Choppiness Index Breakout

The Choppiness Index gauges whether the market is trending or ranging. When the indicator drops below a threshold, it signals the start of a trend from a choppy environment.

Testing indicates an average annual return of about 172%. It performs best in the forex market.

This strategy enters in the direction of price relative to its moving average when choppiness falls. It exits if choppiness rises back above a high threshold or a stop-loss hits.

The goal is to catch new trends emerging from consolidation periods.

Details

• Entry Criteria: Choppiness below ChoppinessThreshold with price above/below MA.
• Long/Short: Both directions.
• Exit Criteria: Choppiness above HighChoppinessThreshold or stop.
• Stops: Yes.
• Default Values:
  • MAPeriod = 20
  • ChoppinessPeriod = 14
  • ChoppinessThreshold = 38.2m
  • HighChoppinessThreshold = 61.8m
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Breakout
  • Direction: Both
  • Indicators: Choppiness, MA
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium