tests/unitTests/runit.TTR.Oscillators.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

# Load output data
load('unitTests/output.Oscillators.rda')

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

# MACD
test.MACD <- function() {
  checkEqualsNumeric( MACD(input$all$Close), output$allMACD )
  checkEquals( attributes(MACD(input$all$Close)), attributes(output$allMACD) )
  checkEqualsNumeric( MACD(input$top$Close), output$topMACD )
  checkEquals( attributes(MACD(input$top$Close)), attributes(output$topMACD) )
  checkException( MACD(input$mid$Close) )
}

# Stochastics
test.stoch <- function() {
  # This mess is because data.frames' attributes don't come through reclass() well
  ia <- as.matrix(input$all[,c('High','Low','Close')])
  it <- as.matrix(input$top[,c('High','Low','Close')])
  #rn <- rownames(ia)
  #rownames(ia) <- rownames(it) <- NULL
  oa <- stoch(ia); #rownames(oa) <- rn
  ot <- stoch(it); #rownames(ot) <- rn
  # End: mess
  checkEqualsNumeric( oa, output$allStoch )
  checkEquals( attributes(oa), attributes(output$allStoch) )
  checkEqualsNumeric( ot, output$topStoch )
  checkEquals( attributes(ot), attributes(output$topStoch) )
  checkException( stoch(input$mid[,c('High','Low','Close')]) )
}

# Stochastic Momentum Index
test.SMI <- function() {
  checkEqualsNumeric( SMI(input$all[,c('High','Low','Close')]), output$allSMI )
  checkEquals( attributes(SMI(input$all[,c('High','Low','Close')])), attributes(output$allSMI) )
  checkEqualsNumeric( SMI(input$top[,c('High','Low','Close')]), output$topSMI )
  checkEquals( attributes(SMI(input$top[,c('High','Low','Close')])), attributes(output$topSMI) )
  checkException( SMI(input$mid[,c('High','Low','Close')]) )
}

# Relative Strength Index
test.RSI <- function() {
  checkEqualsNumeric( RSI(input$all$Close), output$allRSI )
  checkEquals( attributes(RSI(input$all$Close)), attributes(output$allRSI) )
  checkEqualsNumeric( RSI(input$top$Close), output$topRSI )
  checkEquals( attributes(RSI(input$top$Close)), attributes(output$topRSI) )
  checkException( RSI(input$mid$Close) )
}

# Chande Momentum Oscillator
test.CMO <- function() {
  checkEqualsNumeric( CMO(input$all$Close), output$allCMO )
  checkEquals( attributes(CMO(input$all$Close)), attributes(output$allCMO) )
  checkEqualsNumeric( CMO(input$top$Close), output$topCMO )
  checkEquals( attributes(CMO(input$top$Close)), attributes(output$topCMO) )
  checkException( CMO(input$mid$Close) )
}

# De-trended Price Oscillator
test.DPO <- function() {
  checkEqualsNumeric( DPO(input$all$Close), output$allDPO )
  checkEquals( attributes(DPO(input$all$Close)), attributes(output$allDPO) )
  checkEqualsNumeric( DPO(input$top$Close), output$topDPO )
  checkEquals( attributes(DPO(input$top$Close)), attributes(output$topDPO) )
  checkException( DPO(input$mid$Close) )
}

# TRIX
test.TRIX <- function() {
  checkEqualsNumeric( TRIX(input$all$Close), output$allTRIX )
  checkEquals( attributes(TRIX(input$all$Close)), attributes(output$allTRIX) )
  checkEqualsNumeric( TRIX(input$top$Close), output$topTRIX )
  checkEquals( attributes(TRIX(input$top$Close)), attributes(output$topTRIX) )
  checkException( TRIX(input$mid$Close) )
}

# Willams' Percent R
test.WPR <- function() {
  # This mess is because data.frames' attributes don't come through reclass() well
  ia <- input$all[,c('High','Low','Close')]
  it <- input$top[,c('High','Low','Close')]
  rn <- rownames(ia)
  rownames(ia) <- rownames(it) <- NULL
  oa <- WPR(ia); names(oa) <- rn
  ot <- WPR(it); names(ot) <- rn
  # End: mess
  checkEqualsNumeric( oa, output$allWPR )
  checkEquals( attributes(oa), attributes(output$allWPR) )
  checkEqualsNumeric( ot, output$topWPR )
  checkEquals( attributes(ot), attributes(output$topWPR) )
  checkException( WPR(input$mid$Close) )
}

# Ultimate Oscillator
test.ultimateOscillator <- function() {
  # This mess is because data.frames' attributes don't come through reclass() well
  ia <- input$all[,c('High','Low','Close')]
  it <- input$top[,c('High','Low','Close')]
  rn <- rownames(ia)
  rownames(ia) <- rownames(it) <- NULL
  oa <- ultimateOscillator(ia); names(oa) <- rn
  ot <- ultimateOscillator(it); names(ot) <- rn
  # End: mess
  checkEqualsNumeric( oa, output$allUltOsc )
  checkEquals( attributes(oa), attributes(output$allUltOsc) )
  checkEqualsNumeric( ot, output$topUltOsc )
  checkEquals( attributes(ot), attributes(output$topUltOsc) )
  checkException( ultimateOscillator(input$mid$Close) )
}