SampleEntropy: Sample Entropy

View source: R/SampleEntropy.R

SampleEntropyR Documentation

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 <tasos@openriskcalculator.com>

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 Feb. 13, 2024, 3 a.m.