Nothing
test_that("BlancoIhleBacktest.",{
# Tests based on first 19 return data of SP500 returns from managers data set
# Success - 1
a <- c(0.034000, 0.009300, 0.009600, 0.014700, 0.025800, 0.003800,
-0.044200, 0.021100, 0.056300, 0.027600, 0.075600, -0.019800,
0.062500, 0.007800, -0.041100, 0.059700, 0.060900, 0.044800,
0.079600) # First 19 SP500 returns from managers dataset in PerformanceAnalytics
b <- c(0.03400, -0.01424, -0.00939, -0.00942, -0.00945, -0.00710, 0.01060,
0.00580, 0.00100, -0.00380, -0.00435, 0.01508, 0.01272, 0.01036,
0.03045, 0.02832, 0.02619, 0.02406, 0.02193) # Computed Using HSVaR
# at 90% confidence level
c <- c(0.03400, -0.00930, -0.00930, -0.00930, -0.00930, -0.00380, 0.04420,
0.04420, 0.04420, 0.02020, 0.02020, 0.03200, 0.03200, 0.03200,
0.04265, 0.04265, 0.04265, 0.04265, 0.04265) # Computed using HSES at
# 90% confidence level
expect_equal(26.5564, BlancoIhleBacktest(a, b, c, .9), tol=1)
})
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