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Partitioning approach towards portfolio construction - ensemble models/weights based on parameter sets

3 messages · Sam H, Ilya Kipnis, Enrico Schumann

Original
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.
Ilya Kipnis
# 
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:

            

      
      
      
    

        

      
      
    

        

  
  


  


      

    

    

      
      

        


  

        

      Enrico Schumann
    

    

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

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

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

Perhaps the examples in https://ssrn.com/abstract=3374195 are of
interest (though they do not use PortfolioAnalytics).

kind regards
     Enrico