library(tseries)
library(entropy)

# install.packages("devtools", dependencies = T)
# library(devtools)
# install_github("cran/FinTS")
library(FinTS)

load("eurusd_m1.rdata")

WINDOW_SIZE  <- 60*24 #1 day
TOTAL_BARS_N <- round(60*24*252/12) #1 month

entropyChart    <- rep(NA, TOTAL_BARS_N) #entropy
adftestChartDF  <- rep(NA, TOTAL_BARS_N) #Dickey-Fuller
adftestChartLO  <- rep(NA, TOTAL_BARS_N) #Lag order
adftestChartP   <- rep(NA, TOTAL_BARS_N) #p-value
archtestChartCS <- rep(NA, TOTAL_BARS_N) #Chi-squared
archtestChartDF <- rep(NA, TOTAL_BARS_N) #DF
archtestChartP  <- rep(NA, TOTAL_BARS_N) #p-value

EURUSD_M1 <- tail(EURUSD_M1, TOTAL_BARS_N)
for(i in WINDOW_SIZE:TOTAL_BARS_N){
  entropyChart[i] <- entropy(EURUSD_M1[(i-WINDOW_SIZE+1):i])
  
  adf <- adf.test(EURUSD_M1[(i-WINDOW_SIZE+1):i])
  adftestChartDF[i] <- adf$statistic
  adftestChartLO[i] <- adf$parameter
  adftestChartP[i]  <- adf$p.value
  
  arch <- ArchTest(EURUSD_M1[(i-WINDOW_SIZE+1):i])
  archtestChartCS[i] <- arch$statistic
  archtestChartDF[i] <- arch$parameter
  archtestChartP[i]  <- arch$p.value
}

Scale01 <- function(x){
  xNotNA <- !is.na(x)
  if(max(x[xNotNA]) == min(x[xNotNA])){
    x[xNotNA] <- 0
    return(x)
  }
  return((x-min(x[xNotNA]))/(max(x[xNotNA])-min(x[xNotNA])))
}

entropyChart    <- Scale01(entropyChart)
adftestChartDF  <- Scale01(adftestChartDF)
adftestChartLO  <- Scale01(adftestChartLO)
adftestChartP   <- Scale01(adftestChartP)
archtestChartCS <- Scale01(archtestChartCS)
archtestChartDF <- Scale01(archtestChartDF)
archtestChartP  <- Scale01(archtestChartP)

par(mfrow=c(3,1))
plot(entropyChart, type="l", col = 1, xlab="", ylab="", ylim=c(0,1), yaxt='n', main=c("entropy (black); ArchTest Chi-squared (blue)"))
lines(archtestChartCS, col = 4)
grid()
plot(EURUSD_M1, type = "l", xlab="", ylab="", main = "EURUSD_M1")
grid()
plot(adftestChartDF, type="l", col = 1, xlab="", ylab="", ylim=c(0,1), yaxt='n', main=c("adf.test Dickey-Fuller (black); adf.test p-value (blue)"))
lines(adftestChartP, col = 4)
grid()
# adftestChartLO, archtestChartDF, archtestChartP - empty