Originally Posted by MrM

Simba,

I'm 100% on board.

just a note - let's not confuse Autocorrelation and Hurst exponent: autocorrelation measure k-th order dependence in timeseries and was originally constructed for measuring dependence in error-terms/residuals of regression analysis (see heteroskedacity/homoskedacity), while Hurst exponent is a way more complex tool: Hurst exponent is estimated, not calculated: there are several ways to do it: Rescaled range analysis, Power-spectral analysis, Roughness length, Variogram and Wavelet transform.

I think step 1 is autocorrelation: I've done it in Matlab: autocorr command but there doesn't seem to be a custom indicator that measures it, altough it doesn't seem to hard to do.

Benoit – Fractal Analysis Software is software for estimating Hurst exponent,
Interaction between MetaTrader 4 and Matlab via CSV Files - MQL4 Articles is the description for linking Matlab & MetaTrader.

But if you get me the template (hopefully different from the mq4 file on TASC 03/07 Fractal Dimension Index) then I'll see what I can do: I'm committed to this.

cheers.