//+------------------------------------------------------------------+
//| EntropyMath.mq4 |
//| Aleksandr Pak |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2008, MetaQuotes Software Corp."
#property link "http://forum.mql4.com/ru/13708"
#property indicator_separate_window
#property indicator_buffers 1
#property indicator_color1 Lime
#property indicator_level1 0.0001
#property indicator_level2 -0.0001
double entropy[];
extern int numbars=14;
//+------------------------------------------------------------------+
int init()
{
SetIndexBuffer(0,entropy); SetIndexStyle(0,DRAW_LINE); IndicatorShortName("Entropy("+numbars+")");
IndicatorDigits(3*Digits);
return(0);
}
//+------------------------------------------------------------------+
int deinit() { return(0); }
//+------------------------------------------------------------------+
int start ()
{
double P, G;
int in, out;
int i,j;
double sumx = 0.0;
double sumx2 = 0.0;
double avgx = 0.0;
double rmsx = 0.0;
in=0; //price;
out=0; //entropy;
int count = IndicatorCounted();
for (i=0; i<Bars-count+1; i++)
{
if (i>Bars-numbars+1) entropy[out] = EMPTY_VALUE;
else
{
sumx = 0; sumx2=0 ; avgx =0; rmsx = 0.0;
for (j=0;j<numbars+1;j++)
{
double r=MathLog(Close[in+j] / Close[in+j+1]) ;
sumx += r;
sumx2 += r * r;
}
if (numbars==0) { avgx = Close[in]; rmsx = 0.0; }
else { avgx = sumx / numbars; rmsx = MathSqrt(sumx2/numbars); }
P = ((avgx/rmsx)+1)/2.0;
G = P * MathLog(1+rmsx) + (1-P) * MathLog(1-rmsx);
entropy[out]=G;
}
in++; out++;
}
}
Sample
Analysis
Market Information Used:
Series array that contains close prices for each bar
Indicator Curves created:
Implements a curve of type DRAW_LINE
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
Other Features: