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. Narration in current article is following: it begins from exploration of Thermodynamics Partition function estimation next Scaling exponent function and Multifractal spectrum estimations are narrated.