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Here is another interesting view of the OEX entropy(21 day) compared to the
entropy of Bob Carver's $C/$P for the OEX. Looks like the usual techniques
of polarity change and peak divergences apply. Also entropy of the $C/$P
may lead the Entropy of the price and of price. Max entropy of the $C/$P
appears to be about 0.38 where it reached on Friday. Price can still rise,
but the entropy may begin to decrease next week. For the price input to
Clyde's code I used (H+L)/2 by changing "c" in his code to Price and adding
Price((H+L)/2)) as an input.
BobR
----- Original Message -----
From: Clyde Lee <clydelee@xxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Saturday, June 03, 2000 9:03 AM
Subject: [RT] Re: Gen:OEX Entropy
> Ron gave us an interesting look at Entropy.
>
> Here is an indicator that I wrote using his ideas.
> Note that I did a bit of flipping for display purposes.
> I'm not bothering with .ela since this is so simple.
>
> SIMPLE don't mean that it ain't valuable. I think if
> you look at this closely you will get some idea of why
> Ron is so convinced ! ! !
>
> Clyde
>
>
> Input: Length(21);
>
> Vars: ENTROPY(0),Avg(0),RMS(0);
>
> {
> E(entropy) = (Average / Root Mean Square) + 1
> ---------------------------------
> 2
> }
>
> Avg = Average(c,Length);
>
> RMS = 0;
> for value1=0 to length-1 begin
> rms=rms+c*c;
> end;
> rms=SQUAREROOT(rms/length);
>
> Entropy=(Avg/iff(rms<>0,rms,.001)+1)*.5;
>
> Value1=-(Entropy-1);
>
> if Value1>0 then
> Plot1(Value1,"-ent")
> else
> Plot2(Value1,"+ent");
>
> Plot3(0,"0");
>
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> Clyde Lee Chairman/CEO (Home of SwingMachine)
> SYTECH Corporation email: <clydelee@xxxxxxx>
> 7910 Westglen, Suite 105 Work: (713) 783-9540
> Houston, TX 77063 Fax: (713) 783-1092
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>
> ----- Original Message -----
> From: "Ronald McEwan" <rmac@xxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Sent: Friday, June 02, 2000 15:17
> Subject: [RT] Gen:OEX Entropy
>
>
> > For all those who enquired about the Entropy Indicator. This is a copy
> of
> > a reply I sent to another member. My original post was just meant to
> > give my short term outlook on the OEX and my reason for this using an
> > indicator I developed. And not to push a new indicator on anyone.
> > ----------------------------------------------------------------------
> ---
> > ---------------------------------------------
> >
> > All the information on this is in "The Mathematical Theory of
> > Communication" by Claude E. Shannon. It took me almost a year to
> > understand this enough to figure out how to use it. If you want to get
> > this book I suggest you get a very large bottle of aspirin to go with
> it.
> > I can give you the basic formula for this if you would like to see it.
> I
> > don't sell anything or charge for anything I do, I just don't give it
> all
> > away either. I believe that if you do not try to do some of the work
> > yourself you will not get a good understanding of how it works.
> >
> > thanks
> > Ron
> >
> >
> > formula for Entropy Calculation
> >
> > E(entropy) = (Average / Root Mean Square) + 1
> > --------------------------------------
> --------
> > 2
> >
> > Ron McEwan
> >
> >
> > ps Shannon's book has completely changed my way of looking at market
> > information.
> >
> >
> >
> >
>
>
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