Choppiness Index (CHOP)

[cgi1]

Has someone worked on the Choppiness Index (CHOP) indicator yet?

From tradingview:

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

[cgi1]

Wrote a first version: https://github.com/mementum/backtrader/pull/330

[backtrader]

Will be looked into ...