Last updated on 2024-10-12 02:48:18 CEST.
| Flavor | Version | Tinstall | Tcheck | Ttotal | Status | Flags |
|---|---|---|---|---|---|---|
| r-devel-linux-x86_64-debian-clang | 1.1.1 | 4.50 | 170.41 | 174.91 | OK | |
| r-devel-linux-x86_64-debian-gcc | 1.1.1 | 3.31 | 102.70 | 106.01 | OK | |
| r-devel-linux-x86_64-fedora-clang | 1.1.1 | 290.31 | OK | |||
| r-devel-linux-x86_64-fedora-gcc | 1.1.1 | 94.04 | ERROR | |||
| r-devel-windows-x86_64 | 1.1.1 | 7.00 | 181.00 | 188.00 | OK | |
| r-patched-linux-x86_64 | 1.1.1 | 4.45 | 157.52 | 161.97 | OK | |
| r-release-linux-x86_64 | 1.1.1 | 4.41 | 158.34 | 162.75 | OK | |
| r-release-macos-arm64 | 1.1.1 | 83.00 | OK | |||
| r-release-macos-x86_64 | 1.1.1 | 149.00 | OK | |||
| r-release-windows-x86_64 | 1.1.1 | 7.00 | 186.00 | 193.00 | OK | |
| r-oldrel-macos-arm64 | 1.1.1 | 81.00 | OK | |||
| r-oldrel-macos-x86_64 | 1.1.1 | 205.00 | OK | |||
| r-oldrel-windows-x86_64 | 1.1.1 | 8.00 | 241.00 | 249.00 | OK |
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$tickers,
+ starting_date = "2020-01-01")
*** caught segfault ***
address 0x1, cause 'memory not mapped'
Traceback:
1: merge.xts(prices, get(tickers[i])[, 6])
2: get_data_from_tickers(factor_strat$tickers, starting_date = "2020-01-01")
An irrecoverable exception occurred. R is aborting now ...
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
** 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)
*** caught segfault ***
address 0x1, cause 'memory not mapped'
Traceback:
1: merge.xts(prices, get(tickers[i])[, 6])
2: get_data_from_tickers(factors_EW$tickers, starting_date = "2013-08-01")
3: eval(expr, envir)
4: eval(expr, envir)
5: withVisible(eval(expr, envir))
6: withCallingHandlers(code, message = function (cnd) { watcher$capture_plot_and_output() if (on_message$capture) { watcher$push(cnd) } if (on_message$silence) { invokeRestart("muffleMessage") }}, warning = function (cnd) { if (getOption("warn") >= 2 || getOption("warn") < 0) { return() } watcher$capture_plot_and_output() if (on_warning$capture) { cnd <- sanitize_call(cnd) watcher$push(cnd) } if (on_warning$silence) { invokeRestart("muffleWarning") }}, error = function (cnd) { watcher$capture_plot_and_output() cnd <- sanitize_call(cnd) watcher$push(cnd) switch(on_error, continue = invokeRestart("eval_continue"), stop = invokeRestart("eval_stop"), error = invokeRestart("eval_error", cnd))})
7: eval(call)
8: eval(call)
9: with_handlers({ for (expr in tle$exprs) { ev <- withVisible(eval(expr, envir)) watcher$capture_plot_and_output() watcher$print_value(ev$value, ev$visible, envir) } TRUE}, handlers)
10: doWithOneRestart(return(expr), restart)
11: withOneRestart(expr, restarts[[1L]])
12: withRestartList(expr, restarts[-nr])
13: doWithOneRestart(return(expr), restart)
14: withOneRestart(withRestartList(expr, restarts[-nr]), restarts[[nr]])
15: withRestartList(expr, restarts[-nr])
16: doWithOneRestart(return(expr), restart)
17: withOneRestart(withRestartList(expr, restarts[-nr]), restarts[[nr]])
18: withRestartList(expr, restarts)
19: withRestarts(with_handlers({ for (expr in tle$exprs) { ev <- withVisible(eval(expr, envir)) watcher$capture_plot_and_output() watcher$print_value(ev$value, ev$visible, envir) } TRUE}, handlers), eval_continue = function() TRUE, eval_stop = function() FALSE, eval_error = function(cnd) { signalCondition(cnd) stop(cnd) })
20: evaluate::evaluate(...)
21: evaluate(code, envir = env, new_device = FALSE, keep_warning = if (is.numeric(options$warning)) TRUE else options$warning, keep_message = if (is.numeric(options$message)) TRUE else options$message, stop_on_error = if (is.numeric(options$error)) options$error else { if (options$error && options$include) 0L else 2L }, output_handler = knit_handlers(options$render, options))
22: in_dir(input_dir(), expr)
23: in_input_dir(evaluate(code, envir = env, new_device = FALSE, keep_warning = if (is.numeric(options$warning)) TRUE else options$warning, keep_message = if (is.numeric(options$message)) TRUE else options$message, stop_on_error = if (is.numeric(options$error)) options$error else { if (options$error && options$include) 0L else 2L }, output_handler = knit_handlers(options$render, options)))
24: eng_r(options)
25: block_exec(params)
26: call_block(x)
27: process_group(group)
28: withCallingHandlers(if (tangle) process_tangle(group) else process_group(group), error = function(e) if (xfun::pkg_available("rlang", "1.0.0")) rlang::entrace(e))
29: xfun:::handle_error(withCallingHandlers(if (tangle) process_tangle(group) else process_group(group), error = function(e) if (xfun::pkg_available("rlang", "1.0.0")) rlang::entrace(e)), function(loc) { setwd(wd) write_utf8(res, output %n% stdout()) paste0("\nQuitting from lines ", loc) }, if (labels[i] != "") sprintf(" [%s]", labels[i]), get_loc)
30: process_file(text, output)
31: knitr::knit(knit_input, knit_output, envir = envir, quiet = quiet)
32: rmarkdown::render(file, encoding = encoding, quiet = quiet, envir = globalenv(), output_dir = getwd(), ...)
33: vweave_rmarkdown(...)
34: engine$weave(file, quiet = quiet, encoding = enc)
35: doTryCatch(return(expr), name, parentenv, handler)
36: tryCatchOne(expr, names, parentenv, handlers[[1L]])
37: tryCatchList(expr, classes, parentenv, handlers)
38: tryCatch({ engine$weave(file, quiet = quiet, encoding = enc) setwd(startdir) output <- find_vignette_product(name, by = "weave", engine = engine) if (!have.makefile && vignette_is_tex(output)) { texi2pdf(file = output, clean = FALSE, quiet = quiet) output <- find_vignette_product(name, by = "texi2pdf", engine = engine) } outputs <- c(outputs, output)}, error = function(e) { thisOK <<- FALSE fails <<- c(fails, file) message(gettextf("Error: processing vignette '%s' failed with diagnostics:\n%s", file, conditionMessage(e)))})
39: tools::buildVignettes(dir = "/data/gannet/ripley/R/packages/tests-devel/AssetAllocation.Rcheck/vign_test/AssetAllocation", skip = TRUE, ser_elibs = "/tmp/RtmpQJvpcN/file3755ddcfcbebe.rds")
An irrecoverable exception occurred. R is aborting now ...
Flavor: r-devel-linux-x86_64-fedora-gcc