tag:blogger.com,1999:blog-7630810606654250077.post7162263796464266654..comments2023-05-12T04:18:09.354-07:00Comments on Timely Portfolio: Efficient Frontier of Funds and Allocation Systemsklrhttp://www.blogger.com/profile/08783806801212705259noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-7630810606654250077.post-11401140314042892752012-04-23T07:11:35.679-07:002012-04-23T07:11:35.679-07:00thanks so much to rbresearch and Andreas for the c...thanks so much to rbresearch and Andreas for the comments. Rule for this simple example is monthly rebalancing. Hope to use PortfolioAnalytics or the SIT (Systematic Investor Toolkit) to try other methods of rebalancing soon. Great question with very big implications.timelyportfoliohttps://www.blogger.com/profile/04547784367586422066noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-79683775072385695612012-04-19T01:15:30.943-07:002012-04-19T01:15:30.943-07:00Nice post, one question about the combined portfol...Nice post, one question about the combined portfolios (ma): what is the rule there regarding rebalancing and allocation?<br />Cheers<br />AndreasAnonymoushttps://www.blogger.com/profile/02478460722652995271noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-44773430359895367152012-04-18T20:47:47.452-07:002012-04-18T20:47:47.452-07:00Great post, I really liked the last chart to show ...Great post, I really liked the last chart to show the relative performance of each strategy. I just ran a quick test of the SMA10 strategy on VFINX in quantstrat. My equity curve looks similar to yours, but doesn't go quite so parabolic... could just be the scale that gives that appearance.<br /><br />Again, great posts recently. I especially like how you are demonstrating the use of knitr toAnonymousnoreply@blogger.com