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Dave DeLuca wrote:
> >... It is not clear why Log(ratio)....<snip>>
> >Wayne Mathews
>
> I was the person who posted the code for the Choppiness index to the
> list. If I recall correctly, and from the look of the code, this was
> something I copied from a TASC article, probably dated 1995 or 1996,
> although I can't find the article now. I posted it in response to
> somebody requesting it, and I can't tell you much about it because I
> didn't write it myself. You really need to refer you to the text of
> the article if you want to know more about it. Perhaps you could find
> it on the TASC website, http://www.traders.com/ ?
>
> Dave
You might find the following reference useful.
Burke, Gibbons, "Measuring Market Choppiness with Chaos", FUTURES, Oct 1993,
53-56
Regards,
Bill Vedder
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