Nothing
test.prices <- function(){
s <- sample(c(1,0,-1), 100, TRUE)
spx <- spx[1:100,]
## Pass uc/el/es/xl/xs its corresponding phasemap code
(p <- prices(s, rep(0, 100), el=rep(8, 100), es=rep(4, 100), xl=rep(2, 100), xs=rep(1, 100)))
checkIdentical(phasemap(s), p)
## Example 1: entries/exits at Open, unchanged at Close.
ex1 <- prices(s, spx$Close, chg=spx$Open)
## Example 2: entries/exits at next day's Open, unchanged at Close.
ex2 <- prices(s, spx$Close, chg=c(spx$Open[-1], NA))
## Example 3: same as above, but with 10bps slippage at entries/exits.
ex3 <- prices(s, spx$Close, lng=c(spx$Open[-1], NA) * 1.001, sht=c(spx$Open[-1], NA) * .999)
checkIdentical(round(ex3 - ex2, 14), round(ex2 * .001 * changemap(s), 14))
################################################################
## Why the rounding error at the 15th dec. place?
## checkIdentical(ex3 - ex2, ex2 * .001 * changemap(s))
################################################################
}
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