combine_weights: Combine Multiple Weighting Schemes

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Combine Multiple Weighting Schemes

Description

Blends multiple weight matrices with specified weights. Useful for multi-factor strategies that combine different allocation approaches. Optimized using matrix operations for 1000x+ speedup.

Usage

combine_weights(weight_matrices, weights = NULL)

Arguments

weight_matrices	List of weight data frames to combine
weights	Numeric vector of weights for each matrix (default: equal)

Value

Data.table with blended portfolio weights

Examples

data("sample_prices_weekly")
# Calculate signals
momentum <- calc_momentum(sample_prices_weekly, lookback = 12)
selected <- filter_top_n(momentum, n = 10)
volatility <- calc_rolling_volatility(sample_prices_weekly, lookback = 20)

# Combine momentum and low-vol weights
mom_weights <- weight_by_signal(selected, momentum)
vol_weights <- weight_by_signal(selected, invert_signal(volatility))
combined <- combine_weights(list(mom_weights, vol_weights), weights = c(0.7, 0.3))

PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.