Entropy Math

[eSignal]

File Name: EntropyMath.efs

Description:
Entropy Math

Formula Parameters:
Length : 14
Upper : 0.0001
Lower : -0.0001


Notes:


Download File:
EntropyMath.efs



EFS Code:

/*********************************
Provided By:  
    eSignal (Copyright c eSignal), a division of Interactive Data 
    Corporation. 2009. All rights reserved. This sample eSignal 
    Formula Script (EFS) is for educational purposes only and may be 
    modified and saved under a new file name.  eSignal is not responsible
    for the functionality once modified.  eSignal reserves the right 
    to modify and overwrite this EFS file with each new release.

Description:        
    Entropy Math 
    
Version:            1.0  08/26/2009
 
Formula Parameters:                     Default:
    Length                              14
    Upper                               0.0001
    Lower                               -0.0001
    
Notes:
    
**********************************/
var fpArray = new Array();
var bInit = false;

function preMain(){
    setPriceStudy(false);
    setShowCursorLabel(true);
    setShowTitleParameters(false);
    setStudyTitle("Entropy Math");
    setCursorLabelName("Entropy Math", 0);
    setDefaultBarFgColor(Color.blue, 0);
    setPlotType(PLOTTYPE_LINE, 0);
    var x = 0;
    fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
    with(fpArray[x++]) {
        setName("Length");
        setLowerLimit(1);
        setDefault(14);
    }    
    fpArray[x] = new FunctionParameter("Upper", FunctionParameter.NUMBER);
    with(fpArray[x++]) {
        setName("Upper");
        setDefault(0.0001);
    }    
    fpArray[x] = new FunctionParameter("Lower", FunctionParameter.NUMBER);
    with(fpArray[x++]) {
        setName("Lower");
        setDefault(-0.0001);
    }        
}

var xEntropy = null;

function main(Length, Upper, Lower) {
var nBarState = getBarState();
var nEntropy = 0;
    if (nBarState == BARSTATE_ALLBARS) {
        if(Length == null) Length = 14;
    }
    if (bInit == false) {
        addBand(Upper, PS_DASHDOT, 2, Color.black, "Upper");
        addBand(Lower, PS_DASHDOT, 2, Color.black, "Lower");        
        xEntropy = efsInternal("Calc_EntropyMath", Length);
        bInit = true;
    }
    nEntropy = xEntropy.getValue(0);
    if (nEntropy == null) return;
    return nEntropy;
}

var bSecondInit = false;
var xClose = null;

function Calc_EntropyMath(Length) {
var nRes = 0;
var nR = 0;
var sumx = 0;
var sumx2 = 0;
var avgx = 0;
var rmsx = 0;
var nP = 0;
var i = 0;
    if (!bSecondInit) {
        xClose = close();
        bSecondInit = true;
    }
    if (xClose.getValue(-Length) == null) return;
    for (i = 0; i < Length; i++) {
        nR = Math.log(xClose.getValue(-i) / xClose.getValue(-i-1));
        sumx += nR;
        sumx2 += nR * nR;
    }    
    avgx = sumx / Length;
    rmsx = Math.sqrt(sumx2/Length);
    nP = ((avgx / rmsx) + 1) / 2.0;
    nRes = nP * Math.log(1 + rmsx) + (1 - nP) * Math.log(1 - rmsx);
    return nRes;
}