Choppyanalysis — Indicators and Strategies

Choppiness Indicator E.W. Dreiss, an Australian commodity trader, developed the Choppiness Index in 1993, drawing upon chaos theory to analyze financial markets. This technical indicator helps traders determine whether a market is trending or experiencing sideways (choppy) price action. #Hint: The Market is considered TRENDING when the index is below 38.2 The Market is considered CHOPPY when the index is above 61.8. A move above the 38.2 Level indicates a possible end to a trend, and a move below 61.8 indicates a possible breakout from a period of consolidation. Mobius constructed this in Thinkscript V001.03.2012, and Claude 3.7 Sonnet converted it to Pinescript V002. 03.2025 The Market is considered TRENDING when the index is below 38.2 The Market is considered CHOPPY when the index is above 61.8. A move above the 38.2 Level indicates a possible end to a trend, and a move below 61.8 indicates a potential breakout from a period of consolidation.

Local Model Kalman Market Mode Introduction Heyo guys, I made a new (repainting) indicator called Local Model Kalman Market Mode. I created it, because I wanted a reliable market mode filter for a potential mean-reversion strategy (e. g. BB Scalping). On the screenshot you can see an example of how to use it in a BB strategy. E.g. you would enter long when you have bullish divergence, price is under lower BB, price is under PoC and this indicator here shows range-bound market phase. You would exit long on cross of the middle band. Description The indicator attempts to model the underlying market using different local models (i.e., trending, range-bound, and choppy) and combines them using the T3 Six Pole Kalman Filter to generate an overall estimate of the market. The Fisher Transform is applied on the price to reach a Gaussian distribution, which increases the accuracy of the indicator itself. The script first defines state variables for each local model, which include trend direction, trend strength, upper and lower bounds of the range, volatility of the range, level of choppiness, and strength of noise. Then, likelihood functions are defined for each local model based on the state variables. Next, the script calculates weights for each local model based on their likelihoods and uses them to calculate state variables for the overall estimate. Finally, the script combines the state variables using the T3 Six Pole Kalman Filter to generate the overall estimate of the market, which is plotted in blue. Fundamental Knowledge To understand the explanation of the indicator and the script, there are a few fundamental concepts that you need to know: Market: A market is a place where buyers and sellers come together to exchange goods or services. In the context of trading, the market refers to the exchange where financial instruments such as stocks, currencies, and commodities are bought and sold. Local models: Local models are statistical models that attempt to capture the characteristics of a particular market regime. For example, a trending market may have different characteristics than a range-bound market or a choppy market. The indicator uses different local models to capture the different market regimes. Trend direction and strength: The trend direction refers to the direction in which the market is moving, either up or down. The trend strength refers to the magnitude of the trend and how likely it is to continue. Range-bound market: A range-bound market is a market where prices are trading within a specific range, with a clear upper and lower bound. Choppiness: Choppiness refers to the degree of irregularity in price movements, often seen in sideways or range-bound markets. Volatility: Volatility refers to the degree of variation in the price of an asset over time. High volatility implies larger price swings, while low volatility implies smaller price swings. Kalman filter: A Kalman filter is a mathematical algorithm used to estimate an unknown variable from a series of noisy measurements. In the context of the indicator, the Kalman filter is used to generate an overall estimate of the market by combining the local models. T3 Six Pole Kalman Filter: The T3 Six Pole Kalman Filter is a specific type of Kalman filter that is used to smooth and filter time-series data, such as the price data of a financial instrument. Fisher Transform: The Fisher Transform is a mathematical formula used to transform any probability distribution into a Gaussian normal distribution. It is commonly used in technical analysis to transform non-Gaussian indicators into ones that are more suitable for statistical analysis. By understanding these fundamental concepts, you should have a basic understanding of how the indicator works and how it generates an overall estimate of the market. Usage You can use this indicator on every timeframe. Users can customize the parameters of the T3 Six Pole Kalman Filter (T3 length, alpha, beta, gamma, and delta) using input functions. Try out different parameter combinations and use the one you like most. Thank you for checking this out. Leave me a comment or boost the script, when you wanna support me! 👌 -- Credits to: ▪@HPotter - Fisher Transform ▪@loxx - T3 ▪ChatGPT - Helped me to make the research for this indicator and helped to build the core algorithm.

Choppiness Index Tile A simple tile on the chart that indicates the choppiness index on the chart for the chart's timeframe. The index tile will show 3 different colors based on the value of the choppiness index. 61.8 for the high threshold and 38.2 for the lower threshold.

Ehlers Squelch Indicator [CC]The Squelch Indicator was created by John Ehlers (Stocks & Commodities V. 18:9 (42-46)) and this indicator is a variation of his Market Mode Indicator and its purpose is the same as in it determines if the market is trending or in a choppy market. If this indicator is at the 1 level then this means the market is trending and if it is at 0 then the market is choppy. I would recommend to adjust the squelch variable to find a setting that works well for you. If you want to avoid more choppy markets then adjust the squelch variable to a lower amount and vice versa. I have included basic buy and sell signals so buy when the line turns green and sell when it turns red. Let me know if there are any other indicators you would like to see me publish!

Chop and explode The purpose of this script is to decipher chop zones from runs/movement/explosion The chop is RSI movement between 40 and 60 tight chop is RSI movement between 45 and 55. There should be an explosion after RSI breaks through 60 (long) or 40 (short). Tight chop bars are colored black, a series of black bars is tight consolidation and should explode imminently. The longer the chop the longer the explosion will go for. tighter the better. Loose chop (whip saw/yellow bars) will range between 40 and 60. the move begins with blue bars for long and purple bars for short. Couple it with your trading system to help stay out of chop and enter when there is movement. Use with "Simple Trender." Best of luck in all you do. Get money.

IO_EMA_Delta_Oscillator This is a EMA Delta Oscillator: An attempt to show ranging markets based on the slope of the EMA. Green = Bullish Market Blue = Ranging Market Red = Bearish Market The EMA Slope is normalized to make it work like an oscillator with values between 0 and 1. Bar colors show the oscillator colors, bar borders show the actual candle colors. - Invsto (sarangab)