[Blotter-commits] r1377 - pkg/quantstrat/inst/tests
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Jan 22 01:17:25 CET 2013
Author: milktrader
Date: 2013-01-22 01:17:25 +0100 (Tue, 22 Jan 2013)
New Revision: 1377
Removed:
pkg/quantstrat/inst/tests/test_yellow.R
pkg/quantstrat/inst/tests/yellow.R
Modified:
pkg/quantstrat/inst/tests/TEMPLATE_test_demo.R
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:
fixed path for test scripts
Modified: pkg/quantstrat/inst/tests/TEMPLATE_test_demo.R
===================================================================
--- pkg/quantstrat/inst/tests/TEMPLATE_test_demo.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/TEMPLATE_test_demo.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -34,7 +34,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_bbandParameters.R
===================================================================
--- pkg/quantstrat/inst/tests/test_bbandParameters.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_bbandParameters.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_bbands.R
===================================================================
--- pkg/quantstrat/inst/tests/test_bbands.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_bbands.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_bee.R
===================================================================
--- pkg/quantstrat/inst/tests/test_bee.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_bee.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -6,7 +6,7 @@
######### ACTIVATE TEST DATES AND SOURCE BEE #####################
options(in_test=TRUE)
-source('bee.R')
+source(system.file("demo/bee.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_faber.R
===================================================================
--- pkg/quantstrat/inst/tests/test_faber.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_faber.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_faberMC.R
===================================================================
--- pkg/quantstrat/inst/tests/test_faberMC.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_faberMC.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_faber_rebal.R
===================================================================
--- pkg/quantstrat/inst/tests/test_faber_rebal.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_faber_rebal.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor-3.11.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor-3.11.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor-3.11.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor-3.12.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor-3.12.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor-3.12.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor-3.16.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor-3.16.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor-3.16.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.1.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.1.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.1.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.2.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.2.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.2.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.3.Parameters.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.3.Parameters.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.3.Parameters.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.3.Parameters.tradegraphs.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.3.Parameters.tradegraphs.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.3.Parameters.tradegraphs.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.3.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.3.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.3.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.4.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.4.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.4.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.4.Timespans.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.4.Timespans.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.4.Timespans.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.4.Timespans.tradegraphs.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.4.Timespans.tradegraphs.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.4.Timespans.tradegraphs.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.StopLoss.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.StopLoss.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.StopLoss.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.StopTrailing.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.StopTrailing.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.StopTrailing.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.TakeProfit.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.TakeProfit.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.TakeProfit.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.exits.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.exits.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.exits.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.orderchains.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.orderchains.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.orderchains.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_luxor.strategy.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor.strategy.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_luxor.strategy.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_maCross.R
===================================================================
--- pkg/quantstrat/inst/tests/test_maCross.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_maCross.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_macd.R
===================================================================
--- pkg/quantstrat/inst/tests/test_macd.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_macd.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_macdParameters.R
===================================================================
--- pkg/quantstrat/inst/tests/test_macdParameters.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_macdParameters.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_macdRebalancing.R
===================================================================
--- pkg/quantstrat/inst/tests/test_macdRebalancing.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_macdRebalancing.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_pair_trade.R
===================================================================
--- pkg/quantstrat/inst/tests/test_pair_trade.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_pair_trade.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_rocema.R
===================================================================
--- pkg/quantstrat/inst/tests/test_rocema.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_rocema.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Modified: pkg/quantstrat/inst/tests/test_rsi.R
===================================================================
--- pkg/quantstrat/inst/tests/test_rsi.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_rsi.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -14,7 +14,7 @@
######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
options(in_test=TRUE)
-source('DEMO.R')
+source(system.file("demo/DEMO.R", package="quantstrat"))
################### DEFINE VARIABLES TO BE TESTED ##############
Deleted: pkg/quantstrat/inst/tests/test_yellow.R
===================================================================
--- pkg/quantstrat/inst/tests/test_yellow.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/test_yellow.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -1,117 +0,0 @@
-require(testthat)
-#source('nuke_environments.R')
-
-################## SOURCE EXISTING DEMO ###############
-
-##### in_test <-TRUE
-##### initDate <- '1998-01-01'
-##### endDate <- '2012-12-31'
-#####
-##### demo('macross', ask=FALSE, echo=FALSE)
-#####
-######################## DEFINE VARIABLES TO BE TESTED #######
-
-source('yellow.R')
-
-qty = book$yellowPort$spx[,'Order.Qty']
-price = book$yellowPort$spx[,'Order.Price']
-type = book$yellowPort$spx[,'Order.Type']
-side = book$yellowPort$spx[,'Order.Side']
-status = book$yellowPort$spx[,'Order.Status']
-fees = book$yellowPort$spx[,'Txn.Fees']
-rule = book$yellowPort$spx[,'Rule']
-
-######################## ORDER BOOK ######################
-
-context("Yellow 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("Yellow 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) })
-
Deleted: pkg/quantstrat/inst/tests/yellow.R
===================================================================
--- pkg/quantstrat/inst/tests/yellow.R 2013-01-21 23:41:11 UTC (rev 1376)
+++ pkg/quantstrat/inst/tests/yellow.R 2013-01-22 00:17:25 UTC (rev 1377)
@@ -1,106 +0,0 @@
-#!/usr/bin/Rscript --vanilla
-
-# yellow.R
-#
-# long only simple moving average crossover
-#
-# SPX daily data is from 1/1/1970 to 12/31/1972
-#
-# copyright (c) 2009-2013, Algorithm Alpha, LLC
-# Licensed GPL-2
-#
-################### LOAD QUANTSTRAT #################
-
-require(quantstrat)
-
-###################### LOAD DATA ######################
-
-data(spx)
-
-############################# DEFINE VARIABLES ##############################
-
-port = 'yellowPort'
-acct = 'yellowAcct'
-initEq = 1e6
-initDate = '1969-12-31'
-fast = 10
-slow = 30
-
-############################# INITIALIZE ####################################
-
-currency('USD')
-stock('spx' ,currency='USD', multiplier=1)
-initPortf(port, 'spx', initDate=initDate)
-initAcct(acct, port, initEq=initEq, initDate=initDate)
-initOrders(port, initDate=initDate )
-yellow = strategy(port)
-
-############################# INDICATORS ####################################
-
-yellow <- add.indicator(
- strategy = yellow,
- name = 'SMA',
- arguments = list(x=quote(Cl(mktdata)),
- n=fast),
- label = 'fast' )
-
-yellow <- add.indicator(
- strategy = yellow,
- name = 'SMA',
- arguments = list(x=quote(Cl(mktdata)),
- n=slow),
- label = 'slow' )
-
-############################# SIGNALS #######################################
-
-yellow <- add.signal(
- strategy = yellow,
- name = 'sigCrossover',
- arguments = list(columns=c('fast','slow'),
- relationship='lt'),
- label = 'fast.lt.slow')
-
-yellow <- add.signal(
- strategy = yellow,
- name = 'sigCrossover',
- arguments = list(columns=c('fast','slow'),
- relationship='gt'),
- label = 'fast.gt.slow')
-
-############################# RULES #########################################
-
-yellow <- add.rule(
- strategy = yellow,
- name = 'ruleSignal',
- arguments = list(sigcol = 'fast.gt.slow',
- sigval = TRUE,
- orderqty = 100,
- ordertype = 'market',
- orderside = 'long'),
-
- type = 'enter',
- label = 'EnterLONG')
-yellow <- add.rule(
- strategy = yellow,
- name = 'ruleSignal',
- arguments = list(sigcol = 'fast.lt.slow',
- sigval = TRUE,
- orderqty = 'all',
- ordertype = 'market',
- orderside = 'long'),
- type = 'exit',
- label = 'ExitLONG')
-
-############################# APPLY STRATEGY ################################
-
-applyStrategy(yellow, port, prefer='Open', verbose=FALSE)
-#applyStrategy(yellow, port, verbose=FALSE)
-
-############################# UPDATE ########################################
-
-updatePortf(port, 'spx', Date=paste('::',as.Date(Sys.time()),sep=''))
-
-########################### CONTAINERS CALLED IN TESTING #####################
-
-book = getOrderBook(port)
-stats = tradeStats(port)
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