CRAN Package Check Results for Maintainer ‘Alexandre Rubesam <alexandre.rubesam at gmail.com>’

Last updated on 2024-12-22 13:48:55 CET.

Package	ERROR	OK
AssetAllocation	8	5

Package AssetAllocation

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