namespace QuanTAlib;
///
/// Measures the unpredictability of data using Shannon's Entropy.
/// Provides insights into the randomness or information content of the time series.
///
public class Entropy : AbstractBase
{
private readonly int Period;
private readonly CircularBuffer _buffer;
///
/// Initializes a new instance of the Entropy class.
///
/// The number of data points to consider for calculation.
///
/// Thrown when the period is less than 2.
///
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();
}
///
/// Initializes a new instance of the Entropy class with a data source.
///
/// The source object that publishes data.
/// The number of data points to consider.
public Entropy(object source, int period) : this(period)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
///
/// Resets the Entropy indicator to its initial state.
///
public override void Init()
{
base.Init();
_buffer.Clear();
}
///
/// Manages the state of the indicator.
///
/// Indicates if the current data point is new.
protected override void ManageState(bool isNew)
{
if (isNew)
{
_lastValidValue = Input.Value;
_index++;
}
}
///
/// Performs the entropy calculation.
///
///
/// The calculated entropy value, normalized between 0 and 1.
/// 1 indicates maximum randomness, 0 indicates perfect predictability.
///
///
/// Uses Shannon's Entropy formula and normalizes the result based on the
/// number of unique values in the current period.
///
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; // Default to maximum entropy when insufficient data
}
IsHot = _buffer.Count >= Period;
return entropy;
}
}