An MCS can be used to construct combination forecasts by pooling the forecasts of the models in the MCS. If the number of models in the MCS is large, a reasonable way to proceed is to weigh the individual forecasts equally. The reason for this is that the MCS consists precisely of the models that cannot be rejected as being equally good.
See Hansen, Lunde and Nason (2003), p. 841. BIS Review 36/2006  3  •  A pro-diversification argument states that some combination of two-model forecasts might perform better than either alone, if the two models provide partial, but not overlapping, explanations.