Dreiss-Choppiness-Index-formula

That wayback doc gives you a doc that ends with another link you cannot access by Wayback Machine:

A spreadsheet showing how the Choppiness Index is calculated can be found here (but not anymore): ftp://ftp.io.com/pub/usr/gibbonsb/futures/pc/CHOPPY.XLS

A web search for the formula for choppiness gives plenty of hits that all seem to give this equation, worked out for WealthLab -

CODE:
int n = 14;
TimeSeries dci = 100 * TimeSeries.Log(ATR.Series(bars, 14).Sum(n) / (Highest.Series(bars.High, n) - Lowest.Series(bars.Low, n))) / Math.Log(n);
PlotTimeSeries(dci, "Choppiness", "ChoppyPane");

It rhymes with WealthLab's formulation, which is plenty good for all practical purposes. Just use the one you like best.

WealthLab's current formulation, simplified. Ignore data at the beginning of the serioes up to about bar n, the period.

CODE:
int n = 14;
TimeSeries tH = new TimeSeries(bars.DateTimes, true);
TimeSeries tL = new TimeSeries(bars.DateTimes, true);
for (int bar = 1; bar < bars.Count ; bar++)
{
   double C1 = bars.Close[bar - 1];
   tH[bar] = C1 > bars.High[bar] ? C1 : bars.High[bar];
   tL[bar] = C1 < bars.Low[bar] ? C1 : bars.Low[bar];
}         
TimeSeries dciWL = 100 * TimeSeries.Log(TR.Series(bars).Sum(n) / (Highest.Series(tH, n) - Lowest.Series(tL, n))) / Math.Log(n);

Differences
1. does not use ATR. It sums the TR of the period and divides by the period. (ATR uses the WilderMA).
2. uses the Highest/Lowest of the TR High/Low, not of the High/Low series.

I'll add that to the indicator's doc (and update WL's indicator since there's a problem at the initialization with the current formula).