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Description

This study calculates and displays a Choppiness Index of the price data.

Let $H$ and $L$ be random variables denoting the High Price and Low Price, respectively, and let $H_t$ and $L_t$ be their respective values at Index $t$. Let the Inputs Summation Period and ATR Period be denoted as $n_S$ and $n_{ATR}$, respectively. Let $ATR(n_{ATR})$ denote the Average True Range with Length $n_{ATR}$. Then we denote the Choppiness Index at Index $t$ for the given Inputs as $CI_t(n_S,n_{ATR})$, and we compute it as follows.

This Subgraph is displayed for $t > \max(n_S, n_{ATR}) - 1$.

The above formula is used as long as $\max_t(H,n_S) - \min_t(L,n_S) \neq 0$. Otherwise, $CI_t(n_S,n_{ATR}) = 0$.

For an explanation of the Sigma ($\Sigma$) notation for summation, refer to our description here: Summation.

For an explanation of the functions $\max_t()$ and $\min_t()$, refer to our descriptions here: Moving Maximum and Moving Minimum.