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) -> Self

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 there is no value for this input.

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.

fn batch_nan_into(&mut self, inputs: &[Self::Input], out: &mut [f64])

where Self::Input: Copy, Self::Output: Into<f64>,

Run the indicator over inputs, writing one output per input into the caller-owned out buffer (NaN where update returns None). It exists for every indicator whose output converts to an f64; the batch pipelines use it for the scalar f64 -> f64 ones.

fn batch_fast_into(&mut self, inputs: &[Self::Input], out: &mut [f64])

where Self::Input: Copy, Self::Output: Into<f64>,

Opt-in fast batch: like batch_nan_into, but an indicator with a vectorised kernel may reassociate its arithmetic to run it in SIMD lanes. Each value then agrees with the exact batch to within the tolerance the indicator documents (a few units in the last place), not bit for bit; warmup positions, NaN placement and the output length are identical. The kernels are deterministic: the same input produces the same bits on every platform, with or without SIMD hardware.