RobustnessCheck.R

testRobustness <- function(t = (252 * 7)) {
  # Generate an underlying signal.
  signal <- sin(seq(1, t)) / 50
  signal <- signal - mean(signal)
  
  # For different noise levels
  sds <- seq(0.0, 0.020, 0.0005)
  cratios <- c()
  for (s in sds) {
    # Generate a noisy signal
    noise <- rnorm(t, mean = 0, sd = s)
    returns <- signal + noise
    # Binarize the data.
    returns[returns < 0] <- 0
    returns[returns > 0] <- 1
    # Convert into raw hexadecimal.
    hexrets <- bin2rawhex(returns)
    # Compute the compression ratio
    cratios <- c(cratios, length(memCompress(hexrets)) / 
                   length(hexrets))
    
    # Plot the returns for the eye ball test.
    dates <- seq.Date(Sys.Date(), Sys.Date() + (252 * 7) - 1, 1)
    # plot.ts(xts(signal + noise, order.by = dates))
    
    if (s %in% c(0.010, 0.015, 0.020)) {
      charts.PerformanceSummary(xts(signal + noise, order.by = dates))
    }
  }
  
  # Plot the compression ratios.
  plot(sds, cratios)
}