[Blotter-commits] r1379 - pkg/quantstrat/inst/tests
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Jan 22 04:37:17 CET 2013
Author: milktrader
Date: 2013-01-22 04:37:17 +0100 (Tue, 22 Jan 2013)
New Revision: 1379
Modified:
pkg/quantstrat/inst/tests/test_bee.R
Log:
bee.R has all passing tests but not verified results
Modified: pkg/quantstrat/inst/tests/test_bee.R
===================================================================
--- pkg/quantstrat/inst/tests/test_bee.R 2013-01-22 00:42:17 UTC (rev 1378)
+++ pkg/quantstrat/inst/tests/test_bee.R 2013-01-22 03:37:17 UTC (rev 1379)
@@ -20,107 +20,109 @@
######################## ORDER BOOK ############################
-context("bee order book is consistent ")
+context("Bee 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()) })
+test_that("The long position is liquidated in mid-Oct 2012",
+ { expect_that(as.character(qty[28]) =="all", is_true()) })
+test_that("A short position is intiated in mid Oct-2012",
+ { expect_that(as.character(qty[29]) =="-100", 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()) })
+test_that("The long position is exited in mid-Oct 2012 at 168.42",
+ { expect_that(as.character(price[28]) =="168.42", is_true()) })
+test_that("The last short position is intiated at 165.45",
+ { expect_that(as.character(price[33]) =="165.45", 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()) })
+test_that("The position liquidated in mid-Oct 2012 is the long one",
+ { expect_that(as.character(side[28]) =="long", is_true()) })
## status
-test_that("The last trade is closed",
- { expect_that(as.character(status[20]) =="closed", is_true()) })
+test_that("The long exit rejected when position is short",
+ { expect_that(as.character(status[21]) =="rejected", 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 run in Mar 2012 is entered short",
+ { expect_that(as.character(rule[20]) =="EnterSHORT", is_true()) })
+test_that("The run in late-July 2012 is entered long",
+ { expect_that(as.character(rule[27]) =="EnterLONG", is_true()) })
+test_that("The run in late-July 2012 is exited short",
+ { expect_that(as.character(rule[26]) =="ExitSHORT", is_true()) })
-test_that("The second transaction is an exit long",
- { expect_that(as.character(rule[3]) =="ExitLONG", is_true()) })
-
######################## STATS #################################
-context("bee trade statistics are consistent ")
+context("Bee 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$End.Equity , -36, .0001) })
+test_that("Num.Txns is 27",
+ { expect_that(stats$Num.Txns , equals(27)) })
+test_that("Num.Trades is 13",
+ { expect_that(stats$Num.Trades , equals(13)) })
+test_that("Net.Trading.PL is -4802",
+ { expect_that(stats$Net.Trading.PL, equals(-4802)) })
+test_that("Avg.Trade.PL is -360.7692",
+ { expect_equal(stats$Avg.Trade.PL, -360.7692, .0001) })
+test_that("Med.Trade.PL is -455",
+ { expect_that(stats$Med.Trade.PL, equals(-455)) })
+test_that("Largest.Winnner is 1426",
+ { expect_that(stats$Largest.Winner, equals(1426)) })
+test_that("Largest.Loser is -1324",
+ { expect_that(stats$Largest.Loser, equals(-1324)) })
+test_that("Gross.Profits is 1820",
+ { expect_that(stats$Gross.Profits, equals(1820)) })
+test_that("Gross.Losses is -6510",
+ { expect_that(stats$Gross.Losses, equals(-6510)) })
+test_that("Std.Dev.Trade.PL is 749.0479",
+ { expect_equal(stats$Std.Dev.Trade.PL, 749.0479, .0001) })
+test_that("Percent.Positive is 30.76923",
+ { expect_equal(stats$Percent.Positive, 30.76923, .0001) })
+test_that("Percent.Negative is 69.23077",
+ { expect_equal(stats$Percent.Negative, 69.23077, .0001) })
+test_that("Profit.Factor is 0.2795699",
+ { expect_equal(stats$Profit.Factor, 0.2795699, .0001) })
+test_that("Avg.Win.Trade is 455",
+ { expect_that(stats$Avg.Win.Trade, equals(455)) })
+test_that("Med.Win.Trade is 164",
+ { expect_that(stats$Med.Win.Trade, equals(164)) })
+test_that("Avg.Losing.Trade is -723.3333",
+ { expect_equal(stats$Avg.Losing.Trade, -723.3333, .0001)})
+test_that("Med.Losing.Trade is -685",
+ { expect_equal(stats$Med.Losing.Trade, -685, .0001) })
+test_that("Avg.Daily.PL is -360.7692",
+ { expect_equal(stats$Avg.Daily.PL, -360.7692, .0001) })
+test_that("Med.Daily.PL is -455",
+ { expect_that(stats$Med.Daily.PL, equals(-455)) })
+test_that("Std.Dev.Daily.PL is 749.0479",
+ { expect_equal(stats$Std.Dev.Daily.PL, 749.0479, .0001) })
+test_that("Max.Drawdown is -6253",
+ { expect_that(stats$Max.Drawdown, equals(-6253)) })
+test_that("Profit.To.Max.Draw is -0.02012297",
+ { expect_equal(stats$Profit.To.Max.Draw, -0.7679514, .0001) })
+test_that("Avg.WinLoss.Ratio is 0.6290323",
+ { expect_equal(stats$Avg.WinLoss.Ratio, 0.6290323, .0001) })
+test_that("Med.WinLoss.Ratio is 0.2394161",
+ { expect_equal(stats$Med.WinLoss.Ratio, 0.2394161, .0001) })
+test_that("Max.Equity is 1446",
+ { expect_that(stats$Max.Equity, equals(1446)) })
+test_that("Min.Equity is -4807",
+ { expect_equal(stats$Min.Equity, -4807, .0001) })
+test_that("End.Equity is -4802",
+ { expect_equal(stats$End.Equity, -4802, .0001) })
######################## bug RETURNS ######################
context("bee portfolio returns are consistent ")
+
test_that("min return is -0.00597",
- { expect_equal(min(rets), -0.00597, .0001) })
+ { expect_that(min(rets),equals(-0.00597))})
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) })
+ { expect_that(max(rets), equals(0.0092))})
+test_that("skewness of returns is 0.1321215",
+ { expect_equal(skewness(rets), 0.1321215, .0001) })
+test_that("kurtosis of returns is 3.063772",
+ { expect_equal(kurtosis(rets), 3.063772, .0001) })
+
+
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