2007 Aug: Entropic Analysis of Equity Prices

Entropy.efs  
EFSLibrary - Discussion Board  

File Name: Entropy.efs

Description:
This study is based on the Nov 2006 article, Entropic Analysis of Equity Prices, by Ron McEwan for the August 2007 issue.

Formula Parameters:

• Period: 30
• Color: blue
• Thickness: 2

Notes:
The study is a non-price study by default. To overlay the study on the price window, hold down the Shift key and then drag and drop the indicator pane onto the price window. The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.

Download File:
Entropy.efs


EFS Code:

/***************************************
Provided By : 
    eSignal (Copyright © eSignal), a division of Interactive Data 
    Corporation. 2007. 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:  Entropic Analysis of Equity Prices
              by Ron McEwan

Version 1.0  6/11/2007

Notes:
* Code provided for Aug 2007 Issue of Stocks and Commodities Magazine
    based on McEwan's article from the Nov 2006 issue.
* Study requires version 8.0 or later.


Formula Parameters:                     Default:
Period                                  30
Color                                   blue
Thickness                               2
***************************************/

function preMain() {
    setStudyTitle("Entropy Indicator ");
    setShowTitleParameters(false);
    setCursorLabelName("Entropy", 0);
    addBand(0.5, PS_SOLID, 2, Color.red, "band");

    var fp1 = new FunctionParameter("nP", FunctionParameter.NUMBER);
        fp1.setName("Periods");
        fp1.setLowerLimit(1);
        fp1.setDefault(30);
    var fp2 = new FunctionParameter("cColor", FunctionParameter.COLOR);
        fp2.setName("Color");
        fp2.setDefault(Color.blue);
    var fp3 = new FunctionParameter("nThick", FunctionParameter.NUMBER);
        fp3.setName("Thickness");
        fp3.setLowerLimit(1);
        fp3.setDefault(2);
}

// Global Variables
var bVersion  = null;    // Version flag
var bInit     = false;   // Initialization flag

var xLn     = null;
var xAvg    = null;
var xRms    = null;
var xP      = null;

function main(nP, cColor, nThick) {
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;    

    //Initialization
    if (bInit == false) {
        setDefaultBarFgColor(cColor, 0);
        setDefaultBarThickness(nThick, 0);
        xLn  = efsInternal("calcLn");
        xAvg = sma(nP, xLn);
        xRms = efsInternal("calcRms", xLn, nP);
        xP   = efsInternal("calcP", xAvg, xRms);
        bInit = true;
    }

    var n = xP.getValue(0);
    if (n == null) return;
    
    return n;
}


function calcLn() {
    var c0 = close(0);
    var c1 = close(-1);
    if (c1 == null) return;
    
    return Math.log(c0/c1);
}


function calcRms(x, n) {
    if (x.getValue(-n) == null) return;
    
    var nSumSQ = 0;
    for (var i = 0; i < n; i++) {
        nSumSQ += Math.pow(x.getValue(-i), 2);
    }
    
    var nRms = Math.pow((nSumSQ / n), 0.5);
    
    return nRms;
}


function calcP(_xAvg, _xRms) {
    var nAvg0 = _xAvg.getValue(0);
    var nRms0 = _xRms.getValue(0);
    
    if (nAvg0 == null || nRms0 == null) return;
    
    return ((nAvg0 / nRms0) + 1) / 2;
}


function verify() {
    var b = false;
    if (getBuildNumber() < 779) {
        drawTextAbsolute(5, 35, "This study requires version 8.0 or later.", 
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
            null, 13, "error");
        drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=http://www.esignal.com/download/default.asp", 
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
            null, 13, "upgrade");
        return b;
    } else {
        b = true;
    }
    
    return b;
}