@ marco. Thank you.This requires all of the data and you are thinking you can use this for k-fold validation, I think.
It works for that I believe.
It still requires a full download of all of the data for every rebalance to keep the linear scaling coefficient constant, if I am correct. Almost no one is going to do that I would guess.
You might need to look at ease (and cost) of rebalance as a separate issue if you want this t take off.