• using R Under development (unstable) (2024-12-21 r87453 ucrt)
• using platform: x86_64-w64-mingw32
• R was compiled by     gcc.exe (GCC) 13.3.0     GNU Fortran (GCC) 13.3.0
• running under: Windows Server 2022 x64 (build 20348)
• using session charset: UTF-8
• checking for file 'AssetAllocation/DESCRIPTION' ... OK
• checking extension type ... Package
• this is package 'AssetAllocation' version '1.1.1'
• package encoding: UTF-8
• checking package namespace information ... OK
• checking package dependencies ... OK
• checking if this is a source package ... OK
• checking if there is a namespace ... OK
• checking for hidden files and directories ... OK
• checking for portable file names ... OK
• checking whether package 'AssetAllocation' can be installed ... OK See the install log for details.
• checking installed package size ... OK
• checking package directory ... OK
• checking 'build' directory ... OK
• checking DESCRIPTION meta-information ... OK
• checking top-level files ... OK
• checking for left-over files ... OK
• checking index information ... OK
• checking package subdirectories ... OK
• checking code files for non-ASCII characters ... OK
• checking R files for syntax errors ... OK
• checking whether the package can be loaded ... [1s] OK
• checking whether the package can be loaded with stated dependencies ... [1s] OK
• checking whether the package can be unloaded cleanly ... [1s] OK
• checking whether the namespace can be loaded with stated dependencies ... [1s] OK
• checking whether the namespace can be unloaded cleanly ... [1s] OK
• checking loading without being on the library search path ... [1s] OK
• checking use of S3 registration ... OK
• checking dependencies in R code ... OK
• checking S3 generic/method consistency ... OK
• checking replacement functions ... OK
• checking foreign function calls ... OK
• checking R code for possible problems ... [4s] OK
• checking Rd files ... [1s] OK
• checking Rd metadata ... OK
• checking Rd cross-references ... OK
• checking for missing documentation entries ... OK
• checking for code/documentation mismatches ... OK
• checking Rd \usage sections ... OK
• checking Rd contents ... OK
• checking for unstated dependencies in examples ... OK
• checking contents of 'data' directory ... OK
• checking data for non-ASCII characters ... [1s] OK
• checking LazyData ... OK
• checking data for ASCII and uncompressed saves ... OK
• checking installed files from 'inst/doc' ... OK
• checking files in 'vignettes' ... OK
• checking examples ... [4s] 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
• checking for unstated dependencies in 'tests' ... OK
• checking tests ... [6s] OK   Running 'testthat.R' [5s]
• checking for unstated dependencies in vignettes ... OK
• checking package vignettes ... OK
• checking re-building of vignette outputs ... [7s] 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
• checking PDF version of manual ... [21s] OK
• checking HTML version of manual ... [3s] OK
• DONE

Status: 2 ERRORs