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stefan-jansen / machine-learning-for-trading

Code for Machine Learning for Algorithmic Trading, 2nd edition.
https://ml4trading.io
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Chapter 5: EffcientFrontier now working properly with SCS solver #262

Closed BibiTheLamb closed 1 year ago

BibiTheLamb commented 1 year ago

Describe the bug Using the SCS solver in the optimize_weights function (02_backtest_with_pf_optimization.ipynb) doesn't work as there's no impact on the portfolio valuation (remains at 10M) and throws warning: [ 08:14:54.359874]: WARNING: 2013-01-07 Error parsing inputs

To Reproduce Run the 02_backtest_with_pf_optimization.ipynb file

Solved by: Removing the solver argument

BibiTheLamb commented 1 year ago

Remove the solver argument