inst/unitTests/runit.TTR.Volume.R

In TTR: Technical Trading Rules

#
# RUnit tests TTR moving averages
#

# test reclass works and throws error
# test xtsAttributes, both CLASS and USER
# test all.equal(CLASS) and !all.equal(CLASS) cases

# Create input data
data(ttrc)
rownames(ttrc) <- ttrc$Date
ttrc$Date <- NULL

#input <- list( all=ttrc[1:250,], top=ttrc[1:250,], mid=ttrc[1:250,] )
#input$top[1:10,] <- NA
#input$mid[9:20,] <- NA

#iAll <- as.matrix(ttrc[1:250,])
iAll <- ttrc[1:250,]
iTop <- iAll; iTop[1:10,] <- NA
iMid <- iAll; iMid[9:20,] <- NA

hl  <- c('High','Low')
hlc <- c('High','Low','Close')
cl  <- 'Close'

# Load output data
load(system.file("unitTests/output.volume.rda", package="TTR"))

#################################################

# On Balance Volume
test.OBV <- function() {
  checkEqualsNumeric( OBV(iAll$Close, iAll$Volume), output$allOBV )
  #checkEqualsNumeric( OBV(iTop[,cl], iTop[,'Volume']), output$topOBV )
  #checkException( OBV(iMid[,cl], iMid[,'Volume']) )
  #checkException( OBV(iAll[,cl], iMid[,'Volume']) )
  #checkException( OBV(iMid[,cl], iAll[,'Volume']) )
}

# Chaikin Accumulation / Distribution
test.chaikinAD <- function() {
  checkEqualsNumeric( chaikinAD(iAll[,hlc], iAll[,'Volume']), output$allChaikinAD )
  #checkEqualsNumeric( chaikinAD(iTop[,hlc], iTop[,'Volume']), output$topChaikinAD )
  #checkException( chaikinAD(iMid[,hlc], iMid[,'Volume']) )
  #checkException( chaikinAD(iAll[,hlc], iMid[,'Volume']) )
  #checkException( chaikinAD(iMid[,hlc], iAll[,'Volume']) )
}

# Chaikin Money Flow
test.CMF <- function() {
  ia <- iAll[,hlc];  rownames(ia) <- NULL
  it <- iTop[,hlc];  rownames(it) <- NULL
  checkEqualsNumeric( CMF(ia, iAll[,'Volume']), output$allCMF )
  checkEqualsNumeric( CMF(it, iTop[,'Volume']), output$topCMF )
  checkException( CMF(iMid[,hlc], iMid[,'Volume']) )
  checkException( CMF(iAll[,hlc], iMid[,'Volume']) )
  checkException( CMF(iMid[,hlc], iAll[,'Volume']) )
}

# Money Flow Index
test.MFI <- function() {
  ia <- iAll[,hlc];  rownames(ia) <- NULL
  it <- iTop[,hlc];  rownames(it) <- NULL
  checkEqualsNumeric( MFI(ia, iAll[,'Volume']), output$allMFI )
  checkEqualsNumeric( MFI(it, iTop[,'Volume']), output$topMFI )
  checkException( MFI(iMid[,hlc], iMid[,'Volume']) )
  checkException( MFI(iAll[,hlc], iMid[,'Volume']) )
  checkException( MFI(iMid[,hlc], iAll[,'Volume']) )
}

test.MFI.when.volume.does.not.change <- function() {
  x <- structure(c(6284.19, 6284.19, 6284.19, 6284.19, 6284.19, 6285.22,
  6285.96, 6287.54, 6287.84, 6287.89, 6288.95, 6284.19, 6284.19, 6284.19,
  6284.19, 6284.19, 6283.98, 6284.20, 6285.54, 6286.71, 6286.58, 6286.75,
  6284.19, 6284.19, 6284.19, 6284.19, 6284.19, 6284.46, 6285.54, 6287.47,
  6286.92, 6286.82, 6288.95, 9171293400, 9171293400, 9171293400, 9171293400,
  9171293400, 1650189487, 1796244384, 1864666606, 1845475611, 1831082797,
  1918533018), .Dim = c(11L, 4L))

  o <- c(NA, NA, NA, 50, 50, 100, 100, 100, 100, 66.95494, 67.27551)

  m <- MFI(x[,-4], x[,4], n = 3)
  checkEqualsNumeric(m, o)
}

# Williams' Accumulation / Distribution
test.williamsAD <- function() {
  # non-xts
  ia <- iAll[,hlc]
  it <- iTop[,hlc]
  im <- iMid[,hlc]
  rownames(ia) <- rownames(it) <- rownames(im) <- NULL
  checkEqualsNumeric( williamsAD(ia), output$allWilliamsAD )
  #checkEqualsNumeric( williamsAD(iTop[,hlc]), output$topWilliamsAD )
  #checkException( williamsAD(iMid[,hlc]) )
}