This article is dedicated to eliminate financial time series multifractal research method which is based on both wavelet technique (for scalability research) and multifractal formalism. This multifractal research technique is called Wavelet Transform Modulus Maxima (here and further WTMM). This article should bring the light to the darkest sides of WTMM. This method is intended to be applicable for multifractal research of the most world stock indexes. The narration in current article is following: it begins from exploration of multifractal model of asset return (roots of financial time series multifractal analysis); next Data Mining and pre-processing block and Wavelet analysis blocks are narrated.