Hi,

Is there some (example) code available somewhere that would enable conducting this kind of analysis (portfolio

construction):

- 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).

Would appreciate a simple SPY-TLT momentum switching example where lookback period and rebalancing date/day would be shown.

Thanks.

Kind regards,

Klemen

Author