Hi,

does anyone have an indicator that calculates the autocorrelation of the chart you put it on?

Also, I have an indicator that calculates the Fractal Dimension of the chart (timeseries), but this seems to be a time-dependent (changes per bar) result, while I have always read that it should be 1 number, which really doesn't change when you add new lines to your timeseries (in this case, when you have new candles), but the timeseries should be long enough in the first place.

Autocorrelation - Wikipedia, the free encyclopedia
Hurst exponent - Wikipedia, the free encyclopedia

The reason for this is simple: imagine being able to select automatically whether you're trading a random signal or a non-random one, and a series with persistent trends or antipersistent trends: if you have a trend-following strategy you should chose the one with the highest autocorrelation (and the highest Hurst exponent (>>0.6) to make your strategy work, if you're trading a range-trading strategy you should choose the timeseries (symbol) with the most anti-persistent trends (H<0.4) and offcourse you should always choose for the timeseries with the highest autocorrelation.
Maybe it could be nice to start with a topic where we go a little deeper into the time series analysis aspect (selection of which currency and which timeframe to trade)?

Any suggestions / comments / indicators?