R Under development (unstable) (2024-12-17 r87446 ucrt) -- "Unsuffered Consequences"
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> # 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 <http://www.gnu.org/licenses/>.
>
> # 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