tests/weight.test.R

In portfolio: Analysing Equity Portfolios

################################################################################
##
## $Id: weight.test.R 1625 2010-02-18 19:44:29Z enos $
##
## Tests for the weight function.
##
################################################################################

library(portfolio)

load("weight.test.RData")

## save(x, file = "weight.test.RData", compress = TRUE)

## assigns a value to "in.var" that is not in names(x)

trial.0 <- try(weight(x, in.var = "foo", type = "equal",
                      size = 2, sides = c("long","short")), silent = TRUE)

if(class(trial.0) == "try-error"){
  stopifnot(isTRUE(as.logical(grep("Error.*in\\.var.\\%in\\%.names",trial.0[1]))))
}

## class of x[[in.var]] is not numeric

trial.1 <- try(weight(x, in.var = "alpha.num", type = "equal",
                      size = 0, sides = c("long","short")), silent = TRUE) 

if(class(trial.1) == "try-error"){
  stopifnot(isTRUE(as.logical(grep("Error.*is\\.numeric", trial.1[1]))))
}

## Some long + short weight formation tests:

stopifnot(
          all.equal(x$out.1.1, weight(x, in.var = "in.1", type = "equal",
                                      size = 2, sides = c("long","short"))),
          all.equal(x$out.1.2, weight(x, in.var = "in.1", type = "equal",
                                      size = 3, sides = c("long","short"))),
          all.equal(x$out.1.3, weight(x, in.var = "in.1", type = "equal",
                                      size = "quintile",
                                      sides = c("long","short"))),
          all.equal(x$out.1.4, weight(x, in.var = "in.1", type = "equal",
                                      size = "tercile",
                                      sides = c("long","short"))),

          all.equal(x$out.1.5, weight(x, in.var = "in.1", type = "linear",
                                      size = "tercile",
                                      sides = c("long","short"))),
          all.equal(x$out.1.6, weight(x, in.var = "in.1", type = "sigmoid",
                                      size = "demile",
                                      sides = c("long","short"))),
          all.equal(x$out.1.7, weight(x, in.var = "in.1",
                                      type = "centroid", size = "demile",
                                      sides = c("long","short")))
          )

## The above tests repeated, but for one side only.

## Short-only:

x.s <- x
is.na(x.s) <- !is.na(x.s) & x > 0

stopifnot(
          all.equal(x.s$out.1.1, weight(x, in.var = "in.1", type = "equal",
                                        size = 2, sides = c("short"))),
          all.equal(x.s$out.1.2, weight(x, in.var = "in.1", type = "equal",
                                        size = 3, sides = c("short"))),
          all.equal(x.s$out.1.3, weight(x, in.var = "in.1", type = "equal",
                                        size = "quintile", sides = c("short"))),
          all.equal(x.s$out.1.4, weight(x, in.var = "in.1", type = "equal",
                                        size = "tercile", sides = c("short"))),
          all.equal(x.s$out.1.5, weight(x, in.var = "in.1", type = "linear",
                                        size = "tercile", sides = c("short"))),
          all.equal(x.s$out.1.6, weight(x, in.var = "in.1", type = "sigmoid",
                                        size = "demile", sides = c("short"))),
          all.equal(x.s$out.1.7, weight(x, in.var = "in.1", type = "centroid",
                                        size = "demile", sides = c("short")))
          )

## Long-only:

x.l <- x
is.na(x.l) <- !is.na(x.l) & x < 0

stopifnot(
          all.equal(x.l$out.1.1, weight(x, in.var = "in.1", type = "equal",
                                        size = 2, sides = c("long"))),
          all.equal(x.l$out.1.2, weight(x, in.var = "in.1", type = "equal",
                                        size = 3, sides = c("long"))),
          all.equal(x.l$out.1.3, weight(x, in.var = "in.1", type = "equal",
                                        size = "quintile", sides = c("long"))),
          all.equal(x.l$out.1.4, weight(x, in.var = "in.1", type = "equal",
                                        size = "tercile", sides = c("long"))),
          all.equal(x.l$out.1.5, weight(x, in.var = "in.1", type = "linear",
                                        size = "tercile", sides = c("long"))),
          all.equal(x.l$out.1.6, weight(x, in.var = "in.1", type = "sigmoid",
                                        size = "demile", sides = c("long"))),
          all.equal(x.l$out.1.7, weight(x, in.var = "in.1", type = "centroid",
                                        size = "demile", sides = c("long")))
          )