[Blotter-commits] r1726 - pkg/quantstrat/inst/tests
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Dec 14 14:09:43 CET 2015
Author: bodanker
Date: 2015-12-14 14:09:43 +0100 (Mon, 14 Dec 2015)
New Revision: 1726
Removed:
pkg/quantstrat/inst/tests/test_bee.R
Log:
Remove non-passing test
Remove test_bee, since many tests currently fail, and it did not *run*
as-of the revisions in which it was committed, where the commit log
says all tests were *passing*.
I.e., as-of r1381 the tests did not *run* due to errors. That's not to
say the tests were *failing*. The tests could not pass/fail because
subscript out of bounds errors prevented the tests from running.
Deleted: pkg/quantstrat/inst/tests/test_bee.R
===================================================================
--- pkg/quantstrat/inst/tests/test_bee.R 2015-12-14 12:59:13 UTC (rev 1725)
+++ pkg/quantstrat/inst/tests/test_bee.R 2015-12-14 13:09:43 UTC (rev 1726)
@@ -1,171 +0,0 @@
-################## LOAD TESTING FRAMEWORK ######################
-
-require(testthat)
-require(PortfolioAnalytics)
-
-######### ACTIVATE TEST DATES AND SOURCE BEE #####################
-
-options(in_test=TRUE)
-source(system.file("demo/bee.R", package="quantstrat"))
-
-################### DEFINE VARIABLES TO BE TESTED ##############
-
-qty = book$bug$GLD[,"Order.Qty"]
-price = book$bug$GLD[,"Order.Price"]
-type = book$bug$GLD[,"Order.Type"]
-side = book$bug$GLD[,"Order.Side"]
-status = book$bug$GLD[,"Order.Status"]
-fees = book$bug$GLD[,"Txn.Fees"]
-rule = book$bug$GLD[,"Rule"]
-
-Tqty = txns$Txn.Qty
-Tprice = txns$Txn.Price
-Tfees = txns$Txn.Fees
-Tvalue = txns$Txn.Value
-Tcost = txns$Txn.Cost
-TPL = txns$Txn.PL
-
-###################### BEE ORDER BOOK ############################
-
-context("Bee order book is consistent ")
-
-## quantity
-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 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 position liquidated in mid-Oct 2012 is the long one",
- { expect_that(as.character(side[28]) =="long", is_true()) })
-## status
-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 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()) })
-
-######################## BEE TRADE STATS ###############################
-
-context("Bee trade statistics are consistent ")
-
-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 2126",
- { expect_that(stats$Net.Trading.PL, equals(2126)) })
-test_that("Avg.Trade.PL is 131.3846",
- { expect_equal(stats$Avg.Trade.PL, 131.3846, .0001) })
-test_that("Med.Trade.PL is 214",
- { expect_that(stats$Med.Trade.PL, equals(214)) })
-test_that("Largest.Winnner is 1242",
- { expect_that(stats$Largest.Winner, equals(1242)) })
-test_that("Largest.Loser is -1147",
- { expect_that(stats$Largest.Loser, equals(-1147)) })
-test_that("Gross.Profits is 4458",
- { expect_that(stats$Gross.Profits, equals(4458)) })
-test_that("Gross.Losses is -2750",
- { expect_that(stats$Gross.Losses, equals(-2750)) })
-test_that("Std.Dev.Trade.PL is 688.8931",
- { expect_equal(stats$Std.Dev.Trade.PL, 688.8931, .0001) })
-test_that("Percent.Positive is 61.53846",
- { expect_equal(stats$Percent.Positive, 61.53846, .0001) })
-test_that("Percent.Negative is 38.46154",
- { expect_equal(stats$Percent.Negative, 38.46154, .0001) })
-test_that("Profit.Factor is 1.621091",
- { expect_equal(stats$Profit.Factor, 1.621091, .0001) })
-test_that("Avg.Win.Trade is 557.25",
- { expect_that(stats$Avg.Win.Trade, equals(557.25)) })
-test_that("Med.Win.Trade is 401",
- { expect_that(stats$Med.Win.Trade, equals(401)) })
-test_that("Avg.Losing.Trade is -550",
- { expect_equal(stats$Avg.Losing.Trade, -550, .0001)})
-test_that("Med.Losing.Trade is -402",
- { expect_equal(stats$Med.Losing.Trade, -402, .0001) })
-test_that("Avg.Daily.PL is 131.3846",
- { expect_equal(stats$Avg.Daily.PL, 131.3846, .0001) })
-test_that("Med.Daily.PL is 214",
- { expect_that(stats$Med.Daily.PL, equals(214)) })
-test_that("Std.Dev.Daily.PL is 688.8931",
- { expect_equal(stats$Std.Dev.Daily.PL, 688.8931, .0001) })
-test_that("Max.Drawdown is -4431",
- { expect_that(stats$Max.Drawdown, equals(-4431)) })
-test_that("Profit.To.Max.Draw is 0.4798014",
- { expect_equal(stats$Profit.To.Max.Draw, 0.4798014, .0001) })
-test_that("Avg.WinLoss.Ratio is 1.013182",
- { expect_equal(stats$Avg.WinLoss.Ratio, 1.013182, .0001) })
-test_that("Med.WinLoss.Ratio is 0.9975124",
- { expect_equal(stats$Med.WinLoss.Ratio, 0.9975124, .0001) })
-test_that("Max.Equity is 3007",
- { expect_that(stats$Max.Equity, equals(3007)) })
-test_that("Min.Equity is -1424",
- { expect_equal(stats$Min.Equity, -1424, .0001) })
-test_that("End.Equity is 2126",
- { expect_equal(stats$End.Equity, 2126, .0001) })
-
-######################## BEE RETURNS ######################
-
-context("bee portfolio returns are consistent ")
-
-
-test_that("min return is -0.00925",
- { expect_that(min(rets), equals(-0.00925))})
-test_that("max return is 0.00597",
- { expect_that(max(rets), equals(0.00597))})
-test_that("skewness of returns is -0.4637252",
- { expect_equal(skewness(rets), -0.4637252, .0001) })
-test_that("kurtosis of returns is 3.926906",
- { expect_equal(kurtosis(rets), 3.926906, .0001) })
-
-######################## BEE TRANSACTIONS ######################
-
-context("Bee transactions are consistent ")
-
-Tqty = txns$Txn.Qty
-Tprice = txns$Txn.Price
-Tfees = txns$Txn.Fees
-Tvalue = txns$Txn.Value
-Tcost = txns$Txn.Avg.Cost
-TPL = txns$Net.Txn.Realized.PL
-
-## Transaction qty
-test_that("The max position is 100 shares",
- { expect_that(max(Tqty) == 100, is_true()) })
-test_that("The min position is -100 shares",
- { expect_that(min(Tqty) == -100, is_true()) })
-## Transaction price
-test_that("The first transacted price is the open of the day after the first signal",
- { expect_that(as.numeric(Tprice[2]) == 136.92, is_true()) })
-## Transaction fees
-test_that("There are no transaction fees",
- { expect_that(sum(Tfees) == 0, is_true()) })
-## Transaction value
-test_that("The system exits and enters with equal value",
- { expect_that(as.numeric(Tvalue[3]) - as.numeric(Tvalue[4]) == 0, is_true()) })
-## Transaction cost
-test_that("The transaction cost is equal to the transaction price (no fees)",
- { expect_that(as.numeric(Tcost[2]) == as.numeric(Tprice[2]), is_true()) })
-## Transaction PL
-test_that("The Net PnL on the first trade is 1004",
- { expect_equal(as.numeric(TPL[3]), 1004, .0001) })
-test_that("The sum of Net PnL is 1708",
- { expect_equal(sum(TPL), 1708, .0001) })
-test_that("The max of Net PnL is 1242",
- { expect_equal(max(TPL), 1242, .0001) })
-test_that("The min of Net PnL is -1147",
- { expect_equal(min(TPL), -1147, .0001) })
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