Here's a couple of interesting links...

1. http://fractalfinance.blogspot.com
The author has written a few indicators for mql4 using Fractal Dimensions and Hurst Differential... They look quite interesting.

2. http://etfhq.com/blog/2010/05/25/best-technical-indicators
This links to a comparison of various indicators, including Variable Moving Averages and Adaptive Moving Averages, that use Efficiency Ratio & Fractal Dimensions, and a few others. They also test a modified Fractal Adaptive Moving Average (FRAMA) ("The FRAMA identifies the Fractal Dimension of prices over a specific period and then uses the result to dynamically adapt the smoothing period of an exponential moving average.")

All of which is so far over my head that it makes the international space station look like a submarine.