[Returnanalytics-commits] r3753 - pkg/Dowd/tests/testthat

[noreply at r-forge.r-project.org]

Author: dacharya
Date: 2015-06-28 10:16:18 +0200 (Sun, 28 Jun 2015)
New Revision: 3753

Added:
   pkg/Dowd/tests/testthat/testLopezBacktest.R
Log:
Test for Lopez Backtest.

Added: pkg/Dowd/tests/testthat/testLopezBacktest.R
===================================================================
--- pkg/Dowd/tests/testthat/testLopezBacktest.R	                        (rev 0)
+++ pkg/Dowd/tests/testthat/testLopezBacktest.R	2015-06-28 08:16:18 UTC (rev 3753)
@@ -0,0 +1,16 @@
+test_that("Lopez Backtest.",{
+  
+  # Tests based on first 19 return data of SP500 returns from managers data set
+  # Success - 1 
+  a <- c(0.034000,  0.009300,  0.009600,  0.014700,  0.025800,  0.003800, 
+         -0.044200,  0.021100,  0.056300,  0.027600,  0.075600, -0.019800,
+         0.062500,  0.007800, -0.041100,  0.059700,  0.060900,  0.044800,
+         0.079600) # First 19 SP500 returns from managers dataset in PerformanceAnalytics
+  b <- c(0.03400, -0.01424, -0.00939, -0.00942, -0.00945, -0.00710,  0.01060,
+         0.00580,  0.00100, -0.00380, -0.00435,  0.01508,  0.01272,  0.01036,
+         0.03045,  0.02832,  0.02619,  0.02406,  0.02193) # Computed Using HSVaR
+  # at 90% confidence level
+  
+  expect_equal(15.4116, LopezBacktest(a, b, .9), tol=1)
+  
+})
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