SampleEntropy: Sample Entropy

In Trading: CCR, Advanced Correlation & Beta Estimates, Betting Strategies

Sample Entropy

Description

Calculates the sample entropy of a track record. Sample entropy is an improvement of the approximate entropy and should produce accurate results for timeseries of smaller length like historical returns of strategies

Usage

SampleEntropy(returns, m = 2, r = 0.2)

Arguments

returns	a vector containing the track record of the underlying asset/strategy, these will be normalized during the algorithm
m	an integer value defining the embedding dimension , default value is 2
r	a double value defining the tolerance, default value is 0.2

Value

The sample Entropy of the input returns

Author(s)

Tasos Grivas <[e-mail]>

References

https://en.wikipedia.org/wiki/Sample_entropy

Examples

## calling SampleEntropy() without an argument loads the historical edhec
## data for the "Short Selling" strategy
returns = PerformanceAnalytics::edhec[,c("Short Selling")]
Sample_Entropy = SampleEntropy(returns,m=2,r=0.2)

Trading documentation built on Aug. 27, 2022, 1:05 a.m.