Choppiness Index (True Range Box) (CHOPTR)

Summary

Choppiness Index with a true-range box: the true range travelled over a window against the span from its highest true high to its lowest true low. Bill Dreiss's form as published in 1993. Log-scaled so that a straight run reads 0 and bars that each fill the whole box read 100. Measures whether the market is trending, not in which direction: low values mean a directional run, high values sideways chop.

Formula

TH[j] = max(High[j], Close[j-1]) and TL[j] = min(Low[j], Close[j-1]), the true high and true low. TR[j] = TH[j] - TL[j].

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

CHOPTR = 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 reaches the close just before each bar. Most charting platforms instead use the window's highest high minus its lowest low; that form is CHOP. 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.
With every close inside its own bar's high-low range, the value stays within 0 to 100, up to rounding.
A window with 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: choptr.c · choptr.yaml

Native	File
C	`ta_CHOPTR.c`
Rust	`choptr.rs`
Java	`Core_CHOPTR.java`
C#	`Core_CHOPTR.cs`

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

Aliases

Choppiness Index, Dreiss Choppiness Index, True Range Choppiness Index

References

Gibbons Burke, "Measuring market choppiness with chaos", Futures, October 1993, pp. 52-53
Incredible Charts: Choppiness Index