Calculate the Choppiness Index (CHOP) for a given price series.

The Choppiness Index quantifies whether the market is trending or moving sideways (“choppy”) by comparing the sum of True Range over the window (a measure of the total price path travelled) to the net range the price actually covered over that same window (the distance between the highest high and the lowest low). When price travels a long, winding path but ends up covering little net ground, the index is high (near 100), signalling a choppy, range-bound market. When price travels efficiently in one direction, the index is low (near 0), signalling a trending market.

The formula is as follows:

\[\text{CHOP} = 100 \cdot \log_{10}(\operatorname{Sum}(\text{True Range},\; \text{window}) / (\max(\text{High},\; \text{window}) - \min(\text{Low},\; \text{window}))) / \log_{10}(\text{window})\]

Also known as: CHOP, Choppiness Index.

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Calculate the Choppiness Index in Python

The Choppiness Index is available in the Technicals module of the open-source Finance Toolkit. Install it with:

pip install financetoolkit -U

Then call get_choppiness_index as shown below.

from financetoolkit import Toolkit

toolkit = Toolkit(tickers=["AAPL", "MSFT"])

toolkit.technicals.get_choppiness_index()

Parameters

get_choppiness_index accepts the following parameters:

  • period (str, optional): The time period to consider for historical data. Can be “daily”, “weekly”, “quarterly”, or “yearly”. Defaults to “daily”.
  • close_column (str, optional): The column name for closing prices in the historical data. Defaults to “Adj Close”.
  • window (int, optional): Number of periods to consider for the Choppiness Index calculation. Defaults to 14.
  • rounding (int | None, optional): The number of decimals to round the results to. Defaults to 4.
  • growth (bool, optional): Whether to calculate the growth of the Choppiness Index. Defaults to False.
  • lag (int | list[int], optional): The lag to use for the growth calculation.
  • standardize (bool, optional): Whether to standardize (Z-Score) the result. When combined with growth=True, standardizes the growth values instead of the raw values. Defaults to False. Defaults to 1.
Average Directional Index (ADX) Chande Momentum Oscillator (CMO) Ichimoku Cloud Stochastic Oscillator Moving Average Convergence Divergence (MACD) Relative Strength Index (RSI) Balance of Power (BOP) Awesome Oscillator (AO) Rate of Change (ROC) Know Sure Thing (KST) Elder Ray Index Vortex Indicator

The Technicals module page introduces the module, and the sidebar lists all of its functions.

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