Choppiness Index (CHOP)

Summary

Choppiness Index: a trend-versus-consolidation gauge, the true range travelled over a window against the height of the box its bars span. Devised by Bill Dreiss. Log-scaled so that a straight run reads 0 and bars that each fill the whole box read 100. Like ADX and VHF it measures whether the market is trending, not in which direction: low values mean a directional run, high values sideways chop.

Formula

TR[j] = max(High[j], Close[j-1]) - min(Low[j], Close[j-1]), the true range.

S = SUM( TR[j] ) and R = MAX( High[j] ) - MIN( Low[j] ), both over j = t-optInTimePeriod+1 .. t.

CHOP = 100 * log10( S / R ) / log10( optInTimePeriod ).

The first true range reads the close one bar before the window, so the first value needs optInTimePeriod + 1 bars.

Notes

The box is the window's highest high minus its lowest low. The 1993 publication instead spans the highest true high and the lowest true low, which also reach the close just before each bar; that form is CHOPTR. The two differ only on bars where the close before the window lies outside the window's high-low range: a gap into the window.
Because a gap into the window adds to the true range but not to the box, CHOP has no upper bound and can exceed 100.
A window with no box height, or no true range, reports 100.
Dreiss's 3-bar smoothing of the index is not built in; apply a moving average to outReal to obtain it.

Inputs

inHigh — High price of each bar
inLow — Low price of each bar
inClose — Close price of each bar

Outputs

outReal — Choppiness Index value

Parameters

Parameter	Type	Default	Accepted values	Description
`optInTimePeriod`	integer	14	2–100000	Number of bars in the window

Properties

Numerical Stability: Start-Independent


☐ Overlap Input
✅ Independent Y-Axis i
☐ Candlestick
☐ Can Output NaN or ±Inf
☐ Identity at Period 1

Implementation

TA-Lib Definition: chop.c · chop.yaml

Native	File
C	`ta_CHOP.c`
Rust	`chop.rs`
Java	`Core_CHOP.java`
C#	`Core_CHOP.cs`

TA-Lib is also available for Python, R and more using a wrapper.

Aliases

Choppiness Index, Dreiss Choppiness Index

References

Gibbons Burke, "Measuring market choppiness with chaos", Futures, October 1993, pp. 52-53
TradingView: Choppiness Index (CHOP)