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Indicateurs

Invictus Trading - Market Entropy Scanner - indicateur pour MetaTrader 5

Merveil Franclain Gueko Fotsing
Merveil Franclain Gueko Fotsing

Merveil Franclain Gueko Fotsing

  • Algorithmic Trader & Quant Developer à  Invictus Trading Systems
  • Cameroun
  • 271
Invictus Trading develops high-performance algorithmic strategies engineered for precision, stability, and real-world market conditions. Combining quantitative analysis with disciplined risk management, our systems aim to deliver consistent results over time — without unrealistic promises.
2 codes
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Overview — An oscillator based on information theory (Shannon entropy) that quantifies how "ordered" versus "random" recent price movements are, on a 0–1 scale.

Main Features

  • ATR-adaptive discretization of price changes into directional symbols (no fixed pip thresholds)
  • Normalized entropy (0 = perfectly ordered/trending, 1 = maximum disorder/choppy)
  • Smoothed signal line (SMA of raw entropy) to reduce noise
  • Configurable symbol resolution (finer or coarser classification)

How It Works — Each bar's price change is classified into one of InpSymbolCount symbols based on its size relative to ATR. Over a rolling window ( InpWindowSize ), the frequency distribution of symbols is used to compute Shannon entropy, normalized by the maximum possible entropy for that symbol count.

Input Parameters

  • InpWindowSize (50) — rolling window length
  • InpSymbolCount (5) — number of discretization symbols
  • InpAtrMultiplier (0.35) — ATR fraction defining the "flat" band
  • InpAtrPeriod (14) — ATR period for the threshold
  • InpSignalSmoothing (5) — SMA period for the signal line

How to Use — Attach in a separate window below the price chart. Use low entropy readings as confirmation for trend-following signals, and high readings as a warning to avoid trend-following entries.

Use Cases — Filter to avoid trading trend-following strategies during choppy conditions; combine with the Invictus Trading Adaptive Kalman Trend for a two-part trend confirmation system.

Important Notes — This is a statistical characterization tool, not a buy/sell signal. It does not predict future entropy, only measures recent price behavior.

Version Information — v1.00, initial release.


  • caption: "Entropy falls in trending phases, rises in choppy ones."
  • caption: "Adaptive, ATR-based symbol discretization — no fixed pip thresholds."

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