[Blotter-commits] r1284 - in pkg: FinancialInstrument RTAQ quantstrat quantstrat/sandbox quantstrat/sandbox/tests
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Dec 12 19:18:30 CET 2012
Author: milktrader
Date: 2012-12-12 19:18:30 +0100 (Wed, 12 Dec 2012)
New Revision: 1284
Added:
pkg/quantstrat/sandbox/tests/
pkg/quantstrat/sandbox/tests/bbands_version_for_tests.r
pkg/quantstrat/sandbox/tests/svunit_bbands.r
pkg/quantstrat/sandbox/tests/testthat_bbands.r
Removed:
pkg/FinancialInstrument/tests/
pkg/RTAQ/tests/
pkg/quantstrat/tests/
Log:
moving tests to sandbox to centralize later
Copied: pkg/quantstrat/sandbox/tests/bbands_version_for_tests.r (from rev 1282, pkg/quantstrat/tests/bbands_version_for_tests.r)
===================================================================
--- pkg/quantstrat/sandbox/tests/bbands_version_for_tests.r (rev 0)
+++ pkg/quantstrat/sandbox/tests/bbands_version_for_tests.r 2012-12-12 18:18:30 UTC (rev 1284)
@@ -0,0 +1,97 @@
+require(quantstrat)
+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'))
+
+###################### LOAD TTRC ######################
+
+data('ttrc')
+TTRC = xts(ttrc[,-1],ttrc[,1])
+
+###################### 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=''))
Copied: pkg/quantstrat/sandbox/tests/svunit_bbands.r (from rev 1282, pkg/quantstrat/tests/svunit_bbands.r)
===================================================================
--- pkg/quantstrat/sandbox/tests/svunit_bbands.r (rev 0)
+++ pkg/quantstrat/sandbox/tests/svunit_bbands.r 2012-12-12 18:18:30 UTC (rev 1284)
@@ -0,0 +1,24 @@
+
+require(svUnit)
+
+source('bbands_version_for_tests.r')
+
+bbands = 'Testing consistent trade stats'
+
+test(bbands) = function() {
+
+ stats = tradeStats(portfolio.st)
+
+ checkEquals( stats$Num.Txns, 622)
+ checkEquals( stats$Num.Trades, 258)
+ checkEquals( stats$Net.Trading.PL, -204)
+ checkEquals( stats$Largest.Winner, 417)
+ checkEquals( stats$Largest.Loser, -824)
+ checkEquals( stats$maxDrawdown, -2618)
+}
+
+
+clearLog()
+runTest(bbands)
+Log()
+#summary(Log())
Copied: pkg/quantstrat/sandbox/tests/testthat_bbands.r (from rev 1282, pkg/quantstrat/tests/testthat_bbands.r)
===================================================================
--- pkg/quantstrat/sandbox/tests/testthat_bbands.r (rev 0)
+++ pkg/quantstrat/sandbox/tests/testthat_bbands.r 2012-12-12 18:18:30 UTC (rev 1284)
@@ -0,0 +1,55 @@
+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$Largest.Loser
+MaxDD = stratstat$maxDrawdown
+
+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('Consistency across trade statistics')
+
+test_that('Number of transactions is consistent', {
+
+ expect_that(Txns, equals(622))
+})
+
+test_that('Number of the number of trades is consistent', {
+
+ expect_that(Trades, equals(258))
+})
+
+test_that('Net Trading PL is consistent', {
+
+ expect_that(NetPL, equals(-204))
+})
+
+test_that('Largest Winner is consistent', {
+
+ expect_that(LWinner, equals(417))
+})
+
+test_that('Largest Loser is consistent', {
+
+ expect_that(LLoser, equals(-824))
+})
+
+test_that('Max Drawdown is consistent', {
+
+ expect_that(MaxDD, equals(-2618 ))
+
+})
+
+
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