[Blotter-commits] r1369 - pkg/quantstrat/inst/tests
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Jan 17 21:10:16 CET 2013
Author: milktrader
Date: 2013-01-17 21:10:15 +0100 (Thu, 17 Jan 2013)
New Revision: 1369
Added:
pkg/quantstrat/inst/tests/TEMPLATE_test_demo.R
pkg/quantstrat/inst/tests/prepend.sh
pkg/quantstrat/inst/tests/test_bbandParameters.R
pkg/quantstrat/inst/tests/test_bbands.R
pkg/quantstrat/inst/tests/test_bee.R
pkg/quantstrat/inst/tests/test_faber.R
pkg/quantstrat/inst/tests/test_faberMC.R
pkg/quantstrat/inst/tests/test_faber_rebal.R
pkg/quantstrat/inst/tests/test_luxor-3.11.R
pkg/quantstrat/inst/tests/test_luxor-3.12.R
pkg/quantstrat/inst/tests/test_luxor-3.16.R
pkg/quantstrat/inst/tests/test_luxor.1.R
pkg/quantstrat/inst/tests/test_luxor.2.R
pkg/quantstrat/inst/tests/test_luxor.3.Parameters.R
pkg/quantstrat/inst/tests/test_luxor.3.Parameters.tradegraphs.R
pkg/quantstrat/inst/tests/test_luxor.3.R
pkg/quantstrat/inst/tests/test_luxor.4.R
pkg/quantstrat/inst/tests/test_luxor.4.Timespans.R
pkg/quantstrat/inst/tests/test_luxor.4.Timespans.tradegraphs.R
pkg/quantstrat/inst/tests/test_luxor.StopLoss.R
pkg/quantstrat/inst/tests/test_luxor.StopTrailing.R
pkg/quantstrat/inst/tests/test_luxor.TakeProfit.R
pkg/quantstrat/inst/tests/test_luxor.exits.R
pkg/quantstrat/inst/tests/test_luxor.orderchains.R
pkg/quantstrat/inst/tests/test_luxor.strategy.R
pkg/quantstrat/inst/tests/test_maCross.R
pkg/quantstrat/inst/tests/test_macd.R
pkg/quantstrat/inst/tests/test_macdParameters.R
pkg/quantstrat/inst/tests/test_macdRebalancing.R
pkg/quantstrat/inst/tests/test_pair_trade.R
pkg/quantstrat/inst/tests/test_rocema.R
pkg/quantstrat/inst/tests/test_rsi.R
Log:
adding test files for every demo
Added: pkg/quantstrat/inst/tests/TEMPLATE_test_demo.R
===================================================================
--- pkg/quantstrat/inst/tests/TEMPLATE_test_demo.R (rev 0)
+++ pkg/quantstrat/inst/tests/TEMPLATE_test_demo.R 2013-01-17 20:10:15 UTC (rev 1369)
@@ -0,0 +1,153 @@
+##### PLACE THIS BLOCK AHEAD OF DATE INITS IN DEMO SCRIPT ######
+#
+# if(!exists('in_test') || !isTRUE(in_test)){
+# initDate='2005-12-31' # ensure this is demo default
+# endDate=Sys.Date() # ensure this is demo default
+# }
+################################################################
+
+##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
+#
+# book = getOrderBook(port)
+# stats = tradeStats(port)
+# rets = PortfReturns(acct)
+################################################################
+
+
+################## TEMPLATE FILL OUT ###########################
+##### ####
+##### DEMO = %s/DEMO/_the_name_of_my_demo/g ####
+##### PORTFOLIO = %s/PORTFOLIO/_the_name_of_my_portfolio/g ####
+##### STOCK = %s/STOCK/_the_name_of_my_stock/g ####
+##### ####
+################################################################
+
+################## LOAD TESTING FRAMEWORK ######################
+
+require(testthat)
+require(PortfolioAnalytics)
+
+######### INITIALIZE DATES AND SOURCE DEMO #####################
+
+in_test <- TRUE
+initDate <- "2011-01-01"
+endDate <- "2012-12-31"
+
+demo("DEMO", ask=FALSE, echo=FALSE)
+
+################### DEFINE VARIABLES TO BE TESTED ##############
+
+qty = book$PORTFOLIO$STOCK[,"Order.Qty"]
+price = book$PORTFOLIO$STOCK[,"Order.Price"]
+type = book$PORTFOLIO$STOCK[,"Order.Type"]
+side = book$PORTFOLIO$STOCK[,"Order.Side"]
+status = book$PORTFOLIO$STOCK[,"Order.Status"]
+fees = book$PORTFOLIO$STOCK[,"Txn.Fees"]
+rule = book$PORTFOLIO$STOCK[,"Rule"]
+
+######################## ORDER BOOK ############################
+
+context("DEMO order book is consistent ")
+
+## quantity
+test_that("The first entry is 100",
+ { expect_that(as.character(qty[2]) =="100", is_true()) })
+
+test_that("The first exit is all",
+ { expect_that(as.character(qty[3]) =="all", is_true()) })
+## price
+test_that("The first entry price is 88.9",
+ { expect_that(as.character(price[2]) =="88.9", is_true()) })
+
+test_that("The first exit price is 87.42",
+ { expect_that(as.character(price[3]) =="87.42", is_true()) })
+## type
+test_that("The first trade is a market order",
+ { expect_that(as.character(type[2]) =="market", is_true()) })
+## side
+test_that("The first trade is entered long",
+ { expect_that(as.character(side[2]) =="long", is_true()) })
+## status
+test_that("The last trade is closed",
+ { expect_that(as.character(status[20]) =="closed", is_true()) })
+## fees
+test_that("The first trade has no transaction fees",
+ { expect_that(as.character(fees[2]) =="0", is_true()) })
+## rule
+test_that("The first transaction is an enter long",
+ { expect_that(as.character(rule[2]) =="EnterLONG", is_true()) })
+
+test_that("The second transaction is an exit long",
+ { expect_that(as.character(rule[3]) =="ExitLONG", is_true()) })
+
+######################## STATS #################################
+
+context("DEMO trade statistics are consistent ")
+
+test_that("Num.Txns is 19",
+ { expect_that(stats$Num.Txns , equals(19)) })
+test_that("Num.Trades is 9",
+ { expect_that(stats$Num.Trades , equals(9)) })
+test_that("Net.Trading.PL is -36",
+ { expect_that(stats$Net.Trading.PL, equals(-36)) })
+test_that("Avg.Trade.PL is -4",
+ { expect_that(stats$Avg.Trade.PL, equals(-4)) })
+test_that("Med.Trade.PL is 6",
+ { expect_that(stats$Med.Trade.PL, equals(6)) })
+test_that("Largest.Winnner is 581",
+ { expect_that(stats$Largest.Winner, equals(581)) })
+test_that("Largest.Loser is -1064",
+ { expect_that(stats$Largest.Loser, equals(-1064)) })
+test_that("Gross.Profits is 1425",
+ { expect_that(stats$Gross.Profits, equals(1425)) })
+test_that("Gross.Losses is -1461",
+ { expect_that(stats$Gross.Losses, equals(-1461)) })
+test_that("Std.Dev.Trade.PL is 477.7599",
+ { expect_equal(stats$Std.Dev.Trade.PL, 477.7599, .0001) })
+test_that("Percent.Positive is 55.55556",
+ { expect_equal(stats$Percent.Positive, 55.55556, .0001) })
+test_that("Percent.Negative is 44.44444",
+ { expect_equal(stats$Percent.Negative, 44.44444, .0001) })
+test_that("Profit.Factor is 0.9753593",
+ { expect_equal(stats$Profit.Factor, 0.9753593, .0001) })
+test_that("Avg.Win.Trade is 285",
+ { expect_that(stats$Avg.Win.Trade, equals(285)) })
+test_that("Med.Win.Trade is 221",
+ { expect_that(stats$Med.Win.Trade, equals(221)) })
+test_that("Avg.Losing.Trade is -365.25",
+ { expect_that(stats$Avg.Losing.Trade, equals(-365.25)) })
+test_that("Med.Losing.Trade is -159.5",
+ { expect_that(stats$Med.Losing.Trade, equals(-159.5)) })
+test_that("Avg.Daily.PL is -4",
+ { expect_that(stats$Avg.Daily.PL, equals(-4)) })
+test_that("Med.Daily.PL is 6",
+ { expect_that(stats$Med.Daily.PL, equals(6)) })
+test_that("Std.Dev.Daily.PL is 477.7599",
+ { expect_equal(stats$Std.Dev.Daily.PL, 477.7599, .0001) })
+test_that("Max.Drawdown is -1789",
+ { expect_that(stats$Max.Drawdown, equals(-1789)) })
+test_that("Profit.to.Max.Draw is -0.02012297",
+ { expect_equal(stats$Profit.to.Max.Draw, -0.02012297, .0001) })
+test_that("Avg.WinLoss.Ratio is 0.7802875",
+ { expect_equal(stats$Avg.WinLoss.Ratio, 0.7802875, .0001) })
+test_that("Med.WinLoss.Ratio is 1.38558",
+ { expect_equal(stats$Med.WinLoss.Ratio , 1.38558, .0001) })
+test_that("Max.Equity is 390",
+ { expect_that(stats$Max.Equity , equals(390)) })
+test_that("Min.Equity is -1539",
+ { expect_equal(stats$Min.Equity , -1539, .0001) })
+test_that("End.Equity is -36",
+ { expect_equal(stats$End.Equity , -36, .0001) })
+
+######################## PORTFOLIO RETURNS ######################
+
+context("DEMO portfolio returns are consistent ")
+
+test_that("min return is -0.00597",
+ { expect_equal(min(rets), -0.00597, .0001) })
+test_that("max return is 0.0092",
+ { expect_equal(min(rets),0.0092, .0001) })
+test_that("skewness of returns is 0.234199",
+ { expect_equal(min(rets), 0.234199, .0001) })
+test_that("kurtosis of returns is 5.04833",
+ { expect_equal(min(rets), 5.04833, .0001) })
Added: pkg/quantstrat/inst/tests/prepend.sh
===================================================================
--- pkg/quantstrat/inst/tests/prepend.sh (rev 0)
+++ pkg/quantstrat/inst/tests/prepend.sh 2013-01-17 20:10:15 UTC (rev 1369)
@@ -0,0 +1,5 @@
+#!/bin/bash
+
+for file in *; do
+ cp "$file" "test_$file"
+done
Added: pkg/quantstrat/inst/tests/test_bbandParameters.R
===================================================================
--- pkg/quantstrat/inst/tests/test_bbandParameters.R (rev 0)
+++ pkg/quantstrat/inst/tests/test_bbandParameters.R 2013-01-17 20:10:15 UTC (rev 1369)
@@ -0,0 +1,154 @@
+
+##### PLACE THIS BLOCK AHEAD OF DATE INITS IN DEMO SCRIPT ######
+#
+# if(!exists('in_test') || !isTRUE(in_test)){
+# initDate='2005-12-31' # ensure this is demo default
+# endDate=Sys.Date() # ensure this is demo default
+# }
+################################################################
+
+##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
+#
+# book = getOrderBook(port)
+# stats = tradeStats(port)
+# rets = PortfReturns(acct)
+################################################################
+
+
+################## TEMPLATE FILL OUT ###########################
+##### ####
+##### DEMO = %s/DEMO/_the_name_of_my_demo/g ####
+##### PORTFOLIO = %s/PORTFOLIO/_the_name_of_my_portfolio/g ####
+##### STOCK = %s/STOCK/_the_name_of_my_stock/g ####
+##### ####
+################################################################
+
+################## LOAD TESTING FRAMEWORK ######################
+
+require(testthat)
+require(PortfolioAnalytics)
+
+######### INITIALIZE DATES AND SOURCE DEMO #####################
+
+in_test <- TRUE
+initDate <- "2011-01-01"
+endDate <- "2012-12-31"
+
+demo("DEMO", ask=FALSE, echo=FALSE)
+
+################### DEFINE VARIABLES TO BE TESTED ##############
+
+qty = book$PORTFOLIO$STOCK[,"Order.Qty"]
+price = book$PORTFOLIO$STOCK[,"Order.Price"]
+type = book$PORTFOLIO$STOCK[,"Order.Type"]
+side = book$PORTFOLIO$STOCK[,"Order.Side"]
+status = book$PORTFOLIO$STOCK[,"Order.Status"]
+fees = book$PORTFOLIO$STOCK[,"Txn.Fees"]
+rule = book$PORTFOLIO$STOCK[,"Rule"]
+
+######################## ORDER BOOK ############################
+
+context("DEMO order book is consistent ")
+
+## quantity
+test_that("The first entry is 100",
+ { expect_that(as.character(qty[2]) =="100", is_true()) })
+
+test_that("The first exit is all",
+ { expect_that(as.character(qty[3]) =="all", is_true()) })
+## price
+test_that("The first entry price is 88.9",
+ { expect_that(as.character(price[2]) =="88.9", is_true()) })
+
+test_that("The first exit price is 87.42",
+ { expect_that(as.character(price[3]) =="87.42", is_true()) })
+## type
+test_that("The first trade is a market order",
+ { expect_that(as.character(type[2]) =="market", is_true()) })
+## side
+test_that("The first trade is entered long",
+ { expect_that(as.character(side[2]) =="long", is_true()) })
+## status
+test_that("The last trade is closed",
+ { expect_that(as.character(status[20]) =="closed", is_true()) })
+## fees
+test_that("The first trade has no transaction fees",
+ { expect_that(as.character(fees[2]) =="0", is_true()) })
+## rule
+test_that("The first transaction is an enter long",
+ { expect_that(as.character(rule[2]) =="EnterLONG", is_true()) })
+
+test_that("The second transaction is an exit long",
+ { expect_that(as.character(rule[3]) =="ExitLONG", is_true()) })
+
+######################## STATS #################################
+
+context("DEMO trade statistics are consistent ")
+
+test_that("Num.Txns is 19",
+ { expect_that(stats$Num.Txns , equals(19)) })
+test_that("Num.Trades is 9",
+ { expect_that(stats$Num.Trades , equals(9)) })
+test_that("Net.Trading.PL is -36",
+ { expect_that(stats$Net.Trading.PL, equals(-36)) })
+test_that("Avg.Trade.PL is -4",
+ { expect_that(stats$Avg.Trade.PL, equals(-4)) })
+test_that("Med.Trade.PL is 6",
+ { expect_that(stats$Med.Trade.PL, equals(6)) })
+test_that("Largest.Winnner is 581",
+ { expect_that(stats$Largest.Winner, equals(581)) })
+test_that("Largest.Loser is -1064",
+ { expect_that(stats$Largest.Loser, equals(-1064)) })
+test_that("Gross.Profits is 1425",
+ { expect_that(stats$Gross.Profits, equals(1425)) })
+test_that("Gross.Losses is -1461",
+ { expect_that(stats$Gross.Losses, equals(-1461)) })
+test_that("Std.Dev.Trade.PL is 477.7599",
+ { expect_equal(stats$Std.Dev.Trade.PL, 477.7599, .0001) })
+test_that("Percent.Positive is 55.55556",
+ { expect_equal(stats$Percent.Positive, 55.55556, .0001) })
+test_that("Percent.Negative is 44.44444",
+ { expect_equal(stats$Percent.Negative, 44.44444, .0001) })
+test_that("Profit.Factor is 0.9753593",
+ { expect_equal(stats$Profit.Factor, 0.9753593, .0001) })
+test_that("Avg.Win.Trade is 285",
+ { expect_that(stats$Avg.Win.Trade, equals(285)) })
+test_that("Med.Win.Trade is 221",
+ { expect_that(stats$Med.Win.Trade, equals(221)) })
+test_that("Avg.Losing.Trade is -365.25",
+ { expect_that(stats$Avg.Losing.Trade, equals(-365.25)) })
+test_that("Med.Losing.Trade is -159.5",
+ { expect_that(stats$Med.Losing.Trade, equals(-159.5)) })
+test_that("Avg.Daily.PL is -4",
+ { expect_that(stats$Avg.Daily.PL, equals(-4)) })
+test_that("Med.Daily.PL is 6",
+ { expect_that(stats$Med.Daily.PL, equals(6)) })
+test_that("Std.Dev.Daily.PL is 477.7599",
+ { expect_equal(stats$Std.Dev.Daily.PL, 477.7599, .0001) })
+test_that("Max.Drawdown is -1789",
+ { expect_that(stats$Max.Drawdown, equals(-1789)) })
+test_that("Profit.to.Max.Draw is -0.02012297",
+ { expect_equal(stats$Profit.to.Max.Draw, -0.02012297, .0001) })
+test_that("Avg.WinLoss.Ratio is 0.7802875",
+ { expect_equal(stats$Avg.WinLoss.Ratio, 0.7802875, .0001) })
+test_that("Med.WinLoss.Ratio is 1.38558",
+ { expect_equal(stats$Med.WinLoss.Ratio , 1.38558, .0001) })
+test_that("Max.Equity is 390",
+ { expect_that(stats$Max.Equity , equals(390)) })
+test_that("Min.Equity is -1539",
+ { expect_equal(stats$Min.Equity , -1539, .0001) })
+test_that("End.Equity is -36",
+ { expect_equal(stats$End.Equity , -36, .0001) })
+
+######################## PORTFOLIO RETURNS ######################
+
+context("DEMO portfolio returns are consistent ")
+
+test_that("min return is -0.00597",
+ { expect_equal(min(rets), -0.00597, .0001) })
+test_that("max return is 0.0092",
+ { expect_equal(min(rets),0.0092, .0001) })
+test_that("skewness of returns is 0.234199",
+ { expect_equal(min(rets), 0.234199, .0001) })
+test_that("kurtosis of returns is 5.04833",
+ { expect_equal(min(rets), 5.04833, .0001) })
Added: pkg/quantstrat/inst/tests/test_bbands.R
===================================================================
--- pkg/quantstrat/inst/tests/test_bbands.R (rev 0)
+++ pkg/quantstrat/inst/tests/test_bbands.R 2013-01-17 20:10:15 UTC (rev 1369)
@@ -0,0 +1,154 @@
+
+##### PLACE THIS BLOCK AHEAD OF DATE INITS IN DEMO SCRIPT ######
+#
+# if(!exists('in_test') || !isTRUE(in_test)){
+# initDate='2005-12-31' # ensure this is demo default
+# endDate=Sys.Date() # ensure this is demo default
+# }
+################################################################
+
+##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
+#
+# book = getOrderBook(port)
+# stats = tradeStats(port)
+# rets = PortfReturns(acct)
+################################################################
+
+
+################## TEMPLATE FILL OUT ###########################
+##### ####
+##### DEMO = %s/DEMO/_the_name_of_my_demo/g ####
+##### PORTFOLIO = %s/PORTFOLIO/_the_name_of_my_portfolio/g ####
+##### STOCK = %s/STOCK/_the_name_of_my_stock/g ####
+##### ####
+################################################################
+
+################## LOAD TESTING FRAMEWORK ######################
+
+require(testthat)
+require(PortfolioAnalytics)
+
+######### INITIALIZE DATES AND SOURCE DEMO #####################
+
+in_test <- TRUE
+initDate <- "2011-01-01"
+endDate <- "2012-12-31"
+
+demo("DEMO", ask=FALSE, echo=FALSE)
+
+################### DEFINE VARIABLES TO BE TESTED ##############
+
+qty = book$PORTFOLIO$STOCK[,"Order.Qty"]
+price = book$PORTFOLIO$STOCK[,"Order.Price"]
+type = book$PORTFOLIO$STOCK[,"Order.Type"]
+side = book$PORTFOLIO$STOCK[,"Order.Side"]
+status = book$PORTFOLIO$STOCK[,"Order.Status"]
+fees = book$PORTFOLIO$STOCK[,"Txn.Fees"]
+rule = book$PORTFOLIO$STOCK[,"Rule"]
+
+######################## ORDER BOOK ############################
+
+context("DEMO order book is consistent ")
+
+## quantity
+test_that("The first entry is 100",
+ { expect_that(as.character(qty[2]) =="100", is_true()) })
+
+test_that("The first exit is all",
+ { expect_that(as.character(qty[3]) =="all", is_true()) })
+## price
+test_that("The first entry price is 88.9",
+ { expect_that(as.character(price[2]) =="88.9", is_true()) })
+
+test_that("The first exit price is 87.42",
+ { expect_that(as.character(price[3]) =="87.42", is_true()) })
+## type
+test_that("The first trade is a market order",
+ { expect_that(as.character(type[2]) =="market", is_true()) })
+## side
+test_that("The first trade is entered long",
+ { expect_that(as.character(side[2]) =="long", is_true()) })
+## status
+test_that("The last trade is closed",
+ { expect_that(as.character(status[20]) =="closed", is_true()) })
+## fees
+test_that("The first trade has no transaction fees",
+ { expect_that(as.character(fees[2]) =="0", is_true()) })
+## rule
+test_that("The first transaction is an enter long",
+ { expect_that(as.character(rule[2]) =="EnterLONG", is_true()) })
+
+test_that("The second transaction is an exit long",
+ { expect_that(as.character(rule[3]) =="ExitLONG", is_true()) })
+
+######################## STATS #################################
+
+context("DEMO trade statistics are consistent ")
+
+test_that("Num.Txns is 19",
+ { expect_that(stats$Num.Txns , equals(19)) })
+test_that("Num.Trades is 9",
+ { expect_that(stats$Num.Trades , equals(9)) })
+test_that("Net.Trading.PL is -36",
+ { expect_that(stats$Net.Trading.PL, equals(-36)) })
+test_that("Avg.Trade.PL is -4",
+ { expect_that(stats$Avg.Trade.PL, equals(-4)) })
+test_that("Med.Trade.PL is 6",
+ { expect_that(stats$Med.Trade.PL, equals(6)) })
+test_that("Largest.Winnner is 581",
+ { expect_that(stats$Largest.Winner, equals(581)) })
+test_that("Largest.Loser is -1064",
+ { expect_that(stats$Largest.Loser, equals(-1064)) })
+test_that("Gross.Profits is 1425",
+ { expect_that(stats$Gross.Profits, equals(1425)) })
+test_that("Gross.Losses is -1461",
+ { expect_that(stats$Gross.Losses, equals(-1461)) })
+test_that("Std.Dev.Trade.PL is 477.7599",
+ { expect_equal(stats$Std.Dev.Trade.PL, 477.7599, .0001) })
+test_that("Percent.Positive is 55.55556",
+ { expect_equal(stats$Percent.Positive, 55.55556, .0001) })
+test_that("Percent.Negative is 44.44444",
+ { expect_equal(stats$Percent.Negative, 44.44444, .0001) })
+test_that("Profit.Factor is 0.9753593",
+ { expect_equal(stats$Profit.Factor, 0.9753593, .0001) })
+test_that("Avg.Win.Trade is 285",
+ { expect_that(stats$Avg.Win.Trade, equals(285)) })
+test_that("Med.Win.Trade is 221",
+ { expect_that(stats$Med.Win.Trade, equals(221)) })
+test_that("Avg.Losing.Trade is -365.25",
+ { expect_that(stats$Avg.Losing.Trade, equals(-365.25)) })
+test_that("Med.Losing.Trade is -159.5",
+ { expect_that(stats$Med.Losing.Trade, equals(-159.5)) })
+test_that("Avg.Daily.PL is -4",
+ { expect_that(stats$Avg.Daily.PL, equals(-4)) })
+test_that("Med.Daily.PL is 6",
+ { expect_that(stats$Med.Daily.PL, equals(6)) })
+test_that("Std.Dev.Daily.PL is 477.7599",
+ { expect_equal(stats$Std.Dev.Daily.PL, 477.7599, .0001) })
+test_that("Max.Drawdown is -1789",
+ { expect_that(stats$Max.Drawdown, equals(-1789)) })
+test_that("Profit.to.Max.Draw is -0.02012297",
+ { expect_equal(stats$Profit.to.Max.Draw, -0.02012297, .0001) })
+test_that("Avg.WinLoss.Ratio is 0.7802875",
+ { expect_equal(stats$Avg.WinLoss.Ratio, 0.7802875, .0001) })
+test_that("Med.WinLoss.Ratio is 1.38558",
+ { expect_equal(stats$Med.WinLoss.Ratio , 1.38558, .0001) })
+test_that("Max.Equity is 390",
+ { expect_that(stats$Max.Equity , equals(390)) })
+test_that("Min.Equity is -1539",
+ { expect_equal(stats$Min.Equity , -1539, .0001) })
+test_that("End.Equity is -36",
+ { expect_equal(stats$End.Equity , -36, .0001) })
+
+######################## PORTFOLIO RETURNS ######################
+
+context("DEMO portfolio returns are consistent ")
+
+test_that("min return is -0.00597",
+ { expect_equal(min(rets), -0.00597, .0001) })
+test_that("max return is 0.0092",
+ { expect_equal(min(rets),0.0092, .0001) })
+test_that("skewness of returns is 0.234199",
+ { expect_equal(min(rets), 0.234199, .0001) })
+test_that("kurtosis of returns is 5.04833",
+ { expect_equal(min(rets), 5.04833, .0001) })
Added: pkg/quantstrat/inst/tests/test_bee.R
===================================================================
--- pkg/quantstrat/inst/tests/test_bee.R (rev 0)
+++ pkg/quantstrat/inst/tests/test_bee.R 2013-01-17 20:10:15 UTC (rev 1369)
@@ -0,0 +1,154 @@
+
+##### PLACE THIS BLOCK AHEAD OF DATE INITS IN DEMO SCRIPT ######
+#
+# if(!exists('in_test') || !isTRUE(in_test)){
+# initDate='2005-12-31' # ensure this is demo default
+# endDate=Sys.Date() # ensure this is demo default
+# }
+################################################################
+
+##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
+#
+# book = getOrderBook(port)
+# stats = tradeStats(port)
+# rets = PortfReturns(acct)
+################################################################
+
+
+################## TEMPLATE FILL OUT ###########################
+##### ####
+##### DEMO = %s/DEMO/_the_name_of_my_demo/g ####
+##### PORTFOLIO = %s/PORTFOLIO/_the_name_of_my_portfolio/g ####
+##### STOCK = %s/STOCK/_the_name_of_my_stock/g ####
+##### ####
+################################################################
+
+################## LOAD TESTING FRAMEWORK ######################
+
+require(testthat)
+require(PortfolioAnalytics)
+
+######### INITIALIZE DATES AND SOURCE DEMO #####################
+
+in_test <- TRUE
+initDate <- "2011-01-01"
+endDate <- "2012-12-31"
+
+demo("DEMO", ask=FALSE, echo=FALSE)
+
+################### DEFINE VARIABLES TO BE TESTED ##############
+
+qty = book$PORTFOLIO$STOCK[,"Order.Qty"]
+price = book$PORTFOLIO$STOCK[,"Order.Price"]
+type = book$PORTFOLIO$STOCK[,"Order.Type"]
+side = book$PORTFOLIO$STOCK[,"Order.Side"]
+status = book$PORTFOLIO$STOCK[,"Order.Status"]
+fees = book$PORTFOLIO$STOCK[,"Txn.Fees"]
+rule = book$PORTFOLIO$STOCK[,"Rule"]
+
+######################## ORDER BOOK ############################
+
+context("DEMO order book is consistent ")
+
+## quantity
+test_that("The first entry is 100",
+ { expect_that(as.character(qty[2]) =="100", is_true()) })
+
+test_that("The first exit is all",
+ { expect_that(as.character(qty[3]) =="all", is_true()) })
+## price
+test_that("The first entry price is 88.9",
+ { expect_that(as.character(price[2]) =="88.9", is_true()) })
+
+test_that("The first exit price is 87.42",
+ { expect_that(as.character(price[3]) =="87.42", is_true()) })
+## type
+test_that("The first trade is a market order",
+ { expect_that(as.character(type[2]) =="market", is_true()) })
+## side
+test_that("The first trade is entered long",
+ { expect_that(as.character(side[2]) =="long", is_true()) })
+## status
+test_that("The last trade is closed",
+ { expect_that(as.character(status[20]) =="closed", is_true()) })
+## fees
+test_that("The first trade has no transaction fees",
+ { expect_that(as.character(fees[2]) =="0", is_true()) })
+## rule
+test_that("The first transaction is an enter long",
+ { expect_that(as.character(rule[2]) =="EnterLONG", is_true()) })
+
+test_that("The second transaction is an exit long",
+ { expect_that(as.character(rule[3]) =="ExitLONG", is_true()) })
+
+######################## STATS #################################
+
+context("DEMO trade statistics are consistent ")
+
+test_that("Num.Txns is 19",
+ { expect_that(stats$Num.Txns , equals(19)) })
+test_that("Num.Trades is 9",
+ { expect_that(stats$Num.Trades , equals(9)) })
+test_that("Net.Trading.PL is -36",
+ { expect_that(stats$Net.Trading.PL, equals(-36)) })
+test_that("Avg.Trade.PL is -4",
+ { expect_that(stats$Avg.Trade.PL, equals(-4)) })
+test_that("Med.Trade.PL is 6",
+ { expect_that(stats$Med.Trade.PL, equals(6)) })
+test_that("Largest.Winnner is 581",
+ { expect_that(stats$Largest.Winner, equals(581)) })
+test_that("Largest.Loser is -1064",
+ { expect_that(stats$Largest.Loser, equals(-1064)) })
+test_that("Gross.Profits is 1425",
+ { expect_that(stats$Gross.Profits, equals(1425)) })
+test_that("Gross.Losses is -1461",
+ { expect_that(stats$Gross.Losses, equals(-1461)) })
+test_that("Std.Dev.Trade.PL is 477.7599",
+ { expect_equal(stats$Std.Dev.Trade.PL, 477.7599, .0001) })
+test_that("Percent.Positive is 55.55556",
+ { expect_equal(stats$Percent.Positive, 55.55556, .0001) })
+test_that("Percent.Negative is 44.44444",
+ { expect_equal(stats$Percent.Negative, 44.44444, .0001) })
+test_that("Profit.Factor is 0.9753593",
+ { expect_equal(stats$Profit.Factor, 0.9753593, .0001) })
+test_that("Avg.Win.Trade is 285",
+ { expect_that(stats$Avg.Win.Trade, equals(285)) })
+test_that("Med.Win.Trade is 221",
+ { expect_that(stats$Med.Win.Trade, equals(221)) })
+test_that("Avg.Losing.Trade is -365.25",
+ { expect_that(stats$Avg.Losing.Trade, equals(-365.25)) })
+test_that("Med.Losing.Trade is -159.5",
+ { expect_that(stats$Med.Losing.Trade, equals(-159.5)) })
+test_that("Avg.Daily.PL is -4",
+ { expect_that(stats$Avg.Daily.PL, equals(-4)) })
+test_that("Med.Daily.PL is 6",
+ { expect_that(stats$Med.Daily.PL, equals(6)) })
+test_that("Std.Dev.Daily.PL is 477.7599",
+ { expect_equal(stats$Std.Dev.Daily.PL, 477.7599, .0001) })
+test_that("Max.Drawdown is -1789",
+ { expect_that(stats$Max.Drawdown, equals(-1789)) })
+test_that("Profit.to.Max.Draw is -0.02012297",
+ { expect_equal(stats$Profit.to.Max.Draw, -0.02012297, .0001) })
+test_that("Avg.WinLoss.Ratio is 0.7802875",
+ { expect_equal(stats$Avg.WinLoss.Ratio, 0.7802875, .0001) })
+test_that("Med.WinLoss.Ratio is 1.38558",
+ { expect_equal(stats$Med.WinLoss.Ratio , 1.38558, .0001) })
+test_that("Max.Equity is 390",
+ { expect_that(stats$Max.Equity , equals(390)) })
+test_that("Min.Equity is -1539",
+ { expect_equal(stats$Min.Equity , -1539, .0001) })
+test_that("End.Equity is -36",
+ { expect_equal(stats$End.Equity , -36, .0001) })
+
+######################## PORTFOLIO RETURNS ######################
+
+context("DEMO portfolio returns are consistent ")
+
+test_that("min return is -0.00597",
+ { expect_equal(min(rets), -0.00597, .0001) })
+test_that("max return is 0.0092",
+ { expect_equal(min(rets),0.0092, .0001) })
+test_that("skewness of returns is 0.234199",
+ { expect_equal(min(rets), 0.234199, .0001) })
+test_that("kurtosis of returns is 5.04833",
+ { expect_equal(min(rets), 5.04833, .0001) })
Property changes on: pkg/quantstrat/inst/tests/test_bee.R
___________________________________________________________________
Added: svn:executable
+ *
Added: pkg/quantstrat/inst/tests/test_faber.R
===================================================================
--- pkg/quantstrat/inst/tests/test_faber.R (rev 0)
+++ pkg/quantstrat/inst/tests/test_faber.R 2013-01-17 20:10:15 UTC (rev 1369)
@@ -0,0 +1,154 @@
+
+##### PLACE THIS BLOCK AHEAD OF DATE INITS IN DEMO SCRIPT ######
+#
+# if(!exists('in_test') || !isTRUE(in_test)){
+# initDate='2005-12-31' # ensure this is demo default
+# endDate=Sys.Date() # ensure this is demo default
+# }
+################################################################
+
+##### PLACE THIS BLOCK AT END OF DEMO SCRIPT ###################
+#
+# book = getOrderBook(port)
+# stats = tradeStats(port)
+# rets = PortfReturns(acct)
+################################################################
+
+
+################## TEMPLATE FILL OUT ###########################
+##### ####
+##### DEMO = %s/DEMO/_the_name_of_my_demo/g ####
+##### PORTFOLIO = %s/PORTFOLIO/_the_name_of_my_portfolio/g ####
+##### STOCK = %s/STOCK/_the_name_of_my_stock/g ####
+##### ####
+################################################################
+
+################## LOAD TESTING FRAMEWORK ######################
+
+require(testthat)
+require(PortfolioAnalytics)
+
+######### INITIALIZE DATES AND SOURCE DEMO #####################
+
+in_test <- TRUE
+initDate <- "2011-01-01"
+endDate <- "2012-12-31"
+
+demo("DEMO", ask=FALSE, echo=FALSE)
+
+################### DEFINE VARIABLES TO BE TESTED ##############
+
+qty = book$PORTFOLIO$STOCK[,"Order.Qty"]
+price = book$PORTFOLIO$STOCK[,"Order.Price"]
+type = book$PORTFOLIO$STOCK[,"Order.Type"]
+side = book$PORTFOLIO$STOCK[,"Order.Side"]
+status = book$PORTFOLIO$STOCK[,"Order.Status"]
+fees = book$PORTFOLIO$STOCK[,"Txn.Fees"]
+rule = book$PORTFOLIO$STOCK[,"Rule"]
+
+######################## ORDER BOOK ############################
+
+context("DEMO order book is consistent ")
+
+## quantity
+test_that("The first entry is 100",
+ { expect_that(as.character(qty[2]) =="100", is_true()) })
+
+test_that("The first exit is all",
+ { expect_that(as.character(qty[3]) =="all", is_true()) })
+## price
+test_that("The first entry price is 88.9",
+ { expect_that(as.character(price[2]) =="88.9", is_true()) })
+
+test_that("The first exit price is 87.42",
+ { expect_that(as.character(price[3]) =="87.42", is_true()) })
+## type
+test_that("The first trade is a market order",
+ { expect_that(as.character(type[2]) =="market", is_true()) })
+## side
+test_that("The first trade is entered long",
+ { expect_that(as.character(side[2]) =="long", is_true()) })
+## status
+test_that("The last trade is closed",
+ { expect_that(as.character(status[20]) =="closed", is_true()) })
+## fees
+test_that("The first trade has no transaction fees",
+ { expect_that(as.character(fees[2]) =="0", is_true()) })
+## rule
+test_that("The first transaction is an enter long",
+ { expect_that(as.character(rule[2]) =="EnterLONG", is_true()) })
+
+test_that("The second transaction is an exit long",
+ { expect_that(as.character(rule[3]) =="ExitLONG", is_true()) })
+
+######################## STATS #################################
+
+context("DEMO trade statistics are consistent ")
+
+test_that("Num.Txns is 19",
+ { expect_that(stats$Num.Txns , equals(19)) })
+test_that("Num.Trades is 9",
+ { expect_that(stats$Num.Trades , equals(9)) })
+test_that("Net.Trading.PL is -36",
+ { expect_that(stats$Net.Trading.PL, equals(-36)) })
+test_that("Avg.Trade.PL is -4",
+ { expect_that(stats$Avg.Trade.PL, equals(-4)) })
+test_that("Med.Trade.PL is 6",
+ { expect_that(stats$Med.Trade.PL, equals(6)) })
+test_that("Largest.Winnner is 581",
+ { expect_that(stats$Largest.Winner, equals(581)) })
+test_that("Largest.Loser is -1064",
+ { expect_that(stats$Largest.Loser, equals(-1064)) })
+test_that("Gross.Profits is 1425",
+ { expect_that(stats$Gross.Profits, equals(1425)) })
+test_that("Gross.Losses is -1461",
+ { expect_that(stats$Gross.Losses, equals(-1461)) })
+test_that("Std.Dev.Trade.PL is 477.7599",
+ { expect_equal(stats$Std.Dev.Trade.PL, 477.7599, .0001) })
+test_that("Percent.Positive is 55.55556",
+ { expect_equal(stats$Percent.Positive, 55.55556, .0001) })
+test_that("Percent.Negative is 44.44444",
+ { expect_equal(stats$Percent.Negative, 44.44444, .0001) })
+test_that("Profit.Factor is 0.9753593",
+ { expect_equal(stats$Profit.Factor, 0.9753593, .0001) })
+test_that("Avg.Win.Trade is 285",
+ { expect_that(stats$Avg.Win.Trade, equals(285)) })
+test_that("Med.Win.Trade is 221",
+ { expect_that(stats$Med.Win.Trade, equals(221)) })
+test_that("Avg.Losing.Trade is -365.25",
+ { expect_that(stats$Avg.Losing.Trade, equals(-365.25)) })
+test_that("Med.Losing.Trade is -159.5",
+ { expect_that(stats$Med.Losing.Trade, equals(-159.5)) })
+test_that("Avg.Daily.PL is -4",
+ { expect_that(stats$Avg.Daily.PL, equals(-4)) })
+test_that("Med.Daily.PL is 6",
+ { expect_that(stats$Med.Daily.PL, equals(6)) })
+test_that("Std.Dev.Daily.PL is 477.7599",
+ { expect_equal(stats$Std.Dev.Daily.PL, 477.7599, .0001) })
+test_that("Max.Drawdown is -1789",
+ { expect_that(stats$Max.Drawdown, equals(-1789)) })
+test_that("Profit.to.Max.Draw is -0.02012297",
+ { expect_equal(stats$Profit.to.Max.Draw, -0.02012297, .0001) })
+test_that("Avg.WinLoss.Ratio is 0.7802875",
+ { expect_equal(stats$Avg.WinLoss.Ratio, 0.7802875, .0001) })
+test_that("Med.WinLoss.Ratio is 1.38558",
+ { expect_equal(stats$Med.WinLoss.Ratio , 1.38558, .0001) })
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/blotter -r 1369
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