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Entropy Momentum Filter [EMF] -FibonacciFlux
Entropy Momentum Filter [EMF]
What it does
Measures directional conviction in price action using Shannon entropy of log returns. Low entropy means strong directional conviction — the market is trending. High entropy means indecision — the market is ranging or chaotic.
How it works
Key Features
How to use
Inputs
Works on all timeframes and instruments. Particularly effective as a regime filter combined with trend-following or mean-reversion strategies.
What it does
Measures directional conviction in price action using Shannon entropy of log returns. Low entropy means strong directional conviction — the market is trending. High entropy means indecision — the market is ranging or chaotic.
How it works
- Entropy Calculation: Builds a histogram of log returns over a rolling lookback window, then computes Shannon entropy H = -sum(p * ln(p))
- Normalization: Divides by ln(N) to produce a 0-1 scale where 0 = perfect order and 1 = maximum randomness
- Color Gradient: Green (low entropy, conviction) → Gray (neutral) → Red (high entropy, indecision)
- Reference Lines: 0.3 low entropy threshold, 0.5 midpoint, 0.7 high entropy threshold
Key Features
- Single clean concept — Shannon entropy applied to price changes
- Normalized 0-1 output — no parameter-dependent interpretation needed
- Built-in alert for conviction spikes (entropy drops below 0.3)
- Only 2 inputs: lookback period and histogram bin count
- Lightweight — minimal computational overhead
How to use
- Conviction filter: Only take trend-following trades when entropy is below 0.5
- Range detection: High entropy (>0.7) suggests avoid trend strategies or switch to mean-reversion
- Conviction spike alert: Built-in alert fires when entropy drops below 0.3 — strong move likely starting
- Combine with directional indicators: Use EMF as a filter on top of your existing signals
Inputs
- Lookback period (default 20) — rolling window for entropy calculation
- Histogram bins (default 10) — granularity of the return distribution
Works on all timeframes and instruments. Particularly effective as a regime filter combined with trend-following or mean-reversion strategies.
开源脚本
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FibonacciFlux: Pushing indicator boundaries. Crafting sophisticated, surprising tools via ambitious R&D.
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这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。
开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
FibonacciFlux: Pushing indicator boundaries. Crafting sophisticated, surprising tools via ambitious R&D.
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。