[Blotter-commits] r1368 - in pkg: blotter/R quantstrat/inst/tests
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Jan 17 14:45:20 CET 2013
Author: milktrader
Date: 2013-01-17 14:45:20 +0100 (Thu, 17 Jan 2013)
New Revision: 1368
Removed:
pkg/quantstrat/inst/tests/blue.R
Modified:
pkg/blotter/R/tradeStats.R
pkg/quantstrat/inst/tests/test_yellow.R
Log:
removed tradeStat stubbed stats and testing of them
Modified: pkg/blotter/R/tradeStats.R
===================================================================
--- pkg/blotter/R/tradeStats.R 2013-01-17 01:54:22 UTC (rev 1367)
+++ pkg/blotter/R/tradeStats.R 2013-01-17 13:45:20 UTC (rev 1368)
@@ -222,12 +222,6 @@
Med.WinLoss.Ratio = MedWinLoss,
Max.Equity = MaxEquity,
Min.Equity = MinEquity,
-# Buy.And.Hold = BuyAndHold,
-# Time.In.Market = TimeInMarket
-# RINA.Index = RINAIndex
-# Sharpe.Ratio = SharpeRatio,
-# Sortino.Ratio = SortinoRatio,
-# K.Ratio = KRatio,
End.Equity = EndEquity)
rownames(tmpret) <- symbol
ret <- rbind(ret,tmpret)
@@ -420,12 +414,6 @@
Med.WinLoss.Ratio = MedWinLoss,
Max.Equity = MaxEquity,
Min.Equity = MinEquity,
-# Buy.And.Hold = Buy.And.Hold,
-# Time.In.Market = TimeInMarket
-# RINA.Index = RINAIndex
-# Sharpe.Ratio = Sharpe.Ratio,
-# Sortino.Ratio = Sortino.Ratio,
-# K.Ratio = K.Ratio,
End.Equity = EndEquity)
return(tmpret)
}
Deleted: pkg/quantstrat/inst/tests/blue.R
===================================================================
--- pkg/quantstrat/inst/tests/blue.R 2013-01-17 01:54:22 UTC (rev 1367)
+++ pkg/quantstrat/inst/tests/blue.R 2013-01-17 13:45:20 UTC (rev 1368)
@@ -1,128 +0,0 @@
-#!/usr/bin/Rscript --vanilla
-#
-# blue.R
-#
-# this produces trade statistics that can be compared
-# with results from other frameworks
-#
-# the data is SPX daily data from 1/1/1970 to 12/31/1972
-#
-# copyright (c) 2009-2012, Algorithm Alpha, LLC
-# Licensed GPL-2
-#
-################### LOAD QUANTSTRAT #################
-
-require(quantstrat)
-
-###################### LOAD DATA ######################
-
-data(spx)
-
-############################# DEFINE VARIABLES ##############################
-
-port = 'bluePort'
-acct = 'blueAcct'
-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 )
-blue = strategy(port)
-
-############################# INDICATORS ####################################
-
-blue <- add.indicator(
- strategy = blue,
- name = 'SMA',
- arguments = list(x=quote(Cl(mktdata)),
- n=fast),
- label = 'fast' )
-
-blue <- add.indicator(
- strategy = blue,
- name = 'SMA',
- arguments = list(x=quote(Cl(mktdata)),
- n=slow),
- label = 'slow' )
-
-############################# SIGNALS #######################################
-
-blue <- add.signal(
- strategy = blue,
- name = 'sigCrossover',
- arguments = list(columns=c('fast','slow'),
- relationship='lt'),
- label = 'fast.lt.slow')
-
-blue <- add.signal(
- strategy = blue,
- name = 'sigCrossover',
- arguments = list(columns=c('fast','slow'),
- relationship='gt'),
- label = 'fast.gt.slow')
-
-############################# RULES #########################################
-
-blue <- add.rule(
- strategy = blue,
- name = 'ruleSignal',
- arguments = list(sigcol = 'fast.gt.slow',
- sigval = TRUE,
- orderqty = 100,
- ordertype = 'market',
- orderside = 'long'),
-
- type = 'enter',
- label = 'EnterLONG')
-blue <- add.rule(
- strategy = blue,
- name = 'ruleSignal',
- arguments = list(sigcol = 'fast.lt.slow',
- sigval = TRUE,
- orderqty = 'all',
- ordertype = 'market',
- orderside = 'long'),
- type = 'exit',
- label = 'ExitLONG')
-
-blue <- add.rule(
- strategy = blue,
- name = 'ruleSignal',
- arguments = list(sigcol = 'fast.lt.slow',
- sigval = TRUE,
- orderqty = -100,
- ordertype = 'market',
- orderside = 'short'),
- type = 'enter',
- label = 'EnterSHORT')
-
-blue <- add.rule(
- strategy = blue,
- name = 'ruleSignal',
- arguments = list(sigcol = 'fast.gt.slow',
- sigval = TRUE,
- orderqty = 'all',
- ordertype = 'market',
- orderside = 'short'),
- type = 'exit',
- label = 'ExitSHORT')
-
-############################# APPLY STRATEGY ################################
-
-applyStrategy(blue, port, prefer='Open', verbose=FALSE)
-
-############################# UPDATE ########################################
-
-updatePortf(port, 'spx', Date=paste('::',as.Date(Sys.time()),sep=''))
-
-########################### CONTAINERS CALLED IN TESTING #####################
-
-book = getOrderBook(port)
-
Modified: pkg/quantstrat/inst/tests/test_yellow.R
===================================================================
--- pkg/quantstrat/inst/tests/test_yellow.R 2013-01-17 01:54:22 UTC (rev 1367)
+++ pkg/quantstrat/inst/tests/test_yellow.R 2013-01-17 13:45:20 UTC (rev 1368)
@@ -1,6 +1,14 @@
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')
@@ -13,8 +21,6 @@
fees = book$yellowPort$spx[,'Txn.Fees']
rule = book$yellowPort$spx[,'Rule']
-
-
######################## ORDER BOOK ######################
context("Yellow order Book is consistent ")
@@ -109,15 +115,3 @@
test_that("End.Equity is -36",
{ expect_equal(stats$End.Equity , -36, .0001) })
-test_that("Buy.And.Hold is implemented",
- { expect_that(stats$Buy.And.Hold , equals(1)) })
-test_that("Time.In.Market is implemented",
- { expect_that(stats$Time.In.Market , equals(1)) })
-test_that("RINA.Index is implemented",
- { expect_that(stats$RINA.Index , equals(1)) })
-test_that("Sharpe.Ratio is implemented",
- { expect_that(stats$Sharpe.Ratio , equals(1)) })
-test_that("Sortino.Ratio is implemented",
- { expect_that(stats$Sortino.Ratio , equals(1)) })
-test_that("K.Ratio is implemented",
- { expect_that(stats$K.Ratio , equals(1)) })
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