Choppiness Index (CHOP)
Has someone worked on the
Choppiness Index (CHOP)indicator yet?
The Choppiness Index (CHOP) is an indicator designed to determine if the market is choppy (trading sideways) or not choppy (trading within a trend in either direction).
Implementing the formula should be not very difficult:
100 * LOG10( SUM(ATR(1), n) / ( MaxHi(n) - MinLo(n) ) ) / LOG10(n)
n = User defined period length.
LOG10(n) = base-10 LOG of n
ATR(1) = Average True Range (Period of 1)
SUM(ATR(1), n) = Sum of the Average True Range over past n bars
MaxHi(n) = The highest high over past n bars
Wrote a first version: https://github.com/mementum/backtrader/pull/330
Will be looked into ...