demo/luxor.sample.MAE.stoptrailing.R

In cloudcello/quantstrat: Quantitative Strategy Model Framework

#!/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 3.12: MAE graph in percentage terms

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='percent'
)