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

Ilya Kipnis ||y@@k|pn|@ @end|ng |rom gm@||@com
Wed Jul 24 00:10:49 CEST 2019

In my latest post, for tactical asset allocation rebalancing strategies
such as described on the Newfound blog post, I create a method to allow the
user to set a lag on the endpoints so as to allow different trading days
after the month.


On Tue, Jul 23, 2019 at 6:06 PM Sam H <sam.hhh1 using gmail.com> wrote:

> 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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