Partitioning approach towards portfolio construction - ensemble models/weights based on parameter sets
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. https://quantstrattrader.wordpress.com/2019/02/27/kda-robustness-results/
On Tue, Jul 23, 2019 at 6:06 PM Sam H <sam.hhh1 at 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):
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https://blog.thinknewfound.com/2019/07/ensemble-multi-asset-momentum/
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https://docs.wixstatic.com/ugd/7c4c63_b3f66bbea0f648e19e535b1da004aeba.pdf
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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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