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Choppiness Indicator

Posted By blousetrader 7 Years Ago
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Posted Thursday February 11 2010
guys - does the offer to code up some indicators still hold? If so how about the Choppiness Indicator

The Sept. Version of Active Trader has an index that would be neat to code. It was created by the commodity trader named E.W. Bill Dreiss, according to active trader it is used to determine weather market movement is directional or consolidating. Supposedly low readings in the CI correspond closely with the end of the strong impulsive movements either up or down, while high readings occur after significant consolidations in price. a trader should trades when the CI is in an extended period of above average readings and instead favors situations in which the indicator fluctuates from one extreme to the other. Higher CI readings can also be a sing of the impending end of the consolidation while lower CI readings can indicate a possible reversal.

It is calculated as follows:

1. Calculate each periods (day, week, hour) true range. (the true high is the higher of this bars or the previous bar's close: the true low is the lower of this bars low or the previous bars close. The true range is the different between the two).

2. Sum the past n true ranges.

3. Calculate the true range range for the entire n bar period.

4. Divide the sum of the n true ranges by the n-day true range.

5. Calculate the logarithm (base 10) of the result from the step 4.

6. Divide the results from step 5 by the log of n.

7. Multiply the result by 100.
Posted Friday February 12 2010
It's something we can add. When we offered originally we were building up our indicator library, but this would be logged as a feature request at this point and evaluated accordingly. So it may be awhile.


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