Convergence Issue: "Converged, but not successfully." and Weight Sum Not Equal to 1 about universal-portfolios HOT 3 OPEN

This is often caused by bad data. I'd check if you don't have any insane outliers in your data. I can't look into this if you don't post a replicable example.

from universal-portfolios.

I want to explore the impact of different metrics on the BCRP model. I found that, except for 'return,' which consistently converges to the optimal solution, other metrics tend to converge to local optima.

Below is a part of my code:
@metrics = ['return', 'drawdown', 'ulcer', 'sharpe','sortino']
for metric in metrics:
# Run the BCRP model and calculate weights
algo = BCRP(metric=metric)
result = algo.run(predicted_prices)
weights = result.weights
# Calculate returns
returns = pyfolio_backtest(weights, dff_test.set_index('date'))[0]['Annual return']
# Update the best metric
if returns > best_return:
best_return = returns
best_metric = metric
best_metric_per_period.append(best_metric)

from universal-portfolios.

I found that, except for 'return,' which consistently converges to the optimal solution, other metrics tend to converge to local optima.

That's how BCRP works by definition - it finds weights that maximize return. There are no guarantees for other metrics.

from universal-portfolios.