stopLossPoints = 60       // protective stop in points

// --- Indicators ---
emaValue = ExponentialAverage[emaPeriod](close)

// Fractal dimension index: near 1 = trending, near 2 = choppy.
// Undefined until enough history, so the filter blocks early trades.
ONCE fdiValue = undefined

IF BarIndex >= fdiPeriod - 1 THEN
  pathLength = 0
  prevScaled = 0
  fdiValue = 0
  fdiHigh = Highest[fdiPeriod](close)
  fdiLow = Lowest[fdiPeriod](close)

  FOR i = 1 TO fdiPeriod - 1 DO
    IF (fdiHigh - fdiLow) > 0 THEN
      scaledPrice = (CustomClose[i] - fdiLow) / (fdiHigh - fdiLow)
      IF i > 1 THEN
        pathLength = pathLength + SQRT(SQUARE(scaledPrice - prevScaled) + (1 / SQUARE(fdiPeriod)))
      ENDIF
      prevScaled = scaledPrice
    ENDIF
  NEXT

  IF pathLength > 0 THEN
    fdiValue = 1 + (LOG(pathLength) + LOG(2)) / LOG(2 * fdiPeriod)
  ELSE
    fdiValue = 0
  ENDIF
ENDIF

barsInTrade = BarIndex - TradeIndex