Stuart, thanks for your contribution. It Looks to me that this is not able for real live trading because the "reg2" value "res" (of the egcitest) is changing its history with every new datapoint. If for example the res value at Bar 8 is -.9 for bar 7 the res value might be +0.8 for bar 7 at bar 20. Do you know a solution for this issue?
The Portfolio object has the methods estimateFrontierByReturn and estimateFrontierByRisk, where the former provides portfolios for specified portfolio returns and the latter provides portfolios for specified portfolio risks. Once you have portfolios from these methods, the methods estimatePortReturn and estimatePortRisk provide portfolio returns and risks for specified portfolios.
In a mean-variance framework with normally-distributed asset returns, the periodicity of the data has no impact on the portfolios on the efficient frontier. The portfolio returns and risks, however, will depend upon the periodicity of underlying asset returns.