[Blotter-commits] r1722 - pkg/quantstrat/inst/tests
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Dec 11 15:44:39 CET 2015
Author: bodanker
Date: 2015-12-11 15:44:38 +0100 (Fri, 11 Dec 2015)
New Revision: 1722
Removed:
pkg/quantstrat/inst/tests/nuke_environments.R
pkg/quantstrat/inst/tests/prepend.sh
pkg/quantstrat/inst/tests/test_bbandParameters.R
pkg/quantstrat/inst/tests/test_bbands.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:
Remove "tests" that don't test anything
All the test_* files were essentially verbatim copies of the demo
test template. Therefore, they all failed and prevented any other
tests from running.
Also remove unnecessary files prepend.sh and (the very dangerous)
nuke_environments.R.
Deleted: pkg/quantstrat/inst/tests/nuke_environments.R
===================================================================
--- pkg/quantstrat/inst/tests/nuke_environments.R 2015-12-06 23:08:26 UTC (rev 1721)
+++ pkg/quantstrat/inst/tests/nuke_environments.R 2015-12-11 14:44:38 UTC (rev 1722)
@@ -1,4 +0,0 @@
-rm(list=ls(.strategy), pos=.strategy)
-rm(list=ls(.blotter), pos=.blotter)
-rm_instruments( keep.currencies = FALSE)
-rm(list=ls())
Deleted: pkg/quantstrat/inst/tests/prepend.sh
===================================================================
--- pkg/quantstrat/inst/tests/prepend.sh 2015-12-06 23:08:26 UTC (rev 1721)
+++ pkg/quantstrat/inst/tests/prepend.sh 2015-12-11 14:44:38 UTC (rev 1722)
@@ -1,5 +0,0 @@
-#!/bin/bash
-
-for file in *; do
- cp "$file" "test_$file"
-done
Deleted: pkg/quantstrat/inst/tests/test_bbandParameters.R
===================================================================
--- pkg/quantstrat/inst/tests/test_bbandParameters.R 2015-12-06 23:08:26 UTC (rev 1721)
+++ pkg/quantstrat/inst/tests/test_bbandParameters.R 2015-12-11 14:44:38 UTC (rev 1722)
@@ -1,134 +0,0 @@
-################## TEMPLATE FILL OUT ###########################
-##### ####
-##### DEMO = %s/DEMO/_the_name_of_my_demo/g ####
-##### PORTFOLIO = %s/PORTFOLIO/_the_name_of_my_portfolio/g ####
-##### STOCK = %s/STOCK/_the_name_of_my_stock/g ####
-##### ####
-################################################################
-
-################## LOAD TESTING FRAMEWORK ######################
-
-require(testthat)
-require(PortfolioAnalytics)
-
-######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
-
-options(in_test=TRUE)
-source(system.file("demo/DEMO.R", package="quantstrat"))
-
-################### DEFINE VARIABLES TO BE TESTED ##############
-
-qty = book$PORTFOLIO$STOCK[,"Order.Qty"]
-price = book$PORTFOLIO$STOCK[,"Order.Price"]
-type = book$PORTFOLIO$STOCK[,"Order.Type"]
-side = book$PORTFOLIO$STOCK[,"Order.Side"]
-status = book$PORTFOLIO$STOCK[,"Order.Status"]
-fees = book$PORTFOLIO$STOCK[,"Txn.Fees"]
-rule = book$PORTFOLIO$STOCK[,"Rule"]
-
-######################## ORDER BOOK ############################
-
-context("DEMO 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("DEMO 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$End.Equity , -36, .0001) })
-
-######################## PORTFOLIO RETURNS ######################
-
-context("DEMO portfolio returns are consistent ")
-
-test_that("min return is -0.00597",
- { expect_equal(min(rets), -0.00597, .0001) })
-test_that("max return is 0.0092",
- { expect_equal(min(rets),0.0092, .0001) })
-test_that("skewness of returns is 0.234199",
- { expect_equal(min(rets), 0.234199, .0001) })
-test_that("kurtosis of returns is 5.04833",
- { expect_equal(min(rets), 5.04833, .0001) })
Deleted: pkg/quantstrat/inst/tests/test_bbands.R
===================================================================
--- pkg/quantstrat/inst/tests/test_bbands.R 2015-12-06 23:08:26 UTC (rev 1721)
+++ pkg/quantstrat/inst/tests/test_bbands.R 2015-12-11 14:44:38 UTC (rev 1722)
@@ -1,134 +0,0 @@
-################## TEMPLATE FILL OUT ###########################
-##### ####
-##### DEMO = %s/DEMO/_the_name_of_my_demo/g ####
-##### PORTFOLIO = %s/PORTFOLIO/_the_name_of_my_portfolio/g ####
-##### STOCK = %s/STOCK/_the_name_of_my_stock/g ####
-##### ####
-################################################################
-
-################## LOAD TESTING FRAMEWORK ######################
-
-require(testthat)
-require(PortfolioAnalytics)
-
-######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
-
-options(in_test=TRUE)
-source(system.file("demo/DEMO.R", package="quantstrat"))
-
-################### DEFINE VARIABLES TO BE TESTED ##############
-
-qty = book$PORTFOLIO$STOCK[,"Order.Qty"]
-price = book$PORTFOLIO$STOCK[,"Order.Price"]
-type = book$PORTFOLIO$STOCK[,"Order.Type"]
-side = book$PORTFOLIO$STOCK[,"Order.Side"]
-status = book$PORTFOLIO$STOCK[,"Order.Status"]
-fees = book$PORTFOLIO$STOCK[,"Txn.Fees"]
-rule = book$PORTFOLIO$STOCK[,"Rule"]
-
-######################## ORDER BOOK ############################
-
-context("DEMO order book is consistent ")
-
-## quantity
-test_that("The first entry is 100",
- { expect_that(as.character(qty[2]) =="100", is_true()) })
-
-test_that("The first exit is all",
- { expect_that(as.character(qty[3]) =="all", is_true()) })
-## price
-test_that("The first entry price is 88.9",
- { expect_that(as.character(price[2]) =="88.9", is_true()) })
-
-test_that("The first exit price is 87.42",
- { expect_that(as.character(price[3]) =="87.42", is_true()) })
-## type
-test_that("The first trade is a market order",
- { expect_that(as.character(type[2]) =="market", is_true()) })
-## side
-test_that("The first trade is entered long",
- { expect_that(as.character(side[2]) =="long", is_true()) })
-## status
-test_that("The last trade is closed",
- { expect_that(as.character(status[20]) =="closed", is_true()) })
-## fees
-test_that("The first trade has no transaction fees",
- { expect_that(as.character(fees[2]) =="0", is_true()) })
-## rule
-test_that("The first transaction is an enter long",
- { expect_that(as.character(rule[2]) =="EnterLONG", is_true()) })
-
-test_that("The second transaction is an exit long",
- { expect_that(as.character(rule[3]) =="ExitLONG", is_true()) })
-
-######################## STATS #################################
-
-context("DEMO trade statistics are consistent ")
-
-test_that("Num.Txns is 19",
- { expect_that(stats$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) })
-
-######################## PORTFOLIO RETURNS ######################
-
-context("DEMO portfolio returns are consistent ")
-
-test_that("min return is -0.00597",
- { expect_equal(min(rets), -0.00597, .0001) })
-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) })
Deleted: pkg/quantstrat/inst/tests/test_faber.R
===================================================================
--- pkg/quantstrat/inst/tests/test_faber.R 2015-12-06 23:08:26 UTC (rev 1721)
+++ pkg/quantstrat/inst/tests/test_faber.R 2015-12-11 14:44:38 UTC (rev 1722)
@@ -1,134 +0,0 @@
-################## TEMPLATE FILL OUT ###########################
-##### ####
-##### DEMO = %s/DEMO/_the_name_of_my_demo/g ####
-##### PORTFOLIO = %s/PORTFOLIO/_the_name_of_my_portfolio/g ####
-##### STOCK = %s/STOCK/_the_name_of_my_stock/g ####
-##### ####
-################################################################
-
-################## LOAD TESTING FRAMEWORK ######################
-
-require(testthat)
-require(PortfolioAnalytics)
-
-######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
-
-options(in_test=TRUE)
-source(system.file("demo/DEMO.R", package="quantstrat"))
-
-################### DEFINE VARIABLES TO BE TESTED ##############
-
-qty = book$PORTFOLIO$STOCK[,"Order.Qty"]
-price = book$PORTFOLIO$STOCK[,"Order.Price"]
-type = book$PORTFOLIO$STOCK[,"Order.Type"]
-side = book$PORTFOLIO$STOCK[,"Order.Side"]
-status = book$PORTFOLIO$STOCK[,"Order.Status"]
-fees = book$PORTFOLIO$STOCK[,"Txn.Fees"]
-rule = book$PORTFOLIO$STOCK[,"Rule"]
-
-######################## ORDER BOOK ############################
-
-context("DEMO 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("DEMO 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$End.Equity , -36, .0001) })
-
-######################## PORTFOLIO RETURNS ######################
-
-context("DEMO portfolio returns are consistent ")
-
-test_that("min return is -0.00597",
- { expect_equal(min(rets), -0.00597, .0001) })
-test_that("max return is 0.0092",
- { expect_equal(min(rets),0.0092, .0001) })
-test_that("skewness of returns is 0.234199",
- { expect_equal(min(rets), 0.234199, .0001) })
-test_that("kurtosis of returns is 5.04833",
- { expect_equal(min(rets), 5.04833, .0001) })
Deleted: pkg/quantstrat/inst/tests/test_faberMC.R
===================================================================
--- pkg/quantstrat/inst/tests/test_faberMC.R 2015-12-06 23:08:26 UTC (rev 1721)
+++ pkg/quantstrat/inst/tests/test_faberMC.R 2015-12-11 14:44:38 UTC (rev 1722)
@@ -1,134 +0,0 @@
-################## TEMPLATE FILL OUT ###########################
-##### ####
-##### DEMO = %s/DEMO/_the_name_of_my_demo/g ####
-##### PORTFOLIO = %s/PORTFOLIO/_the_name_of_my_portfolio/g ####
-##### STOCK = %s/STOCK/_the_name_of_my_stock/g ####
-##### ####
-################################################################
-
-################## LOAD TESTING FRAMEWORK ######################
-
-require(testthat)
-require(PortfolioAnalytics)
-
-######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
-
-options(in_test=TRUE)
-source(system.file("demo/DEMO.R", package="quantstrat"))
-
-################### DEFINE VARIABLES TO BE TESTED ##############
-
-qty = book$PORTFOLIO$STOCK[,"Order.Qty"]
-price = book$PORTFOLIO$STOCK[,"Order.Price"]
-type = book$PORTFOLIO$STOCK[,"Order.Type"]
-side = book$PORTFOLIO$STOCK[,"Order.Side"]
-status = book$PORTFOLIO$STOCK[,"Order.Status"]
-fees = book$PORTFOLIO$STOCK[,"Txn.Fees"]
-rule = book$PORTFOLIO$STOCK[,"Rule"]
-
-######################## ORDER BOOK ############################
-
-context("DEMO order book is consistent ")
-
-## quantity
-test_that("The first entry is 100",
- { expect_that(as.character(qty[2]) =="100", is_true()) })
-
-test_that("The first exit is all",
- { expect_that(as.character(qty[3]) =="all", is_true()) })
-## price
-test_that("The first entry price is 88.9",
- { expect_that(as.character(price[2]) =="88.9", is_true()) })
-
-test_that("The first exit price is 87.42",
- { expect_that(as.character(price[3]) =="87.42", is_true()) })
-## type
-test_that("The first trade is a market order",
- { expect_that(as.character(type[2]) =="market", is_true()) })
-## side
-test_that("The first trade is entered long",
- { expect_that(as.character(side[2]) =="long", is_true()) })
-## status
-test_that("The last trade is closed",
- { expect_that(as.character(status[20]) =="closed", is_true()) })
-## fees
-test_that("The first trade has no transaction fees",
- { expect_that(as.character(fees[2]) =="0", is_true()) })
-## rule
-test_that("The first transaction is an enter long",
- { expect_that(as.character(rule[2]) =="EnterLONG", is_true()) })
-
-test_that("The second transaction is an exit long",
- { expect_that(as.character(rule[3]) =="ExitLONG", is_true()) })
-
-######################## STATS #################################
-
-context("DEMO trade statistics are consistent ")
-
-test_that("Num.Txns is 19",
- { expect_that(stats$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) })
-
-######################## PORTFOLIO RETURNS ######################
-
-context("DEMO portfolio returns are consistent ")
-
-test_that("min return is -0.00597",
- { expect_equal(min(rets), -0.00597, .0001) })
-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) })
Deleted: pkg/quantstrat/inst/tests/test_faber_rebal.R
===================================================================
--- pkg/quantstrat/inst/tests/test_faber_rebal.R 2015-12-06 23:08:26 UTC (rev 1721)
+++ pkg/quantstrat/inst/tests/test_faber_rebal.R 2015-12-11 14:44:38 UTC (rev 1722)
@@ -1,134 +0,0 @@
-################## TEMPLATE FILL OUT ###########################
-##### ####
-##### DEMO = %s/DEMO/_the_name_of_my_demo/g ####
-##### PORTFOLIO = %s/PORTFOLIO/_the_name_of_my_portfolio/g ####
-##### STOCK = %s/STOCK/_the_name_of_my_stock/g ####
-##### ####
-################################################################
-
-################## LOAD TESTING FRAMEWORK ######################
-
-require(testthat)
-require(PortfolioAnalytics)
-
-######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
-
-options(in_test=TRUE)
-source(system.file("demo/DEMO.R", package="quantstrat"))
-
-################### DEFINE VARIABLES TO BE TESTED ##############
-
-qty = book$PORTFOLIO$STOCK[,"Order.Qty"]
-price = book$PORTFOLIO$STOCK[,"Order.Price"]
-type = book$PORTFOLIO$STOCK[,"Order.Type"]
-side = book$PORTFOLIO$STOCK[,"Order.Side"]
-status = book$PORTFOLIO$STOCK[,"Order.Status"]
-fees = book$PORTFOLIO$STOCK[,"Txn.Fees"]
-rule = book$PORTFOLIO$STOCK[,"Rule"]
-
-######################## ORDER BOOK ############################
-
-context("DEMO 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("DEMO 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$End.Equity , -36, .0001) })
-
-######################## PORTFOLIO RETURNS ######################
-
-context("DEMO portfolio returns are consistent ")
-
-test_that("min return is -0.00597",
- { expect_equal(min(rets), -0.00597, .0001) })
-test_that("max return is 0.0092",
- { expect_equal(min(rets),0.0092, .0001) })
-test_that("skewness of returns is 0.234199",
- { expect_equal(min(rets), 0.234199, .0001) })
-test_that("kurtosis of returns is 5.04833",
- { expect_equal(min(rets), 5.04833, .0001) })
Deleted: pkg/quantstrat/inst/tests/test_luxor-3.11.R
===================================================================
--- pkg/quantstrat/inst/tests/test_luxor-3.11.R 2015-12-06 23:08:26 UTC (rev 1721)
+++ pkg/quantstrat/inst/tests/test_luxor-3.11.R 2015-12-11 14:44:38 UTC (rev 1722)
@@ -1,134 +0,0 @@
-################## TEMPLATE FILL OUT ###########################
-##### ####
-##### DEMO = %s/DEMO/_the_name_of_my_demo/g ####
-##### PORTFOLIO = %s/PORTFOLIO/_the_name_of_my_portfolio/g ####
-##### STOCK = %s/STOCK/_the_name_of_my_stock/g ####
-##### ####
-################################################################
-
-################## LOAD TESTING FRAMEWORK ######################
-
-require(testthat)
-require(PortfolioAnalytics)
-
-######### ACTIVATE TEST DATES AND SOURCE DEMO #####################
-
-options(in_test=TRUE)
-source(system.file("demo/DEMO.R", package="quantstrat"))
-
-################### DEFINE VARIABLES TO BE TESTED ##############
-
-qty = book$PORTFOLIO$STOCK[,"Order.Qty"]
-price = book$PORTFOLIO$STOCK[,"Order.Price"]
-type = book$PORTFOLIO$STOCK[,"Order.Type"]
-side = book$PORTFOLIO$STOCK[,"Order.Side"]
-status = book$PORTFOLIO$STOCK[,"Order.Status"]
-fees = book$PORTFOLIO$STOCK[,"Txn.Fees"]
-rule = book$PORTFOLIO$STOCK[,"Rule"]
-
-######################## ORDER BOOK ############################
-
-context("DEMO order book is consistent ")
-
-## quantity
-test_that("The first entry is 100",
- { expect_that(as.character(qty[2]) =="100", is_true()) })
-
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/blotter -r 1722
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