--100 * LOG10( SUM(ATR(1), x) / ( MaxHi(x) - MinLo(x) ) ) / LOG10(x)
--where x = Choppiness Period
--LOG10(x) is base-10 LOG of x
--ATR(1) is the True Range (Period of 1)
--SUM(ATR(1), x) is the Sum of the True Range over past x bars
--MaxHi(x) is the highest high over past x bars
--
--The Choppiness Index is designed to measure the market's trendiness
--(values below 38.20) versus the market's choppiness (values above
--61.80). When the indicator is reading values near 100, the market is
--considered to be in choppy consolidation. The lower the value of the
--Choppiness Index, the more the market is trending. The period supplied
--by the user dictates how many bars are used to compute the index.
--
--mjdesmond3001
function Init()
indicator:name("Choppiness Index");
indicator:description("The indicator measures the market's trendiness (below 38.20) versus the market's choppiness (values above 61.80)");
indicator:requiredSource(core.Bar);
indicator:type(core.Oscillator);
indicator.parameters:addGroup("Calculation");
indicator.parameters:addInteger("X", "Choppiness period (in bars)", "", 14, 2, 1000);
indicator.parameters:addGroup("Style");
indicator.parameters:addColor("C", "Color", "", core.rgb(0, 255, 0));
indicator.parameters:addInteger("W", "Width", "", 1, 1, 5);
indicator.parameters:addInteger("S", "Style", "", 1, 1, core.LINE_SOLID);
indicator.parameters:setFlag("S", core.FLAG_LEVEL_STYLE);
indicator.parameters:addGroup("Levels");
indicator.parameters:addDouble("LOT", "Trend", "", 38.2, 0, 150);
indicator.parameters:addDouble("LOC", "Choppy", "", 61.8, 0, 150);
indicator.parameters:addDouble("LOC1", "Consolidation", "", 100, 0, 150);
indicator.parameters:addBoolean("SLOC1", "Show Consolidation Level", "", false);
indicator.parameters:addBoolean("SLOC0", "Show Zero Level", "", false);
indicator.parameters:addColor("LC", "Color", "", core.COLOR_CUSTOMLEVEL);
indicator.parameters:addInteger("LW", "Width", "", 1, 1, 5);
indicator.parameters:addInteger("LS", "Style", "", 1, 1, core.LINE_DOT);
indicator.parameters:setFlag("LS", core.FLAG_LEVEL_STYLE);
end
local source;
local atr;
local first;
local x, l10x;
local out;
function Prepare(onlyName)
local name = profile:id() .. "(" .. instance.source:name() .. "," .. instance.parameters.X .. ")";
instance:name(name);
if onlyName then
return ;
end
source = instance.source;
atr = core.indicators:create("ATR", source, 1);
x = instance.parameters.X;
l10x = math.log10(x);
first = math.max(source:first() + x - 1, atr.DATA:first() + x - 1);
out = instance:addStream("CHOP_IDX", core.Line, name, "CHOP_IDX", instance.parameters.C, first);
out:setWidth(instance.parameters.W);
out:setStyle(instance.parameters.S);
if instance.parameters.SLOC0 then
out:addLevel(0, core.LINE_NONE, 1, core.rgb(0, 0, 0));
end
out:addLevel(instance.parameters.LOT, instance.parameters.LS, instance.parameters.LW, instance.parameters.LC);
out:addLevel(instance.parameters.LOC, instance.parameters.LS, instance.parameters.LW, instance.parameters.LC);
if instance.parameters.SLOC1 then
out:addLevel(instance.parameters.LOC1, instance.parameters.LS, instance.parameters.LW, instance.parameters.LC);
end
end
function Update(period, mode)
if period >= first then
atr:update(mode);
local ll, hh = core.minmax(source, period - x + 1, period);
local s = core.sum(atr.DATA, period - x + 1, period);
out[period] = 100.0 * math.log10(s / (hh - ll)) / l10x;
end
end
.
