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braverock
GitHub Repository: braverock/portfolioanalytics
 Path: blob/master/inst/tests/test_max_Sharpe.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_Sharpe.R", package="PortfolioAnalytics"))

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context("demo_max_Sharpe")

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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 StdDev as an objective", 

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

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

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context("maxSR.lo.ROI")

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test_that("maxSR.lo.ROI objective measure mean = 0.006062083", 

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          { expect_equal(as.numeric(extractObjectiveMeasures(maxSR.lo.ROI)$mean), 0.006062083, tolerance=1e-6) })

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test_that("maxSR.lo.ROI objective measure StdDev = 0.008843188", 

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          { expect_equal(as.numeric(extractObjectiveMeasures(maxSR.lo.ROI)$StdDev), 0.008843188, tolerance=1e-6) })

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##### maxSR.lo.RP #####

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context("maxSR.lo.RP")

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

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

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

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          { expect_that(is.numeric(extractObjectiveMeasures(maxSR.lo.RP)$StdDev), is_true()) })

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##### maxSR.lo.DE #####

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context("maxSR.lo.DE")

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

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          { expect_that(is.numeric(extractObjectiveMeasures(maxSR.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(maxSR.lo.DE)$StdDev), is_true()) })

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