New version merge

2026-08-17 18:18:04 +00:00 · 2024-09-22 17:31:24 -07:00
parent 1b719fa94e
commit d475bcd19a
405 changed files with 56573 additions and 12440 deletions
@@ -0,0 +1,80 @@
+namespace QuanTAlib;
+
+using System;
+using System.Linq;
+
+// Shannon's Entropy calculation
+public class Entropy : AbstractBase
+{
+    public readonly int Period;
+    private CircularBuffer _buffer;
+
+    public Entropy(int period) : base()
+    {
+        if (period < 2)
+        {
+            throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2 for entropy calculation.");
+        }
+        Period = period;
+        WarmupPeriod = 2;
+        _buffer = new CircularBuffer(period);
+        Name = $"Entropy(period={period})";
+        Init();
+    }
+
+    public Entropy(object source, int period) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    public override void Init()
+    {
+        base.Init();
+        _buffer.Clear();
+    }
+
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Input.Value;
+            _index++;
+        }
+    }
+
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        _buffer.Add(Input.Value, Input.IsNew);
+
+        double entropy = 0;
+        if (_index > 1)  // We need at least two data points for entropy calculation
+        {
+            var values = _buffer.GetSpan().ToArray();
+            int n = values.Length;
+
+            // Calculate probabilities
+            var groupedValues = values.GroupBy(x => x).Select(g => new { Value = g.Key, Count = g.Count() });
+
+            // Use the actual count of values for probability calculation
+            foreach (var group in groupedValues)
+            {
+                double probability = (double)group.Count / n;
+                entropy -= probability * Math.Log2(probability);
+            }
+
+            // Normalize the entropy based on the current number of unique values
+            int uniqueValueCount = groupedValues.Count();
+            double maxEntropy = Math.Log2(uniqueValueCount);
+
+            entropy = entropy == 0 ? 1 : entropy / maxEntropy;
+
+        }
+        else { entropy = 1; }
+
+        IsHot = _buffer.Count >= Period;
+        return entropy;
+    }
+}