luxor sample MFE takeprofit

# 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 3.16: MFE graph in percentage terms

require('blotter')

## Loading required package: blotter

## Loading required package: xts

## Loading required package: zoo

## 
## Attaching package: 'zoo'

## The following objects are masked from 'package:base':
## 
##     as.Date, as.Date.numeric

## Loading required package: FinancialInstrument

## Loading required package: quantmod

## Loading required package: TTR

## Registered S3 method overwritten by 'quantmod':
##   method            from
##   as.zoo.data.frame zoo

## Loading required package: PerformanceAnalytics

## 
## Attaching package: 'PerformanceAnalytics'

## The following object is masked from 'package:graphics':
## 
##     legend

data('luxor-p066', package='quantstrat', envir=.blotter)

currency(c('GBP', 'USD'))

## [1] "GBP" "USD"

exchange_rate(c('GBPUSD'), tick_size=0.0001)

## [1] "GBPUSD"

chart.ME(
	 Portfolio='luxor',
	 Symbol='GBPUSD',
	 type='MFE',
	 scale='percent'
)