[Blotter-commits] r1292 - pkg/quantstrat/inst/tests
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Dec 13 14:31:21 CET 2012
Author: milktrader
Date: 2012-12-13 14:31:21 +0100 (Thu, 13 Dec 2012)
New Revision: 1292
Removed:
pkg/quantstrat/inst/tests/bbands_version_for_tests.R
pkg/quantstrat/inst/tests/bbands_version_for_tests.r
pkg/quantstrat/inst/tests/testthat_bbands.R
pkg/quantstrat/inst/tests/testthat_bbands.r
pkg/quantstrat/inst/tests/testthat_bee.R
Log:
cleanup .r and .R mess
Deleted: pkg/quantstrat/inst/tests/bbands_version_for_tests.R
===================================================================
--- pkg/quantstrat/inst/tests/bbands_version_for_tests.R 2012-12-13 13:04:22 UTC (rev 1291)
+++ pkg/quantstrat/inst/tests/bbands_version_for_tests.R 2012-12-13 13:31:21 UTC (rev 1292)
@@ -1,104 +0,0 @@
-#################### CLEANUP PREVIOUS TEST ######################
-
-# suppressWarnings(rm(list=ls(.strategy), pos=.strategy))
-# suppressWarnings(rm(list=ls(.blotter), pos=.blotter))
-# suppressWarnings(rm(list=ls()))
-
-################### LOAD QUANTSTRAT #################
-
-suppressMessages(require(quantstrat))
-
-###################### LOAD TTRC ######################
-
-data('ttrc')
-TTRC = xts(ttrc[,-1],ttrc[,1])
-TTRC = head(TTRC, n=500)
-
-###################### DEFINE VARIABLES #################
-
-SD = 2
-N = 20
-currency('USD')
-stock('TTRC', currency='USD', multiplier=1)
-initDate='1984-12-31'
-initEq=1000000
-portfolio.st='bbands'
-account.st='bbands'
-
-############################ INITIALIZE AND POSITION LOGIC ################
-
-initPortf(portfolio.st,symbols='TTRC', initDate=initDate)
-initAcct(account.st,portfolios='bbands', initDate=initDate)
-initOrders(portfolio=portfolio.st,initDate=initDate)
-addPosLimit(portfolio.st, 'TTRC', initDate, 200, 2 ) #set max pos
-stratBBands <- strategy("bbands")
-
-############################ INDICATOR ############################
-
-stratBBands <- add.indicator(strategy = stratBBands,
- name = "BBands",
- arguments = list(HLC = quote(HLC(mktdata)),
- maType='SMA'))
-
-
-############################ SIGNALS ##############################
-
-stratBBands <- add.signal(stratBBands,
- name="sigCrossover",
- arguments = list(columns=c("Close","up"),
- relationship="gt"),
- label="Cl.gt.UpperBand")
-
-stratBBands <- add.signal(stratBBands,
- name="sigCrossover",
- arguments = list(columns=c("Close","dn"),
- relationship="lt"),
- label="Cl.lt.LowerBand")
-
-stratBBands <- add.signal(stratBBands,
- name="sigCrossover",
- arguments = list(columns=c("High","Low","mavg"),
- relationship="op"),
- label="Cross.Mid")
-
-############################# RULES ###############################
-
-
-stratBBands <- add.rule(stratBBands,
- name='ruleSignal',
- arguments = list(sigcol="Cl.gt.UpperBand",
- sigval=TRUE,
- orderqty=-100,
- ordertype='market',
- orderside=NULL,
- threshold=NULL,
- osFUN=osMaxPos),
- type='enter')
-
-stratBBands <- add.rule(stratBBands,
- name='ruleSignal',
- arguments = list(sigcol="Cl.lt.LowerBand",
- sigval=TRUE,
- orderqty= 100,
- ordertype='market',
- orderside=NULL,
- threshold=NULL,
- osFUN=osMaxPos),
- type='enter')
-
-stratBBands <- add.rule(stratBBands,
- name='ruleSignal',
- arguments = list(sigcol="Cross.Mid",
- sigval=TRUE,
- orderqty= 'all',
- ordertype='market',
- orderside=NULL,
- threshold=NULL,
- osFUN=osMaxPos),
- type='exit')
-
-######################## APPLY STRAT ###################################################
-
-out<-try(applyStrategy(strategy=stratBBands , portfolios='bbands',parameters=list(sd=SD,n=N)) )
-
-updatePortf(Portfolio='bbands',Dates=paste('::',as.Date(Sys.time()),sep=''))
Deleted: pkg/quantstrat/inst/tests/bbands_version_for_tests.r
===================================================================
--- pkg/quantstrat/inst/tests/bbands_version_for_tests.r 2012-12-13 13:04:22 UTC (rev 1291)
+++ pkg/quantstrat/inst/tests/bbands_version_for_tests.r 2012-12-13 13:31:21 UTC (rev 1292)
@@ -1,104 +0,0 @@
-#################### CLEANUP PREVIOUS TEST ######################
-
-# suppressWarnings(rm(list=ls(.strategy), pos=.strategy))
-# suppressWarnings(rm(list=ls(.blotter), pos=.blotter))
-# suppressWarnings(rm(list=ls()))
-
-################### LOAD QUANTSTRAT #################
-
-suppressMessages(require(quantstrat))
-
-###################### LOAD TTRC ######################
-
-data('ttrc')
-TTRC = xts(ttrc[,-1],ttrc[,1])
-TTRC = head(TTRC, n=500)
-
-###################### DEFINE VARIABLES #################
-
-SD = 2
-N = 20
-currency('USD')
-stock('TTRC', currency='USD', multiplier=1)
-initDate='1984-12-31'
-initEq=1000000
-portfolio.st='bbands'
-account.st='bbands'
-
-############################ INITIALIZE AND POSITION LOGIC ################
-
-initPortf(portfolio.st,symbols='TTRC', initDate=initDate)
-initAcct(account.st,portfolios='bbands', initDate=initDate)
-initOrders(portfolio=portfolio.st,initDate=initDate)
-addPosLimit(portfolio.st, 'TTRC', initDate, 200, 2 ) #set max pos
-stratBBands <- strategy("bbands")
-
-############################ INDICATOR ############################
-
-stratBBands <- add.indicator(strategy = stratBBands,
- name = "BBands",
- arguments = list(HLC = quote(HLC(mktdata)),
- maType='SMA'))
-
-
-############################ SIGNALS ##############################
-
-stratBBands <- add.signal(stratBBands,
- name="sigCrossover",
- arguments = list(columns=c("Close","up"),
- relationship="gt"),
- label="Cl.gt.UpperBand")
-
-stratBBands <- add.signal(stratBBands,
- name="sigCrossover",
- arguments = list(columns=c("Close","dn"),
- relationship="lt"),
- label="Cl.lt.LowerBand")
-
-stratBBands <- add.signal(stratBBands,
- name="sigCrossover",
- arguments = list(columns=c("High","Low","mavg"),
- relationship="op"),
- label="Cross.Mid")
-
-############################# RULES ###############################
-
-
-stratBBands <- add.rule(stratBBands,
- name='ruleSignal',
- arguments = list(sigcol="Cl.gt.UpperBand",
- sigval=TRUE,
- orderqty=-100,
- ordertype='market',
- orderside=NULL,
- threshold=NULL,
- osFUN=osMaxPos),
- type='enter')
-
-stratBBands <- add.rule(stratBBands,
- name='ruleSignal',
- arguments = list(sigcol="Cl.lt.LowerBand",
- sigval=TRUE,
- orderqty= 100,
- ordertype='market',
- orderside=NULL,
- threshold=NULL,
- osFUN=osMaxPos),
- type='enter')
-
-stratBBands <- add.rule(stratBBands,
- name='ruleSignal',
- arguments = list(sigcol="Cross.Mid",
- sigval=TRUE,
- orderqty= 'all',
- ordertype='market',
- orderside=NULL,
- threshold=NULL,
- osFUN=osMaxPos),
- type='exit')
-
-######################## APPLY STRAT ###################################################
-
-out<-try(applyStrategy(strategy=stratBBands , portfolios='bbands',parameters=list(sd=SD,n=N)) )
-
-updatePortf(Portfolio='bbands',Dates=paste('::',as.Date(Sys.time()),sep=''))
Deleted: pkg/quantstrat/inst/tests/testthat_bbands.R
===================================================================
--- pkg/quantstrat/inst/tests/testthat_bbands.R 2012-12-13 13:04:22 UTC (rev 1291)
+++ pkg/quantstrat/inst/tests/testthat_bbands.R 2012-12-13 13:31:21 UTC (rev 1292)
@@ -1,67 +0,0 @@
-require(testthat)
-
-################## bee.r #########################
-
-source('bbands_version_for_tests.r')
-
-stratstat = tradeStats(portfolio.st)
-
-Txns = stratstat$Num.Txns
-Trades = stratstat$Num.Trades
-NetPL = stratstat$Net.Trading.PL
-LWinner = stratstat$Largest.Winner
-LLoser = stratstat$Largest.Loser
-MaxDD = stratstat$Max.Drawdown
-KFactor = stratstat$K.Factor
-RINAindex = stratstat$RINA.Index
-InMarket = stratstat$In.Market
-BuyHold = stratstat$Buy.Hold
-
-# suppressWarnings(rm("order_book.bbands",pos=.strategy))
-# suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
-
-# suppressWarnings(rm("order_book.bbands",pos=.strategy))
-# suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
-
-# suppressWarnings(rm("order_book.bbands",pos=.strategy))
-# suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
-
-# suppressWarnings(rm("order_book.bbands",pos=.strategy))
-# suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
-# suppressWarnings(rm("account.st","portfolio.st","stock.str","stratBBands","initDate","initEq",'start_t','end_t'))
-#
-######################## RUN TEST SUITE #######################
-
-context('Consistent trade statistics for bbands.R')
-
-test_that("Number of transactions is consistent",
- { expect_that(Txns, equals(51)) })
-
-test_that("Number of the number of trades is consistent",
- { expect_that(Trades, equals(21)) })
-
-test_that("Net Trading PL is consistent",
- { expect_that(NetPL, equals(46)) })
-
-test_that("Largest Winner is consistent",
- { expect_that(LWinner, equals(24)) })
-
-test_that("Largest Loser is consistent",
- { expect_that(LLoser, equals(-38)) })
-
-test_that("Max Drawdown is consistent",
- { expect_that(MaxDD, equals(-84)) })
-
-test_that("K Factor is consistent",
- { expect_that(KFactor, equals(0)) })
-
-test_that("RINA Index is consistent",
- { expect_that(RINAindex, equals(0)) })
-
-test_that("Time in Market is consistent",
- { expect_that(InMarket, equals(0)) })
-
-test_that("Buy and Hold is consistent",
- { expect_that(BuyHold, equals(0)) })
-
-
Deleted: pkg/quantstrat/inst/tests/testthat_bbands.r
===================================================================
--- pkg/quantstrat/inst/tests/testthat_bbands.r 2012-12-13 13:04:22 UTC (rev 1291)
+++ pkg/quantstrat/inst/tests/testthat_bbands.r 2012-12-13 13:31:21 UTC (rev 1292)
@@ -1,67 +0,0 @@
-require(testthat)
-
-################## bee.r #########################
-
-source('bbands_version_for_tests.r')
-
-stratstat = tradeStats(portfolio.st)
-
-Txns = stratstat$Num.Txns
-Trades = stratstat$Num.Trades
-NetPL = stratstat$Net.Trading.PL
-LWinner = stratstat$Largest.Winner
-LLoser = stratstat$Largest.Loser
-MaxDD = stratstat$Max.Drawdown
-KFactor = stratstat$K.Factor
-RINAindex = stratstat$RINA.Index
-InMarket = stratstat$In.Market
-BuyHold = stratstat$Buy.Hold
-
-# suppressWarnings(rm("order_book.bbands",pos=.strategy))
-# suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
-
-# suppressWarnings(rm("order_book.bbands",pos=.strategy))
-# suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
-
-# suppressWarnings(rm("order_book.bbands",pos=.strategy))
-# suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
-
-# suppressWarnings(rm("order_book.bbands",pos=.strategy))
-# suppressWarnings(rm("account.bbands","portfolio.bbands",pos=.blotter))
-# suppressWarnings(rm("account.st","portfolio.st","stock.str","stratBBands","initDate","initEq",'start_t','end_t'))
-#
-######################## RUN TEST SUITE #######################
-
-context('Consistent trade statistics for bbands.R')
-
-test_that("Number of transactions is consistent",
- { expect_that(Txns, equals(51)) })
-
-test_that("Number of the number of trades is consistent",
- { expect_that(Trades, equals(21)) })
-
-test_that("Net Trading PL is consistent",
- { expect_that(NetPL, equals(46)) })
-
-test_that("Largest Winner is consistent",
- { expect_that(LWinner, equals(24)) })
-
-test_that("Largest Loser is consistent",
- { expect_that(LLoser, equals(-38)) })
-
-test_that("Max Drawdown is consistent",
- { expect_that(MaxDD, equals(-84)) })
-
-test_that("K Factor is consistent",
- { expect_that(KFactor, equals(0)) })
-
-test_that("RINA Index is consistent",
- { expect_that(RINAindex, equals(0)) })
-
-test_that("Time in Market is consistent",
- { expect_that(InMarket, equals(0)) })
-
-test_that("Buy and Hold is consistent",
- { expect_that(BuyHold, equals(0)) })
-
-
Deleted: pkg/quantstrat/inst/tests/testthat_bee.R
===================================================================
--- pkg/quantstrat/inst/tests/testthat_bee.R 2012-12-13 13:04:22 UTC (rev 1291)
+++ pkg/quantstrat/inst/tests/testthat_bee.R 2012-12-13 13:31:21 UTC (rev 1292)
@@ -1,63 +0,0 @@
-require(testthat)
-
-################## bee.r #########################
-
-source("bee_version_for_tests.R")
-
-# bing = ls()
-# bang = ls(.strategy)
-# boom = ls(.blotter)
-
-stratstat = tradeStats(port)
-
-Txns = stratstat$Num.Txns
-Trades = stratstat$Num.Trades
-NetPL = stratstat$Net.Trading.PL
-LWinner = stratstat$Largest.Winner
-LLoser = stratstat$Largest.Loser
-MaxDD = stratstat$Max.Drawdown
-KFactor = stratstat$K.Factor
-RINAindex = stratstat$RINA.Index
-InMarket = stratstat$In.Market
-BuyHold = stratstat$Buy.Hold
-
-
-# suppressWarnings(rm(list=ls()))
-# suppressWarnings(rm(list=ls(), pos=.strategy))
-# suppressWarnings(rm(list=ls(), pos=.blotter))
-
-######################## RUN TEST SUITE #######################
-
-context("Consistent trade statistics for bee.R")
-
-test_that("Number of transactions is consistent",
- { expect_that(Txns, equals(24)) })
-
-test_that("Number of the number of trades is consistent",
- { expect_that(Trades, equals(16)) })
-
-test_that("Net Trading PL is consistent",
- { expect_that(NetPL, equals(63)) })
-
-test_that("Largest Winner is consistent",
- { expect_that(LWinner, equals(12)) })
-
-test_that("Largest Loser is consistent",
- { expect_that(LLoser, equals(-32)) })
-
-test_that("Max Drawdown is consistent",
- { expect_that(MaxDD, equals(-867)) })
-
-test_that("K Factor is consistent",
- { expect_that(KFactor, equals(0)) })
-
-test_that("RINA Index is consistent",
- { expect_that(RINAindex, equals(0)) })
-
-test_that("Time in Market is consistent",
- { expect_that(InMarket, equals(0)) })
-
-test_that("Buy and Hold is consistent",
- { expect_that(BuyHold, equals(0)) })
-
-
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