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Volatility
Choppiness Index
CHOPMeasures how much of the total true range over N bars falls within the single highest-to-lowest price range. Readings above 61.8 indicate a choppy, sideways market; below 38.2 indicates a strong trend. It is based on fractal geometry.
Tips
CHOP falling from above 61.8 toward 38.2 signals a transition from ranging to trending—a good time to enter trend-following strategies
Avoid range-bound mean-reversion strategies when CHOP is below 38.2; the market is moving directionally and stops will be hit
Parameters
Period
2 - 100