[Blotter-commits] r1287 - in pkg/quantstrat: inst inst/tests sandbox
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Dec 12 23:47:25 CET 2012
Author: milktrader
Date: 2012-12-12 23:47:25 +0100 (Wed, 12 Dec 2012)
New Revision: 1287
Added:
pkg/quantstrat/inst/tests/
pkg/quantstrat/inst/tests/bbands_version_for_tests.R
pkg/quantstrat/inst/tests/bee_version_for_tests.R
pkg/quantstrat/inst/tests/testthat_bee.R
Removed:
pkg/quantstrat/sandbox/tests/
Modified:
pkg/quantstrat/inst/tests/bbands_version_for_tests.r
pkg/quantstrat/inst/tests/testthat_bbands.r
Log:
added tests for bee and moved to inst/tests
Added: pkg/quantstrat/inst/tests/bbands_version_for_tests.R
===================================================================
--- pkg/quantstrat/inst/tests/bbands_version_for_tests.R (rev 0)
+++ pkg/quantstrat/inst/tests/bbands_version_for_tests.R 2012-12-12 22:47:25 UTC (rev 1287)
@@ -0,0 +1,104 @@
+#################### 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=''))
Modified: pkg/quantstrat/inst/tests/bbands_version_for_tests.r
===================================================================
--- pkg/quantstrat/sandbox/tests/bbands_version_for_tests.r 2012-12-12 20:47:38 UTC (rev 1286)
+++ pkg/quantstrat/inst/tests/bbands_version_for_tests.r 2012-12-12 22:47:25 UTC (rev 1287)
@@ -1,9 +1,13 @@
-require(quantstrat)
+#################### CLEANUP PREVIOUS TEST ######################
-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'))
+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')
@@ -11,6 +15,7 @@
TTRC = head(TTRC, n=500)
###################### DEFINE VARIABLES #################
+
SD = 2
N = 20
currency('USD')
Added: pkg/quantstrat/inst/tests/bee_version_for_tests.R
===================================================================
--- pkg/quantstrat/inst/tests/bee_version_for_tests.R (rev 0)
+++ pkg/quantstrat/inst/tests/bee_version_for_tests.R 2012-12-12 22:47:25 UTC (rev 1287)
@@ -0,0 +1,136 @@
+
+#################### 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])
+
+############################# DEFINE VARIABLES ##############################
+
+sym = head(TTRC, n=500)
+port = 'bug'
+acct = 'colony'
+initEq = 100000
+initDate = '1984-12-31'
+fast = 10
+slow = 30
+sd = 0.5
+
+
+############################# INITIALIZE ####################################
+
+currency('USD')
+stock('sym' ,currency='USD', multiplier=1)
+initPortf(port, 'sym', initDate=initDate)
+initAcct(acct, port, initEq=initEq, initDate=initDate)
+initOrders(port, initDate=initDate )
+bee = strategy(port)
+
+############################# MAX POSITION LOGIC ############################
+
+addPosLimit(
+ portfolio=port,
+ symbol='sym',
+ timestamp=initDate,
+ maxpos=100)
+
+
+############################# INDICATORS ####################################
+
+bee <- add.indicator(
+ strategy = bee,
+ name = 'BBands',
+ arguments = list(HLC=quote(HLC(mktdata)),
+ n=slow,
+ sd=sd))
+
+bee <- add.indicator(
+ strategy = bee,
+ name = 'SMA',
+ arguments = list(x=quote(Cl(mktdata)),
+ n=fast),
+ label = 'fast' )
+
+############################# SIGNALS #######################################
+
+bee <- add.signal(
+ strategy = bee,
+ name = 'sigCrossover',
+ arguments = list(columns=c('fast','dn'),
+ relationship='lt'),
+ label = 'fast.lt.dn')
+
+bee <- add.signal(
+ strategy = bee,
+ name = 'sigCrossover',
+ arguments = list(columns=c('fast','up'),
+ relationship='gt'),
+ label = 'fast.gt.up')
+
+############################# RULES #########################################
+
+bee <- add.rule(
+ strategy = bee,
+ name = 'ruleSignal',
+ arguments = list(sigcol = 'fast.gt.up',
+ sigval = TRUE,
+ orderqty = 100,
+ ordertype = 'market',
+ orderside = 'long',
+ osFUN = 'osMaxPos'),
+
+ type = 'enter',
+ label = 'EnterLONG')
+
+bee <- add.rule(
+ strategy = bee,
+ name = 'ruleSignal',
+ arguments = list(sigcol = 'fast.lt.dn',
+ sigval = TRUE,
+ orderqty = 'all',
+ ordertype = 'market',
+ orderside = 'long'),
+ type = 'exit',
+ label = 'ExitLONG')
+
+bee <- add.rule(
+ strategy = bee,
+ name = 'ruleSignal',
+ arguments = list(sigcol = 'fast.lt.dn',
+ sigval = TRUE,
+ orderqty = -100,
+ ordertype = 'market',
+ orderside = 'short',
+ osFUN = 'osMaxPos'),
+ type = 'enter',
+ label = 'EnterSHORT')
+
+bee <- add.rule(
+ strategy = bee,
+ name = 'ruleSignal',
+ arguments = list(sigcol = 'fast.gt.up',
+ sigval = TRUE,
+ orderqty = 'all',
+ ordertype = 'market',
+ orderside = 'short'),
+ type = 'exit',
+ label = 'ExitSHORT')
+
+############################# APPLY STRATEGY ################################
+
+applyStrategy(bee, port, prefer='Open', verbose=FALSE)
+
+############################# UPDATE ########################################
+
+updatePortf(port, 'sym', Date=paste('::',as.Date(Sys.time()),sep=''))
+
+
Property changes on: pkg/quantstrat/inst/tests/bee_version_for_tests.R
___________________________________________________________________
Added: svn:executable
+ *
Modified: pkg/quantstrat/inst/tests/testthat_bbands.r
===================================================================
--- pkg/quantstrat/sandbox/tests/testthat_bbands.r 2012-12-12 20:47:38 UTC (rev 1286)
+++ pkg/quantstrat/inst/tests/testthat_bbands.r 2012-12-12 22:47:25 UTC (rev 1287)
@@ -19,7 +19,7 @@
######################## RUN TEST SUITE #######################
-context('Consistency across trade statistics')
+context('Consistent trade statistics for bbands.R')
test_that('Number of transactions is consistent', {
Added: pkg/quantstrat/inst/tests/testthat_bee.R
===================================================================
--- pkg/quantstrat/inst/tests/testthat_bee.R (rev 0)
+++ pkg/quantstrat/inst/tests/testthat_bee.R 2012-12-12 22:47:25 UTC (rev 1287)
@@ -0,0 +1,60 @@
+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
+
+
+suppressWarnings(rm(list=bing))
+suppressWarnings(rm(list=bang, pos=.strategy))
+suppressWarnings(rm(list=boom, 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))
+
+})
+
+
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