Choppiness Index

Formula

CI = 100 * LOG10( SUM(ATR(1), n) / ( MaxHi(n) – MinLo(n) ) ) / LOG10(n)

where:

• 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
• MaxHigh(n) = The highest high over past n bars
• MinLow(n) = The lowest low over past n bars

Sources:

•  https://library.tradingtechnologies.com/trade/chrt-ti-choppiness-index.html
• https://www.interactivebrokers.com/en/home.php

Indicator is implemented for: MT4/MT5/Tradestation/ Multicharts

Indicator is non directional so original rule is the opposite rule too.

We have added these conditions:

• Choppiness index is above/below level
• Choppiness index crosses above/below level
• Choppiness Index is rising/falling

How to import custom indicators to SQX: https://strategyquant.com/doc/programming-for-sq/import-export-custom-indicators-and-other-snippets/