>>>>> "Sam" == Sam H <sam.h...@gmail.com> writes:
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
--
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net
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