Entropy Indicator in TradeStation using Matlab: The concept of entropy

The concept of entropy was introduced by Boltzmann in order to measure the number of micro ways that a given macro state is realized. The founder of theory of communications Shannon fond that the information from the measurements depends on the number of possible outcomes out of which the one is realized. So entropy is a measure of information in data. TS.Entropy indicator estimates entropy from a real-time data stream.