价格分段横跨K线数处理的熵值指标

价格分段横跨K线数处理的熵值指标

把最近30个交易日k线跨过的价格区间分成10段，每段价格横穿k线个数来求取概率，再根据10段区间概率去计算熵值结果。

HHN:=HHV(H,30);
LLN:=LLV(L,30);
UNIT:=(HHN-LLN)/10;
HL0:=LLN;
HL1:=LLN+UNIT;
HL2:=LLN+2*UNIT;
HL3:=LLN+3*UNIT;
HL4:=LLN+4*UNIT;
HL5:=LLN+5*UNIT;
HL6:=LLN+6*UNIT;
HL7:=LLN+7*UNIT;
HL8:=LLN+8*UNIT;
HL9:=LLN+9*UNIT;
HL10:=HHN;
P1:=(MAX(COUNT(BETWEEN(HL0,H,L),30),COUNT(BETWEEN(HL1,H,L),30))+1)/40;
P2:=(MAX(COUNT(BETWEEN(HL1,H,L),30),COUNT(BETWEEN(HL2,H,L),30))+1)/40;
P3:=(MAX(COUNT(BETWEEN(HL2,H,L),30),COUNT(BETWEEN(HL3,H,L),30))+1)/40;
P4:=(MAX(COUNT(BETWEEN(HL3,H,L),30),COUNT(BETWEEN(HL4,H,L),30))+1)/40;
P5:=(MAX(COUNT(BETWEEN(HL4,H,L),30),COUNT(BETWEEN(HL5,H,L),30))+1)/40;
P6:=(MAX(COUNT(BETWEEN(HL5,H,L),30),COUNT(BETWEEN(HL6,H,L),30))+1)/40;
P7:=(MAX(COUNT(BETWEEN(HL6,H,L),30),COUNT(BETWEEN(HL7,H,L),30))+1)/40;
P8:=(MAX(COUNT(BETWEEN(HL7,H,L),30),COUNT(BETWEEN(HL8,H,L),30))+1)/40;
P9:=(MAX(COUNT(BETWEEN(HL8,H,L),30),COUNT(BETWEEN(HL9,H,L),30))+1)/40;
P10:=(MAX(COUNT(BETWEEN(HL9,H,L),30),COUNT(BETWEEN(HL10,H,L),30))+1)/40;
熵值:-1*(P1*LOG(P1)+P2*LOG(P2)+P3*LOG(P3)+P4*LOG(P4)+P5*LOG(P5)+P6*LOG(P6)+P7*LOG(P7)+P8*LOG(P8)+P9*LOG(P9)+P10*LOG(P10))/LOG(10);

标签： 熵值指标

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