Message-ID: <CA+oJuEEsvxXT3FMjcUbqQ3DECtEHi6TFXBit2YnMn+nukX=3vw@mail.gmail.com>
Date: 2019-07-23T22:10:49Z
From: Ilya Kipnis
Subject: Partitioning approach towards portfolio construction - ensemble models/weights based on parameter sets
In-Reply-To: <CAEtT+h1DS2YNzQvHv-ov3tgB2qTYtyzd3Tkf=60BOihPSTRF8w@mail.gmail.com>
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):
> -
> 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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>
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