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[blotter] Annotation of /pkg/quantstrat/demo/luxor.sample.MAE.stoploss.R
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Annotation of /pkg/quantstrat/demo/luxor.sample.MAE.stoploss.R

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1 : opentrades 1457 #!/usr/bin/Rscript --vanilla
2 :     #
3 :     # Jan Humme (@opentrades) - August 2012
4 :     #
5 : opentrades 1458 # Tested and found to work correctly using blotter r1457
6 : opentrades 1457 #
7 : opentrades 1458 # After Jaekle & Tamasini: A new approach to system development and portfolio optimisation (ISBN 978-1-905641-79-6)
8 : opentrades 1457 #
9 :     # Figure 3.11: MAE graph of Luxor system
10 :    
11 :     require('blotter')
12 :    
13 :     data('luxor-p066', package='quantstrat', envir=.blotter)
14 :    
15 :     currency(c('GBP', 'USD'))
16 :     exchange_rate(c('GBPUSD'), tick_size=0.0001)
17 :    
18 :     chart.ME(
19 :     Portfolio='luxor',
20 :     Symbol='GBPUSD',
21 :     type='MAE',
22 :     scale='cash'
23 :     )

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