Last updated on 2024-12-18 19:49:32 CET.
| Package | ERROR | OK |
|---|---|---|
| AssetAllocation | 8 | 5 |
Current CRAN status: ERROR: 8, OK: 5
Version: 1.1.1
Check: examples
Result: ERROR
Running examples in ‘AssetAllocation-Ex.R’ failed
The error most likely occurred in:
> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: backtest_allocation
> ### Title: Backtesting of asset allocation strategies
> ### Aliases: backtest_allocation
>
> ### ** Examples
>
> # Example 1: backtesting one of the asset allocations in the package
> us_60_40 <- asset_allocations$static$us_60_40
> bt_us_60_40 <- backtest_allocation(us_60_40,
+ ETFs$Prices,
+ ETFs$Returns,
+ ETFs$risk_free)
>
> # show table with performance metrics
> bt_us_60_40$table_performance
United.States.60.40
Annualized Return 0.0729
Annualized Std Dev 0.1041
Annualized Sharpe (Rf=1.32%) 0.5642
daily downside risk 0.0047
Annualised downside risk 0.0739
Downside potential 0.0020
Omega 1.1240
Sortino ratio 0.0533
Upside potential 0.0022
Upside potential ratio 0.6257
Omega-sharpe ratio 0.1240
Semi Deviation 0.0048
Gain Deviation 0.0047
Loss Deviation 0.0054
Downside Deviation (MAR=210%) 0.0101
Downside Deviation (Rf=1.32%) 0.0047
Downside Deviation (0%) 0.0046
Maximum Drawdown 0.3260
Historical VaR (95%) -0.0098
Historical ES (95%) -0.0159
Modified VaR (95%) -0.0091
Modified ES (95%) -0.0111
> # Example 2: creating and backtesting an asset allocation from scratch
>
> # create a strategy that invests equally in momentum (MTUM), value (VLUE),
> # low volatility (USMV) and quality (QUAL) ETFs.
>
> factor_strat <- list(name = "EW Factors",
+ tickers = c("MTUM", "VLUE", "USMV", "QUAL"),
+ default_weights = c(0.25, 0.25, 0.25, 0.25),
+ rebalance_frequency = "month",
+ portfolio_rule_fn = "constant_weights")
>
> # get data for tickers using getSymbols
> factor_ETFs <- get_data_from_tickers(factor_strat$tickers,
+ starting_date = "2020-01-01")
> # backtest the strategy
> bt_factor_strat <- backtest_allocation(factor_strat,
+ factor_ETFs$P,
+ factor_ETFs$R)
Error in if (length(colnames(R)) == 1 && colnames(R) == colnames(Rf)) { :
missing value where TRUE/FALSE needed
Calls: backtest_allocation ... SharpeRatio.annualized -> sapply -> lapply -> FUN -> Return.excess
Execution halted
Flavors: r-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc, r-patched-linux-x86_64, r-release-linux-x86_64
Version: 1.1.1
Check: re-building of vignette outputs
Result: ERROR
Error(s) in re-building vignettes:
...
--- re-building ‘AssetAllocation.Rmd’ using rmarkdown
** Processing: /home/hornik/tmp/R.check/r-devel-clang/Work/PKGS/AssetAllocation.Rcheck/vign_test/AssetAllocation/vignettes/AssetAllocation_files/figure-html/all weather 3-1.png
672x480 pixels, 8 bits/pixel, 256 colors in palette
Reducing image to 8 bits/pixel, grayscale
Input IDAT size = 27009 bytes
Input file size = 27903 bytes
Trying:
zc = 9 zm = 8 zs = 0 f = 0 IDAT size = 25206
zc = 9 zm = 8 zs = 1 f = 0 IDAT size = 25138
zc = 1 zm = 8 zs = 2 f = 0
zc = 9 zm = 8 zs = 3 f = 0
zc = 9 zm = 8 zs = 0 f = 5
zc = 9 zm = 8 zs = 1 f = 5
zc = 1 zm = 8 zs = 2 f = 5
zc = 9 zm = 8 zs = 3 f = 5
Selecting parameters:
zc = 9 zm = 8 zs = 1 f = 0 IDAT size = 25138
Output IDAT size = 25138 bytes (1871 bytes decrease)
Output file size = 25216 bytes (2687 bytes = 9.63% decrease)
** Processing: /home/hornik/tmp/R.check/r-devel-clang/Work/PKGS/AssetAllocation.Rcheck/vign_test/AssetAllocation/vignettes/AssetAllocation_files/figure-html/all weather 5-1.png
672x480 pixels, 3x8 bits/pixel, RGB
Input IDAT size = 29555 bytes
Input file size = 29669 bytes
Trying:
zc = 9 zm = 8 zs = 0 f = 0 IDAT size = 26308
zc = 9 zm = 8 zs = 1 f = 0
zc = 1 zm = 8 zs = 2 f = 0
zc = 9 zm = 8 zs = 3 f = 0
zc = 9 zm = 8 zs = 0 f = 5 IDAT size = 26083
zc = 9 zm = 8 zs = 1 f = 5
zc = 1 zm = 8 zs = 2 f = 5
zc = 9 zm = 8 zs = 3 f = 5
Selecting parameters:
zc = 9 zm = 8 zs = 0 f = 5 IDAT size = 26083
Output IDAT size = 26083 bytes (3472 bytes decrease)
Output file size = 26161 bytes (3508 bytes = 11.82% decrease)
Quitting from lines 154-164 [factors EW bt] (AssetAllocation.Rmd)
Error: processing vignette 'AssetAllocation.Rmd' failed with diagnostics:
missing value where TRUE/FALSE needed
--- failed re-building ‘AssetAllocation.Rmd’
SUMMARY: processing the following file failed:
‘AssetAllocation.Rmd’
Error: Vignette re-building failed.
Execution halted
Flavor: r-devel-linux-x86_64-debian-clang
Version: 1.1.1
Check: re-building of vignette outputs
Result: ERROR
Error(s) in re-building vignettes:
...
--- re-building ‘AssetAllocation.Rmd’ using rmarkdown
** Processing: /home/hornik/tmp/R.check/r-devel-gcc/Work/PKGS/AssetAllocation.Rcheck/vign_test/AssetAllocation/vignettes/AssetAllocation_files/figure-html/all weather 3-1.png
672x480 pixels, 8 bits/pixel, 256 colors in palette
Reducing image to 8 bits/pixel, grayscale
Input IDAT size = 27009 bytes
Input file size = 27903 bytes
Trying:
zc = 9 zm = 8 zs = 0 f = 0 IDAT size = 25206
zc = 9 zm = 8 zs = 1 f = 0 IDAT size = 25138
zc = 1 zm = 8 zs = 2 f = 0
zc = 9 zm = 8 zs = 3 f = 0
zc = 9 zm = 8 zs = 0 f = 5
zc = 9 zm = 8 zs = 1 f = 5
zc = 1 zm = 8 zs = 2 f = 5
zc = 9 zm = 8 zs = 3 f = 5
Selecting parameters:
zc = 9 zm = 8 zs = 1 f = 0 IDAT size = 25138
Output IDAT size = 25138 bytes (1871 bytes decrease)
Output file size = 25216 bytes (2687 bytes = 9.63% decrease)
** Processing: /home/hornik/tmp/R.check/r-devel-gcc/Work/PKGS/AssetAllocation.Rcheck/vign_test/AssetAllocation/vignettes/AssetAllocation_files/figure-html/all weather 5-1.png
672x480 pixels, 3x8 bits/pixel, RGB
Input IDAT size = 29555 bytes
Input file size = 29669 bytes
Trying:
zc = 9 zm = 8 zs = 0 f = 0 IDAT size = 26308
zc = 9 zm = 8 zs = 1 f = 0
zc = 1 zm = 8 zs = 2 f = 0
zc = 9 zm = 8 zs = 3 f = 0
zc = 9 zm = 8 zs = 0 f = 5 IDAT size = 26083
zc = 9 zm = 8 zs = 1 f = 5
zc = 1 zm = 8 zs = 2 f = 5
zc = 9 zm = 8 zs = 3 f = 5
Selecting parameters:
zc = 9 zm = 8 zs = 0 f = 5 IDAT size = 26083
Output IDAT size = 26083 bytes (3472 bytes decrease)
Output file size = 26161 bytes (3508 bytes = 11.82% decrease)
Quitting from lines 154-164 [factors EW bt] (AssetAllocation.Rmd)
Error: processing vignette 'AssetAllocation.Rmd' failed with diagnostics:
missing value where TRUE/FALSE needed
--- failed re-building ‘AssetAllocation.Rmd’
SUMMARY: processing the following file failed:
‘AssetAllocation.Rmd’
Error: Vignette re-building failed.
Execution halted
Flavor: r-devel-linux-x86_64-debian-gcc
Version: 1.1.1
Check: examples
Result: ERROR
Running examples in ‘AssetAllocation-Ex.R’ failed
The error most likely occurred in:
> ### Name: backtest_allocation
> ### Title: Backtesting of asset allocation strategies
> ### Aliases: backtest_allocation
>
> ### ** Examples
>
> # Example 1: backtesting one of the asset allocations in the package
> us_60_40 <- asset_allocations$static$us_60_40
> bt_us_60_40 <- backtest_allocation(us_60_40,
+ ETFs$Prices,
+ ETFs$Returns,
+ ETFs$risk_free)
>
> # show table with performance metrics
> bt_us_60_40$table_performance
United.States.60.40
Annualized Return 0.0729
Annualized Std Dev 0.1041
Annualized Sharpe (Rf=1.32%) 0.5642
daily downside risk 0.0047
Annualised downside risk 0.0739
Downside potential 0.0020
Omega 1.1240
Sortino ratio 0.0533
Upside potential 0.0022
Upside potential ratio 0.6257
Omega-sharpe ratio 0.1240
Semi Deviation 0.0048
Gain Deviation 0.0047
Loss Deviation 0.0054
Downside Deviation (MAR=210%) 0.0101
Downside Deviation (Rf=1.32%) 0.0047
Downside Deviation (0%) 0.0046
Maximum Drawdown 0.3260
Historical VaR (95%) -0.0098
Historical ES (95%) -0.0159
Modified VaR (95%) -0.0091
Modified ES (95%) -0.0111
> # Example 2: creating and backtesting an asset allocation from scratch
>
> # create a strategy that invests equally in momentum (MTUM), value (VLUE),
> # low volatility (USMV) and quality (QUAL) ETFs.
>
> factor_strat <- list(name = "EW Factors",
+ tickers = c("MTUM", "VLUE", "USMV", "QUAL"),
+ default_weights = c(0.25, 0.25, 0.25, 0.25),
+ rebalance_frequency = "month",
+ portfolio_rule_fn = "constant_weights")
>
> # get data for tickers using getSymbols
> factor_ETFs <- get_data_from_tickers(factor_strat$tickers,
+ starting_date = "2020-01-01")
> # backtest the strategy
> bt_factor_strat <- backtest_allocation(factor_strat,
+ factor_ETFs$P,
+ factor_ETFs$R)
Error in if (length(colnames(R)) == 1 && colnames(R) == colnames(Rf)) { :
missing value where TRUE/FALSE needed
Calls: backtest_allocation ... SharpeRatio.annualized -> sapply -> lapply -> FUN -> Return.excess
Execution halted
Flavors: r-devel-linux-x86_64-fedora-clang, r-devel-linux-x86_64-fedora-gcc, r-devel-windows-x86_64, r-oldrel-windows-x86_64
Version: 1.1.1
Check: re-building of vignette outputs
Result: ERROR
Error(s) in re-building vignettes:
--- re-building ‘AssetAllocation.Rmd’ using rmarkdown
** Processing: /data/gannet/ripley/R/packages/tests-clang/AssetAllocation.Rcheck/vign_test/AssetAllocation/vignettes/AssetAllocation_files/figure-html/all weather 3-1.png
672x480 pixels, 8 bits/pixel, 256 colors in palette
Reducing image to 8 bits/pixel, grayscale
Input IDAT size = 27010 bytes
Input file size = 27904 bytes
Trying:
zc = 9 zm = 8 zs = 0 f = 0 IDAT size = 25209
zc = 9 zm = 8 zs = 1 f = 0 IDAT size = 25141
zc = 1 zm = 8 zs = 2 f = 0
zc = 9 zm = 8 zs = 3 f = 0
zc = 9 zm = 8 zs = 0 f = 5
zc = 9 zm = 8 zs = 1 f = 5
zc = 1 zm = 8 zs = 2 f = 5
zc = 9 zm = 8 zs = 3 f = 5
Selecting parameters:
zc = 9 zm = 8 zs = 1 f = 0 IDAT size = 25141
Output IDAT size = 25141 bytes (1869 bytes decrease)
Output file size = 25219 bytes (2685 bytes = 9.62% decrease)
** Processing: /data/gannet/ripley/R/packages/tests-clang/AssetAllocation.Rcheck/vign_test/AssetAllocation/vignettes/AssetAllocation_files/figure-html/all weather 5-1.png
672x480 pixels, 3x8 bits/pixel, RGB
Input IDAT size = 29555 bytes
Input file size = 29669 bytes
Trying:
zc = 9 zm = 8 zs = 0 f = 0 IDAT size = 26308
zc = 9 zm = 8 zs = 1 f = 0
zc = 1 zm = 8 zs = 2 f = 0
zc = 9 zm = 8 zs = 3 f = 0
zc = 9 zm = 8 zs = 0 f = 5 IDAT size = 26083
zc = 9 zm = 8 zs = 1 f = 5
zc = 1 zm = 8 zs = 2 f = 5
zc = 9 zm = 8 zs = 3 f = 5
Selecting parameters:
zc = 9 zm = 8 zs = 0 f = 5 IDAT size = 26083
Output IDAT size = 26083 bytes (3472 bytes decrease)
Output file size = 26161 bytes (3508 bytes = 11.82% decrease)
Quitting from lines 154-164 [factors EW bt] (AssetAllocation.Rmd)
Error: processing vignette 'AssetAllocation.Rmd' failed with diagnostics:
missing value where TRUE/FALSE needed
--- failed re-building ‘AssetAllocation.Rmd’
SUMMARY: processing the following file failed:
‘AssetAllocation.Rmd’
Error: Vignette re-building failed.
Execution halted
Flavor: r-devel-linux-x86_64-fedora-clang
Version: 1.1.1
Check: re-building of vignette outputs
Result: ERROR
Error(s) in re-building vignettes:
--- re-building ‘AssetAllocation.Rmd’ using rmarkdown
** Processing: /data/gannet/ripley/R/packages/tests-devel/AssetAllocation.Rcheck/vign_test/AssetAllocation/vignettes/AssetAllocation_files/figure-html/all weather 3-1.png
672x480 pixels, 8 bits/pixel, 256 colors in palette
Reducing image to 8 bits/pixel, grayscale
Input IDAT size = 27010 bytes
Input file size = 27904 bytes
Trying:
zc = 9 zm = 8 zs = 0 f = 0 IDAT size = 25209
zc = 9 zm = 8 zs = 1 f = 0 IDAT size = 25141
zc = 1 zm = 8 zs = 2 f = 0
zc = 9 zm = 8 zs = 3 f = 0
zc = 9 zm = 8 zs = 0 f = 5
zc = 9 zm = 8 zs = 1 f = 5
zc = 1 zm = 8 zs = 2 f = 5
zc = 9 zm = 8 zs = 3 f = 5
Selecting parameters:
zc = 9 zm = 8 zs = 1 f = 0 IDAT size = 25141
Output IDAT size = 25141 bytes (1869 bytes decrease)
Output file size = 25219 bytes (2685 bytes = 9.62% decrease)
** Processing: /data/gannet/ripley/R/packages/tests-devel/AssetAllocation.Rcheck/vign_test/AssetAllocation/vignettes/AssetAllocation_files/figure-html/all weather 5-1.png
672x480 pixels, 3x8 bits/pixel, RGB
Input IDAT size = 29555 bytes
Input file size = 29669 bytes
Trying:
zc = 9 zm = 8 zs = 0 f = 0 IDAT size = 26308
zc = 9 zm = 8 zs = 1 f = 0
zc = 1 zm = 8 zs = 2 f = 0
zc = 9 zm = 8 zs = 3 f = 0
zc = 9 zm = 8 zs = 0 f = 5 IDAT size = 26083
zc = 9 zm = 8 zs = 1 f = 5
zc = 1 zm = 8 zs = 2 f = 5
zc = 9 zm = 8 zs = 3 f = 5
Selecting parameters:
zc = 9 zm = 8 zs = 0 f = 5 IDAT size = 26083
Output IDAT size = 26083 bytes (3472 bytes decrease)
Output file size = 26161 bytes (3508 bytes = 11.82% decrease)
Quitting from lines 154-164 [factors EW bt] (AssetAllocation.Rmd)
Error: processing vignette 'AssetAllocation.Rmd' failed with diagnostics:
missing value where TRUE/FALSE needed
--- failed re-building ‘AssetAllocation.Rmd’
SUMMARY: processing the following file failed:
‘AssetAllocation.Rmd’
Error: Vignette re-building failed.
Execution halted
Flavor: r-devel-linux-x86_64-fedora-gcc
Version: 1.1.1
Check: re-building of vignette outputs
Result: ERROR
Error(s) in re-building vignettes:
--- re-building 'AssetAllocation.Rmd' using rmarkdown
Quitting from lines 154-164 [factors EW bt] (AssetAllocation.Rmd)
Error: processing vignette 'AssetAllocation.Rmd' failed with diagnostics:
missing value where TRUE/FALSE needed
--- failed re-building 'AssetAllocation.Rmd'
SUMMARY: processing the following file failed:
'AssetAllocation.Rmd'
Error: Vignette re-building failed.
Execution halted
Flavors: r-devel-windows-x86_64, r-oldrel-windows-x86_64
Version: 1.1.1
Check: re-building of vignette outputs
Result: ERROR
Error(s) in re-building vignettes:
...
--- re-building ‘AssetAllocation.Rmd’ using rmarkdown
** Processing: /home/hornik/tmp/R.check/r-patched-gcc/Work/PKGS/AssetAllocation.Rcheck/vign_test/AssetAllocation/vignettes/AssetAllocation_files/figure-html/all weather 3-1.png
672x480 pixels, 8 bits/pixel, 256 colors in palette
Reducing image to 8 bits/pixel, grayscale
Input IDAT size = 27009 bytes
Input file size = 27903 bytes
Trying:
zc = 9 zm = 8 zs = 0 f = 0 IDAT size = 25206
zc = 9 zm = 8 zs = 1 f = 0 IDAT size = 25138
zc = 1 zm = 8 zs = 2 f = 0
zc = 9 zm = 8 zs = 3 f = 0
zc = 9 zm = 8 zs = 0 f = 5
zc = 9 zm = 8 zs = 1 f = 5
zc = 1 zm = 8 zs = 2 f = 5
zc = 9 zm = 8 zs = 3 f = 5
Selecting parameters:
zc = 9 zm = 8 zs = 1 f = 0 IDAT size = 25138
Output IDAT size = 25138 bytes (1871 bytes decrease)
Output file size = 25216 bytes (2687 bytes = 9.63% decrease)
** Processing: /home/hornik/tmp/R.check/r-patched-gcc/Work/PKGS/AssetAllocation.Rcheck/vign_test/AssetAllocation/vignettes/AssetAllocation_files/figure-html/all weather 5-1.png
672x480 pixels, 3x8 bits/pixel, RGB
Input IDAT size = 29555 bytes
Input file size = 29669 bytes
Trying:
zc = 9 zm = 8 zs = 0 f = 0 IDAT size = 26308
zc = 9 zm = 8 zs = 1 f = 0
zc = 1 zm = 8 zs = 2 f = 0
zc = 9 zm = 8 zs = 3 f = 0
zc = 9 zm = 8 zs = 0 f = 5 IDAT size = 26083
zc = 9 zm = 8 zs = 1 f = 5
zc = 1 zm = 8 zs = 2 f = 5
zc = 9 zm = 8 zs = 3 f = 5
Selecting parameters:
zc = 9 zm = 8 zs = 0 f = 5 IDAT size = 26083
Output IDAT size = 26083 bytes (3472 bytes decrease)
Output file size = 26161 bytes (3508 bytes = 11.82% decrease)
Quitting from lines 154-164 [factors EW bt] (AssetAllocation.Rmd)
Error: processing vignette 'AssetAllocation.Rmd' failed with diagnostics:
missing value where TRUE/FALSE needed
--- failed re-building ‘AssetAllocation.Rmd’
SUMMARY: processing the following file failed:
‘AssetAllocation.Rmd’
Error: Vignette re-building failed.
Execution halted
Flavor: r-patched-linux-x86_64
Version: 1.1.1
Check: re-building of vignette outputs
Result: ERROR
Error(s) in re-building vignettes:
...
--- re-building ‘AssetAllocation.Rmd’ using rmarkdown
** Processing: /home/hornik/tmp/R.check/r-release-gcc/Work/PKGS/AssetAllocation.Rcheck/vign_test/AssetAllocation/vignettes/AssetAllocation_files/figure-html/all weather 3-1.png
672x480 pixels, 8 bits/pixel, 256 colors in palette
Reducing image to 8 bits/pixel, grayscale
Input IDAT size = 27009 bytes
Input file size = 27903 bytes
Trying:
zc = 9 zm = 8 zs = 0 f = 0 IDAT size = 25206
zc = 9 zm = 8 zs = 1 f = 0 IDAT size = 25138
zc = 1 zm = 8 zs = 2 f = 0
zc = 9 zm = 8 zs = 3 f = 0
zc = 9 zm = 8 zs = 0 f = 5
zc = 9 zm = 8 zs = 1 f = 5
zc = 1 zm = 8 zs = 2 f = 5
zc = 9 zm = 8 zs = 3 f = 5
Selecting parameters:
zc = 9 zm = 8 zs = 1 f = 0 IDAT size = 25138
Output IDAT size = 25138 bytes (1871 bytes decrease)
Output file size = 25216 bytes (2687 bytes = 9.63% decrease)
** Processing: /home/hornik/tmp/R.check/r-release-gcc/Work/PKGS/AssetAllocation.Rcheck/vign_test/AssetAllocation/vignettes/AssetAllocation_files/figure-html/all weather 5-1.png
672x480 pixels, 3x8 bits/pixel, RGB
Input IDAT size = 29555 bytes
Input file size = 29669 bytes
Trying:
zc = 9 zm = 8 zs = 0 f = 0 IDAT size = 26308
zc = 9 zm = 8 zs = 1 f = 0
zc = 1 zm = 8 zs = 2 f = 0
zc = 9 zm = 8 zs = 3 f = 0
zc = 9 zm = 8 zs = 0 f = 5 IDAT size = 26083
zc = 9 zm = 8 zs = 1 f = 5
zc = 1 zm = 8 zs = 2 f = 5
zc = 9 zm = 8 zs = 3 f = 5
Selecting parameters:
zc = 9 zm = 8 zs = 0 f = 5 IDAT size = 26083
Output IDAT size = 26083 bytes (3472 bytes decrease)
Output file size = 26161 bytes (3508 bytes = 11.82% decrease)
Quitting from lines 154-164 [factors EW bt] (AssetAllocation.Rmd)
Error: processing vignette 'AssetAllocation.Rmd' failed with diagnostics:
missing value where TRUE/FALSE needed
--- failed re-building ‘AssetAllocation.Rmd’
SUMMARY: processing the following file failed:
‘AssetAllocation.Rmd’
Error: Vignette re-building failed.
Execution halted
Flavor: r-release-linux-x86_64