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The choppiness index is based on the following:
(Highest(H,N)-Lowest(L,N))/summation(AbsValue(c-c[1]),N) where N is the
lookback period. That is to say you look at the total range of the last N
days and divide by the sum of the absolute values of the daily changes. If
the price goes up every day, (i.e. no choppiness) the 2 numbers are similar -
choppiness index = 1.
If there's alot of up and down action (i.e. more choppiness), the sum of the
absolute value of the daily changes will be much larger than the total range
and the choppiness index will be much lower than 1. - means more choppiness.
That's the principle. If you want a complete formula its probably at
www.omegaresearch.com.
Jerry Rehert
February 15th, 1998
@ 12:08 am
Atlanta, GA
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