Choppy market index: any good ideas?

Quoting PipMeUp

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Thanks. I undestand the maths but I don't understand what are X and Y. Are they the returns of the two time series? How to apply it here? Your second link is broken.

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Quoting samkar97

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{quote} Do you know any c++ or c code available for mutual information ?

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Quoting PipMeUp

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{quote} It depends on the probability distributions of your variables. Discreet/continuous/closed form/sampled...

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      int bars=1440;
      double chop=0;
      double curvelen=0;
      string symbolname=Symbol();
 
      for(int i=bars; i>=0; i--)
        {
         curvelen+=(iHigh(symbolname,PERIOD_M1,i)-iLow(symbolname,PERIOD_M1,i));
        }
 
      double upper=iHigh(symbolname,PERIOD_M1,iHighest(symbolname,PERIOD_M1,MODE_HIGH,bars,0));
      double lower=iLow(symbolname,PERIOD_M1,iLowest(symbolname,PERIOD_M1,MODE_LOW,bars,0));
      double curverange=upper-lower;
 
      if(curvelen>0 && curverange>0)
         chop=(curvelen/curverange);