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’ )