tests/testthat/test-tq_portfolio.R

In business-science/tidyquant: Tidy Quantitative Financial Analysis

#### Setup

context(paste0("Testing tq_portfolio"))
skip_if_offline()
# Get stock prices
stock_prices <- c("AAPL", "GOOG", "NFLX") %>%
    tq_get(get   = "stock.prices",
           from  = "2010-01-01",
           to    = "2015-12-31")


# Get returns for individual stock components
portfolio_monthly_returns <- stock_prices %>%
    dplyr::group_by(symbol) %>%
    tq_transmute(adjusted, periodReturn, period = "monthly")

# Method 1: Use tq_portfolio with numeric vector of weights
weights = c(0.5, 0, 0.5)
test1 <- tq_portfolio(data = portfolio_monthly_returns,
                      assets_col = symbol,
                      returns_col = monthly.returns,
                      weights = weights,
                      col_rename = NULL,
                      wealth.index = FALSE)


weights_df <- dplyr::tibble(symbol = c("AAPL", "NFLX"),
                     weights = c(0.5, 0.5))
test2 <- tq_portfolio(data = portfolio_monthly_returns,
                      assets_col = symbol,
                      returns_col = monthly.returns,
                      weights = weights_df,
                      col_rename = NULL,
                      wealth.index = FALSE)

# Test default equal weighting
test3 <- suppressMessages(
    tq_portfolio(data = portfolio_monthly_returns,
                 assets_col = symbol,
                 returns_col = monthly.returns,
                 weights = NULL,
                 col_rename = NULL,
                 wealth.index = FALSE))

equal_weights <- c(1/3, 1/3, 1/3)
test3_equivalence <- tq_portfolio(data = portfolio_monthly_returns,
                                  assets_col = symbol,
                                  returns_col = monthly.returns,
                                  weights = equal_weights,
                                  col_rename = NULL,
                                  wealth.index = FALSE)


#### Test Successes -----

test_that("Tests return equivalent tibbles", {
    # Tibble
    expect_s3_class(test1, "tbl_df")
    # Equivalence
    expect_equal(test1, test2)
    # Rows
    expect_equal(nrow(test1), 72)
})

test_that("Equal weighting works with NULL weights", {
    # Tibble
    expect_is(test3, "tbl")
    # Equivalence
    expect_equal(test3, test3_equivalence)
    # Rows
    expect_equal(nrow(test3), 72)
})