Chop & Cog

2026-08-20 19:48:05 +00:00 · 2024-11-01 17:54:03 -07:00
parent f0114a368c
commit 7c6b698c9a
8 changed files with 262 additions and 150 deletions
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+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// CHOP: Choppiness Index
+/// A technical indicator that measures the market's trendiness versus choppiness.
+/// It helps determine if the market is trending or moving sideways by comparing
+/// the total movement to the net directional movement over a period.
+/// </summary>
+/// <remarks>
+/// The CHOP calculation process:
+/// 1. Calculate ATR sum over period
+/// 2. Calculate total price range over period
+/// 3. Scale result to oscillate between 0 and 100
+///
+/// Key characteristics:
+/// - Oscillates between 0 and 100
+/// - Values above 61.8 indicate choppy market
+/// - Values below 38.2 indicate trending market
+/// - Based on ATR and price range
+/// - Higher values = more choppy/sideways
+/// - Lower values = more trending
+///
+/// Formula:
+/// CHOP = 100 * LOG10(SUM(ATR,n)/(HIGH(n)-LOW(n))) / LOG10(n)
+/// where:
+/// n = period
+/// ATR = Average True Range
+/// HIGH(n) = Highest high over period n
+/// LOW(n) = Lowest low over period n
+///
+/// Sources:
+///     E.W. Dreiss
+///     https://www.tradingview.com/support/solutions/43000501980-choppiness-index/
+///
+/// Note: Default period is 14
+/// </remarks>
+
+[SkipLocalsInit]
+public sealed class Chop : AbstractBase
+{
+    private readonly Atr _atr;
+    private readonly CircularBuffer _highs;
+    private readonly CircularBuffer _lows;
+    private readonly CircularBuffer _atrValues;
+    private readonly double _logPeriod;
+    private const int DefaultPeriod = 14;
+    private const double ScalingFactor = 100.0;
+
+    /// <param name="period">The number of periods used in the CHOP calculation (default 14).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Chop(int period = DefaultPeriod)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period));
+
+        _atr = new(period);
+        _highs = new(period);
+        _lows = new(period);
+        _atrValues = new(period);
+        _logPeriod = Math.Log10(period);
+        WarmupPeriod = period;
+        Name = $"CHOP({period})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The number of periods used in the CHOP calculation.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Chop(object source, int period = DefaultPeriod) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+            _index++;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate ATR and store it
+        double atr = _atr.Calc(BarInput);
+        _atrValues.Add(atr, BarInput.IsNew);
+
+        // Store high and low prices
+        _highs.Add(BarInput.High, BarInput.IsNew);
+        _lows.Add(BarInput.Low, BarInput.IsNew);
+
+        // Calculate highest high and lowest low over period
+        double highestHigh = _highs.Max();
+        double lowestLow = _lows.Min();
+        double range = highestHigh - lowestLow;
+
+        // Calculate sum of ATR values
+        double atrSum = _atrValues.Sum();
+
+        // Avoid division by zero
+        if (range < double.Epsilon || _logPeriod < double.Epsilon)
+            return 0.0;
+
+        // Calculate CHOP
+        return ScalingFactor * Math.Log10(atrSum / range) / _logPeriod;
+    }
+}