model <- function(binstr) {
    sum(2^(which(rev(unlist(strsplit(as.character(binstr), "")) == 1))-1))
}
print(model("1101000101001000100010000100110100110"))



library(emh)

# Let's simulate a simple GBM random walk.
dates <- seq.Date(Sys.Date(), Sys.Date() + 2520, 1)
gbm_walk <- emh::simulate_brownian_motion(n = 2520)
gbm_walk <- zoo::zoo(gbm_walk, dates)
plot(emh::as_levels(gbm_walk))

# Now let's print it's variance at different frequencies.
variances <- c()
for(i in 1:55) {
    suppressWarnings(variances <- c(variances,
                                    var(emh::as_frequency(gbm_walk, i)))) 
}
plot(variances)

# Let's simulate a simple noisy sin wave random walk.
dates <- seq.Date(Sys.Date(), Sys.Date() + 2520, 1)
gbm_walk <- gbm_walk + (sin(seq(1, 2521)) / 25)
gbm_walk <- zoo::zoo(gbm_walk, dates)
plot(emh::as_levels(gbm_walk))

# Now let's print it's variance at different frequencies.
variances <- c()
for(i in 1:55) {
    suppressWarnings(variances <- c(variances,
                                    var(emh::as_frequency(gbm_walk, i)))) 
}
plot(variances)

suppressMessages(library(Quandl))
Quandl.api_key("t6Rn1d5N1W6Qt4jJq_zC")
suppressMessages(library(PerformanceAnalytics))

gbm_walk <- emh::simulate_brownian_motion(drift = 0.1, n = 3780)
dates <- seq.Date(Sys.Date(), Sys.Date() + 3779, 1)
gbm_walk <- emh::as_levels(zoo::zoo(gbm_walk, dates))

PerformanceAnalytics::charts.PerformanceSummary(emh::as_returns(gbm_walk))

df_gbm_walk <- emh::is_random(gbm_walk, a = 0.9999,
                              freqs1  = seq(1, 20),
                              freqs2 = c("Mon", "Tue", "Wed", 
                                         "Thu", "Fri", "Week"))

emh:::.plot_results_frequency(df_gbm_walk)

emh:::.plot_results_test_name(df_gbm_walk)

jump_walk <- emh::simulate_merton_model(drift = 0.1, n = 3780, 
                                        jlambda = 0.4)
jump_walk <- emh::as_levels(zoo::zoo(jump_walk, dates))

PerformanceAnalytics::charts.PerformanceSummary(emh::as_returns(jump_walk))

df_jump_walk <- emh::is_random(jump_walk, a = 0.9999,
                               freqs1  = seq(1, 20),
                               freqs2 = c("Mon", "Tue", "Wed",
                                          "Thu", "Fri", "Week"))

emh:::.plot_results_frequency(df_jump_walk)

emh:::.plot_results_test_name(df_jump_walk)

usdzar <- Quandl("CURRFX/USDZAR", type = "zoo")$Rate

PerformanceAnalytics::charts.PerformanceSummary(emh::as_returns(usdzar))

df_usdzar <- emh::is_random(usdzar, a = 0.9999,
                            freqs1  = seq(1, 20),
                            freqs2 = c("Mon", "Tue", "Wed",
                                       "Thu", "Fri", "Week"))

emh:::.plot_results_frequency(df_usdzar)

emh:::.plot_results_test_name(df_usdzar)

stx40 <- Quandl("GOOG/JSE_STX40", 
                type = "zoo")$Close

PerformanceAnalytics::charts.PerformanceSummary(emh::as_returns(stx40))

df_stx40 <- emh::is_random(stx40, a = 0.9999,
                           freqs1  = seq(1, 20),
                           freqs2 = c("Mon", "Tue", "Wed", 
                                      "Thu", "Fri", "Week"))

emh:::.plot_results_frequency(df_stx40)

emh:::.plot_results_test_name(df_stx40)

stxfin <- Quandl("GOOG/JSE_STXFIN", 
                 type = "zoo")$Close

PerformanceAnalytics::charts.PerformanceSummary(emh::as_returns(stxfin))

df_stxfin <- emh::is_random(stxfin, a = 0.9999,
                            freqs1  = seq(1, 20),
                            freqs2 = c("Mon", "Tue", "Wed",
                                       "Thu", "Fri", "Week"))

emh:::.plot_results_frequency(df_stxfin)

emh:::.plot_results_test_name(df_stxfin)

stxfin_logrets <- emh::as_logreturns(stxfin)
stxfin_sim <- emh::simulate_permutation(logrets = stxfin_logrets, 
                                        window = 126)
stxfin_logrets <- head(stxfin_logrets, length(stxfin_logrets) - 14)

PerformanceAnalytics::charts.PerformanceSummary(merge(exp(stxfin_logrets)-1, 
                                                      exp(stxfin_sim)-1))

# Just so you believe me, here are the moments:
suppressMessages(library(moments))
for(i in seq(1, 5)) {
    print(paste(moment(stxfin_logrets, i) == 
                moment(stxfin_sim, i),
                moment(stxfin_logrets, i)))
}

df_stxfin_sim <- emh::is_random(emh::as_levels(stxfin_sim), 
                                a = 0.9999,
                                freqs1  = seq(1, 20),
                                freqs2 = c("Mon", "Tue", "Wed", 
                                           "Thu", "Fri", "Week"))

emh:::.plot_results_frequency(df_stxfin_sim)

emh:::.plot_results_test_name(df_stxfin_sim)