Indicators: Entropy

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Entropy:

The indicator that demonstrates the power of price changes entropy.

The entropy is the measure of the disorder of the system. The entropy is calculated using the Maximum Entropy Method.

If we try to evaluate it according to its indicative attributes without paying much attention to its code, we will find out that it is an ordinary unnormalized oscillator and it is possible to apply to it all appropriate technical analysis methods. The indicator was presented in two variants - as a line (Entropy.mq5) and as a multicolored histogram (ColorEntropy.mq5).

Author: Nikolay Kositsin

Entropy and ColorEntropy

 

You're using this to calculate the entropy:

G = P * MathLog(1.0 + rmsx) + (1.0 - P) * MathLog(1.0 - rmsx)

where P = (1.0 + avgx/rmsx)/2.0;

But I thought this was the general formula for entropy: Sum(p(i) * log(p(i)))

Yet you're using different value for p(i) in the log: i.e 1.0 +/- rmsx. Could you please explain?

 
Thankyou for this. I wish there were more indicators like this with a bit of difference to their approach, rather than just the same indicators over and over again from people re-inventing the wheel!
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