Sample Entropy Meter
Sample Entropy measures how predictable a time series is from its own recent shape: for an embedding dimension m, it counts how many length-m patterns in a trailing window recur (within a tolerance r) somewhere else in that same window, then how many of those matches still hold when extended one bar further to length m+1. SampEn is -ln(A/B), where B is the m-length match count and A is the m+1-length match count. A low value means the returns series keeps repeating its own recent shape - more structure, more predictability. A high value means yesterday's pattern gives little information about what comes next. This is the actual Richman and Moorman statistic, not Approximate Entropy (ApEn) mislabelled - the distinction matters because ApEn counts self-matches and is known to be biased on short windows; SampEn excludes them deliberately, at the cost of sometimes being undefined when a window has too few matches. When that happens (B or A comes out to zero) this indicator plots nothing for that bar rather than forcing a fake 0 or an infinite value onto the chart - a divide-by-zero glossed over would be a worse answer than an honest gap. Tolerance r is scaled to the window's own standard deviation rather than fixed in absolute price terms, so a quiet symbol and a volatile one are read on a comparable footing. Notes and limitations - Computing SampEn is O(InpWindowBars^2) per bar; a very large window combined with a long chart history can make the first load noticeably slow, which is why InpMaxBarsToProcess exists. - On a window with too few repeating patterns the indicator leaves a gap rather than plotting a misleading number - this is expected behaviour on very short or unusually quiet windows, not a bug. - This measures the entropy of RETURNS, not price itself; a strongly trending market and a purely random-walk market can both show moderate-to-high SampEn, since SampEn is blind to drift/direction and only reads self-similarity of shape. - Not a repainting indicator - each bar's value depends only on bars at or before it.
Indicator · MT5 · v1.0 · Free
About Sample Entropy Meter
Sample Entropy Meter is an indicator for MetaTrader 5. It has 4 settings, such as Window bars, Embed dimension and Tolerance factor. MQL source code included.
Files in the download: SampleEntropyMeter.ex5, SampleEntropyMeter.mq5, SampleEntropyMeter.txt.
Settings
| Setting | Default | What it does |
|---|---|---|
| Window bars | 100 | Trailing returns window each SampEn value is computed from |
| Embed dimension | 2 | Template length m (published default for financial series) |
| Tolerance factor | 0.2 | Tolerance r = this factor * window's own stdev of returns |
| Max bars to process | 500 | Cap on how many bars back to (re)compute on first load |
How to install
- Download the ZIP from your PolyMaria library and unzip it.
- In MetaTrader 5 open File → Open Data Folder, then go to MQL5 → Indicators.
- Copy the .mq5 file(s) there. Put any .mqh files in MQL5 → Include.
- Open the .mq5 file in MetaEditor and press Compile (F7) if MetaTrader does not show it.
- Drag the indicator from the Navigator onto a chart and adjust the settings.
Tags: Trailing Stop & Break-even · MT5 Indicator · MQL5 Source Code