Fractal Energy Trading Resource Page

Here is the thinkorswim thinkscript code for the Choppiness Index:

declare lower;

input Period = 14;

input l2 = 61.8;
input l1 = 38.2;
input l0 = 25.0;

def sumTR = Sum (TrueRange(high, close, low), Period);
def HMax = Highest (high, Period);
def LMax = Lowest (low, Period);

plot FE = 100 * Log (sumTR / (HMax – LMax)) / Log(Period);
FE.SetDefaultColor(Color.ORANGE);
FE.SetStyle (Curve.FIRM);
FE.SetLineWeight(2);

plot line0 = l0;
line0.SetDefaultColor(Color.RED);
#line0.SetStyle (Curve.FIRM);
plot line1 = l1;
line1.SetDefaultColor(Color.CYAN);
#line1.SetStyle (Curve.FIRM);
plot line2 = l2;
line2.SetDefaultColor(Color.BLUE);
#line2.SetStyle (Curve.FIRM);

This is the RSI in Laguerre Time with embedded Chop Index/Fractal Energy for thinkorswim. Please note that the nFE value is set for 13 which is a compromise vs. the normal Choppiness Index period of 14. This is to help the responsiveness of the RSI line. 

# RSI in Laguerre Time Self Adjusting With Fractal Energy
# Mobius
# V03.06.15.2016
# Both Fractal Energy and RSI are plotted. RSI in cyan and FE in yellow. Look for trend exhaustion in the FE and a reversal of RSI or Price compression in FE and an RSI reversal.

declare lower;

#Inputs:
input nFE = 13;#hint nFE: length for Fractal Energy calculation.

# Variables:
def o;
def h;
def l;
def c;
def CU1;
def CU2;
def CU;
def CD1;
def CD2;
def CD;
def L0;
def L1;
def L2;
def L3;
plot RSI;
plot OS;
plot OB;

# Calculations
o = (open + close[1]) / 2;
h = Max(high, close[1]);
l = Min(low, close[1]);
c = (o + h + l + close) / 4;
plot gamma = Log(Sum((Max(high, close[1]) – Min(low, close[1])), nFE) /
(Highest(high, nFE) – Lowest(low, nFE)))
/ Log(nFE);
gamma.SetDefaultColor(Color.Yellow);
L0 = (1 – gamma) * c + gamma * L0[1];
L1 = -gamma * L0 + L0[1] + gamma * L1[1];
L2 = -gamma * L1 + L1[1] + gamma * L2[1];
L3 = -gamma * L2 + L2[1] + gamma * L3[1];
if L0 >= L1
then {
CU1 = L0 – L1;
CD1 = 0;
} else {
CD1 = L1 – L0;
CU1 = 0;
}
if L1 >= L2
then {
CU2 = CU1 + L1 – L2;
CD2 = CD1;
} else {
CD2 = CD1 + L2 – L1;
CU2 = CU1;
}
if L2 >= L3
then {
CU = CU2 + L2 – L3;
CD = CD2;
} else {
CU = CU2;
CD = CD2 + L3 – L2;
}

RSI = if CU + CD <> 0 then CU / (CU + CD) else 0;
RSI.SetDefaultColor(Color.Cyan);
OS = if IsNaN(close) then Double.NaN else 0.2;
OS.SetDefaultColor(Color.Gray);
OS.HideBubble();
OS.HideTitle();
OB = if IsNaN(close) then Double.NaN else 0.8;
OB.SetDefaultColor(Color.Gray);
OB.HideBubble();
OB.HideTitle();
plot FEh = if isNaN(close) then double.nan else .618;
FEh.SetStyle(Curve.Long_Dash);
FEh.HideBubble();
FEh.SetDefaultColor(Color.Dark_Gray);
FEh.HideTitle();
plot FEl = if isNaN(close) then double.nan else .382;
FEl.SetStyle(Curve.Long_Dash);
FEl.SetDefaultColor(Color.Dark_Gray);
FEl.HideBubble();
FEl.HideTitle();
AddCloud(0, OS, Color.Green, Color.Green);
AddCloud(OB, 1, Color.Red, Color.Red);
Alert(RSI crosses below .9, “”, Alert.BAR, Sound.Bell);
Alert(RSI crosses above .1, “”, Alert.BAR, Sound.Bell);

# End Code RSI_Laguerre Self Adjusting with Fractal Energy

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