Struct SampleEntropy 

pub struct SampleEntropy { /* private fields */ }

Sample Entropy (SampEn) — Richman & Moorman’s measure of how regular (i.e. predictable) a series is: the negative log conditional probability that two sub-sequences similar for m points stay similar at the next point.

tol = r_factor · stddev(window)
B   = # template pairs of length m   within tol   (i < j)
A   = # template pairs of length m+1 within tol   (i < j)
`SampEn` = − ln(A / B)

Low SampEn means the window is regular — patterns of length m reliably extend to length m + 1, the fingerprint of a trending or cyclic market. High SampEn means the series is irregular — knowing the last m points tells you little about the next, the fingerprint of noise. Unlike the older approximate entropy (ApEn), SampEn excludes self-matches, so it is far less biased on short windows.

The tolerance is r_factor times the window’s standard deviation, so the measure self-scales. A perfectly flat window (stddev == 0) is maximally regular and returns 0. If no length-m pairs match, the entropy is undefined and 0 is returned; if length-m pairs match but none extend, the estimator falls back to treating the unseen count as one (−ln(1/B) = ln(B)). The first value lands after period inputs; each update is O(period²).

Example

use wickra_core::{Indicator, SampleEntropy};

let mut indicator = SampleEntropy::new(50, 2, 0.2).unwrap();
let mut last = None;
for i in 0..80 {
    last = indicator.update((f64::from(i) * 0.3).sin() * 5.0);
}
assert!(last.is_some());

Implementations

impl SampleEntropy

pub fn new(period: usize, m: usize, r_factor: f64) -> Result<Self>

Construct a Sample Entropy over period values with embedding dimension m and tolerance factor r_factor.

Errors

Returns Error::PeriodZero if period or m is 0, Error::InvalidPeriod if period < m + 2 (no length-m+1 template pairs otherwise), and Error::InvalidParameter if r_factor is not finite and positive.

pub const fn params(&self) -> (usize, usize, f64)

Configured (period, m, r_factor).

pub const fn value(&self) -> Option<f64>

Current value if available.

Trait Implementations

impl Clone for SampleEntropy

fn clone(&self) -> SampleEntropy

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for SampleEntropy

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Indicator for SampleEntropy

type Input = f64

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = f64

Type of one output value.

fn update(&mut self, input: f64) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if the indicator is still warming up.

fn reset(&mut self)

Reset all internal state, leaving the indicator equivalent to a freshly constructed instance with the same parameters.

fn warmup_period(&self) -> usize

Number of inputs required before the first non-None output can be produced.

fn is_ready(&self) -> bool

Whether the indicator has emitted at least one value since the last reset.

fn name(&self) -> &'static str

Stable, human-readable indicator name. Used by chaining and diagnostics.