In this video we look at ordinal patterns and permutation entropy with a trading application in mind. Ordinal patterns are a useful tool for algorithmic trading. We discuss a few applications of ordinal patterns for trading system development and look at permutation entropy as a trading indicator. Permutation entropy can be useful for filtering trades. Certain strategies may perform better/worse when the entropy is high/low. Python code is shown and explained for ordinal pattern mapping and permutation entropy.


Full Code: https://github.com/neurotrader888/Per...

Citation:
Unakafova VA, Keller K. Efficiently Measuring Complexity on the Basis of Real-World Data. Entropy. 2013; 15(10):4392-4415

Link to paper (no paywall) :
https://www.mdpi.com/1099-4300/15/10/...

The content covered on this channel is NOT to be considered as any financial or investment advice. Past results are not necessarily indicative of future results. This content is purely for education/entertainment.