NormXASampEn {Trading} | R Documentation |
Normalized Cross Sample Entropy
Description
Calculates the Normalized Cross Sample Entropy of the track records of two assets/strategies based on the sample entropy.
Usage
NormXASampEn(x, y, m = 2, r = 0.2)
Arguments
x |
a vector containing the track record of the underlying asset/strategy, this will be normalized during the algorithm |
y |
a vector containing the track record of the underlying asset/strategy, this 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
A value containing the NormXASampEn
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Lopez de Prado, Marcos, Codependence (Presentation Slides) (January 2, 2020). Available at SSRN: https://ssrn.com/abstract=3512994
Examples
x = PerformanceAnalytics::edhec[,c("Short Selling")]
y = PerformanceAnalytics::edhec[,c("Convertible Arbitrage")]
Normalized_Cross_Sample_Entropy = NormXASampEn(x, y, m=2, r=0.2)
[Package Trading version 3.0 Index]