BERLIN Range Index Filters Choppiness with ATR Variability
Summary
The BERLIN Range Index modifies the Choppiness Index to identify ranging and trending conditions with more responsiveness. It calculates choppiness from the sum of true range relative to the high-low span over a lookback, then scales that value using a factor derived from the running standard deviation of ATR relative to its recent low. Users can choose normalized true range for the ATR calculation and select a moving-average method for the standard-deviation estimate.
Thresholds map the filtered index to bar colors: gray indicates a range, yellow a trend, orange an exhausted trend, and red an exhausted trend that is weakening. These states are intended to help adjust trend-following exposure as conditions change. The author explicitly notes the tradeoff: the filter makes the index more reactive but can misclassify ranges more often. The document explains the calculation and visual interpretation, but provides no comparative tests, performance data, or guidance for selecting thresholds across assets and timeframes.
Key ideas
- The indicator scales the Choppiness Index by a factor based on ATR variability relative to its recent low.
- Normalized true range is available for the ATR filter, and several moving-average methods can estimate variability.
- Thresholds classify bars as ranging, trending, exhausted trend, or weakening exhausted trend.
- The color states are intended to signal when trend exposure may warrant adjustment.
- Greater responsiveness comes with a stated risk of more range misclassification, and no performance validation is given.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.