R Under development (unstable) (2024-12-17 r87446 ucrt) -- "Unsuffered Consequences" Copyright (C) 2024 The R Foundation for Statistical Computing Platform: x86_64-w64-mingw32/x64 R is free software and comes with ABSOLUTELY NO WARRANTY. You are welcome to redistribute it under certain conditions. Type 'license()' or 'licence()' for distribution details. R is a collaborative project with many contributors. Type 'contributors()' for more information and 'citation()' on how to cite R or R packages in publications. Type 'demo()' for some demos, 'help()' for on-line help, or 'help.start()' for an HTML browser interface to help. Type 'q()' to quit R. > # Copyright 2013 Steven E. Pav. All Rights Reserved. > # Author: Steven E. Pav > > # This file is part of SharpeR. > # > # SharpeR is free software: you can redistribute it and/or modify > # it under the terms of the GNU Lesser General Public License as published by > # the Free Software Foundation, either version 3 of the License, or > # (at your option) any later version. > # > # SharpeR is distributed in the hope that it will be useful, > # but WITHOUT ANY WARRANTY; without even the implied warranty of > # MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the > # GNU Lesser General Public License for more details. > # > # You should have received a copy of the GNU Lesser General Public License > # along with SharpeR. If not, see . > > # env var: > # nb: > # see also: > # todo: > # changelog: > # > # Created: 2013.03.14 > # Copyright: Steven E. Pav, 2012-2013 > # Author: Steven E. Pav > # Comments: Steven E. Pav > # SVN: $Id: blankheader.txt 25454 2012-02-14 23:35:25Z steven $ > > # because Hadley says it should be like this. > # see https://github.com/hadley/devtools/wiki/Testing > > library(testthat) > library(SharpeR) > > # the old way: > #test_package("SharpeR") > # the new way: > test_check("SharpeR") $sr [,1] x -0.001450542 $df [1] 999 $c0 [1] 0 $ope [1] 1 $rescal [1] 0.03162278 $epoch [1] "yr" $cumulants NULL $tval [,1] x -0.04587015 $pval [,1] x 0.5182885 $serr [,1] x 0.03162279 attr(,"class") [1] "summary.sr" $sr [,1] x -0.04482503 $df [1] 999 $c0 [1] 0 $ope [1] 1 $rescal [1] 0.03162278 $epoch [1] "yr" $cumulants NULL $tval [,1] x -1.417492 $pval [,1] x 0.9216745 $serr [,1] x 0.03163867 attr(,"class") [1] "summary.sr" $sropt [,1] [1,] 0.1311403 $df1 [1] 10 $df2 [1] 1000 $drag [1] 0 $ope [1] 1 $epoch [1] "yr" $T2 [,1] [1,] 17.19777 $pval [,1] [1,] 0.07512166 $SRIC [,1] [1,] 0.06251148 attr(,"class") [1] "summary.sropt" SR/sqrt(yr) Std. Error t value Pr(>t) x -0.07956 0.10016 -0.8 0.79 [1] " SR/sqrt(yr) Std. Error t value Pr(>t)" [2] "x -0.07956 0.10016 -0.8 0.79" SR/sqrt(yr) Std. Error t value Pr(>t) x_1 0.07367 0.14162 0.52 0.30 x_2 -0.06175 0.14156 -0.44 0.67 x_3 0.02760 0.14145 0.20 0.42 x_4 -0.10287 0.14180 -0.73 0.76 [1] " SR/sqrt(yr) Std. Error t value Pr(>t)" [2] "x_1 0.07367 0.14162 0.52 0.30" [3] "x_2 -0.06175 0.14156 -0.44 0.67" [4] "x_3 0.02760 0.14145 0.20 0.42" [5] "x_4 -0.10287 0.14180 -0.73 0.76" SR/sqrt(yr) Std. Error t value Pr(>t) a 0.99599 0.05472 22.27 <2e-16 *** b 1.02513 0.05525 22.92 <2e-16 *** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 [1] " SR/sqrt(yr) Std. Error t value Pr(>t) " [2] "a 0.99599 0.05472 22.27 <2e-16 ***" [3] "b 1.02513 0.05525 22.92 <2e-16 ***" [4] "---" [5] "Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1" SR/sqrt(yr) Std. Error t value Pr(>t) mylm 0.91726 0.06864 14.75 <2e-16 *** --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 [1] " SR/sqrt(yr) Std. Error t value Pr(>t) " [2] "mylm 0.91726 0.06864 14.75 <2e-16 ***" [3] "---" [4] "Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1" SR/sqrt(yr) Std. Error t value Pr(>t) V1 -5.355 2.756 -1.98 0.973 V2 1.539 2.707 0.57 0.286 V3 3.887 2.731 1.44 0.078 . V4 -1.608 2.708 -0.60 0.723 --- Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1 [1] " SR/sqrt(yr) Std. Error t value Pr(>t) " [2] "V1 -5.355 2.756 -1.98 0.973 " [3] "V2 1.539 2.707 0.57 0.286 " [4] "V3 3.887 2.731 1.44 0.078 ." [5] "V4 -1.608 2.708 -0.60 0.723 " [6] "---" [7] "Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1" SR/sqrt(yr) SRIC/sqrt(yr) 2.5 % 97.5 % T^2 value Pr(>T^2) Sharpe 0.10797 0.02462 0.00000 0.13150 11.66 0.32 sropt df1 df2 drag ope epoch "0.1079724" "10" "1000" "0" "1" "yr" T2 pval "11.65804" "0.3175662" SR/sqrt(yr) SRIC/sqrt(yr) 2.5 % 97.5 % T^2 value Pr(>T^2) Sharpe 2.0635 0.4705 0.0000 2.5132 11.66 0.32 sropt df1 df2 drag ope epoch "2.063516" "10" "1000" "0" "365.25" "yr" T2 pval "11.65804" "0.3175662" SR/sqrt(yr) 2.5 % 97.5 % F value Pr(>F) Sharpe 0.07196 0 0.08922 0.6408 0.74 sropt sropt.sub sropt.del df1 df2 df1.sub "0.07940837" "0.03357388" "0.07196168" "10" "1000" "2" drag ope epoch T2.sub T2 T2.del "0" "1" "yr" "1.127205" "6.305689" "5.178483" SR/sqrt(yr) 2.5 % 97.5 % F value Pr(>F) Sharpe 0.07196 0 0.08922 0.6408 0.74 sropt sropt.sub sropt.del df1 df2 df1.sub "0.07940837" "0.03357388" "0.07196168" "10" "1000" "2" drag ope epoch T2.sub T2 T2.del "0" "1" "yr" "1.127205" "6.305689" "5.178483" [ FAIL 0 | WARN 1990 | SKIP 3 | PASS 1473 ] ══ Skipped tests (3) ═══════════════════════════════════════════════════════════ • On CRAN (3): 'test-estimation.r:180:3', 'test-estimation.r:293:3', 'test-tests.r:385:2' [ FAIL 0 | WARN 1990 | SKIP 3 | PASS 1473 ] > > proc.time() user system elapsed 34.53 1.73 36.76