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braverock
GitHub Repository: braverock/portfolioanalytics
 Path: blob/master/inst/tests/test_demo_max_STARR.R
1433 views
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##### Load packages #####

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require(testthat)

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require(PortfolioAnalytics)

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##### Source Demo Script #####

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source(system.file("demo/demo_max_STARR.R", package="PortfolioAnalytics"))

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context("demo_max_STARR")

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test_that("init.portf contains mean as an objective", 

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          { expect_that(init.portf$objectives[[1]]$name == "mean", is_true()) })

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test_that("init.portf contains ES as an objective", 

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          { expect_that(init.portf$objectives[[2]]$name == "ES", is_true()) })

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test_that("init.portf contains ES as an objective with p=0.925", 

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          { expect_equal(init.portf$objectives[[2]]$arguments$p, 0.925) })

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##### maxSR.lo.ROI #####

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context("maxSTARR.lo.ROI")

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test_that("maxSTARR.lo.ROI objective measure mean = 0.006657183", 

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          { expect_equal(as.numeric(extractObjectiveMeasures(maxSTARR.lo.ROI)$mean), 0.006657183, tolerance=1e-6) })

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test_that("maxSTARR.lo.ROI objective measure ES = 0.01394436", 

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          { expect_equal(as.numeric(extractObjectiveMeasures(maxSTARR.lo.ROI)$ES), 0.01394436, tolerance=1e-6) })

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##### maxSTARR.lo.RP #####

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context("maxSTARR.lo.RP")

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test_that("maxSTARR.lo.RP objective measure mean is numeric", 

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          { expect_that(is.numeric(extractObjectiveMeasures(maxSTARR.lo.RP)$mean), is_true()) })

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test_that("maxSTARR.lo.RP objective measure ES is numeric", 

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          { expect_that(is.numeric(extractObjectiveMeasures(maxSTARR.lo.RP)$ES), is_true()) })

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##### maxSTARR.lo.DE #####

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context("maxSTARR.lo.DE")

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test_that("maxSTARR.lo.DE objective measure mean is numeric", 

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          { expect_that(is.numeric(extractObjectiveMeasures(maxSTARR.lo.DE)$mean), is_true()) })

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test_that("maxSR.lo.DE objective measure StdDev is numeric", 

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          { expect_that(is.numeric(extractObjectiveMeasures(maxSTARR.lo.DE)$ES), is_true()) })

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