#!/usr/bin/Rscript --vanilla
#
# Jan Humme (@opentrades) - August 2012
#
# Tested and found to work correctly using blotter r1457
#
# After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
#
# Figure 3.11: MAE graph of Luxor system
require('blotter')
data('luxor-p066', package='quantstrat', envir=.blotter)
currency(c('GBP', 'USD'))
exchange_rate(c('GBPUSD'), tick_size=0.0001)
chart.ME(
Portfolio='luxor',
Symbol='GBPUSD',
type='MAE',
scale='cash'
)
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