[R-SIG-Finance] Partitioning approach towards portfolio construction - ensemble models/weights based on parameter sets

[Sam H]

Hi,

Is there some (example) code available somewhere (can be highly
experimental) that would enable conducting this kind of analysis (portfolio
construction) (possibly wrapping PortfolioAnalytics):
    - https://blog.thinknewfound.com/2019/07/ensemble-multi-asset-momentum/
    -
https://docs.wixstatic.com/ugd/7c4c63_b3f66bbea0f648e19e535b1da004aeba.pdf
    -
https://docs.wixstatic.com/ugd/7c4c63_735bc38a987340cc8db85691a41dbfe4.pdf

So to be able to create average/ensemble weights based on a set of
parameters (like rebalance date, look back periods for momentum and
whatever the parameters are). Something like quantstrat has
with apply.paramset, add.distribution, add.distribution.constraint, ...

Original message was not delivered due to attachments, I guess.
-- 
Best regards,
Sam

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