Hi,
I am using Zorro 2.30 and tried to test the Markowitz scripts from https://financial-hacker.com/get-rich-slowly/.
In order to get the 'MarkowitzTest.c' running I had to pass 100 instead of 1:

markowitzReturn(Weights,100);

Also the EFrontier.c does not work correctly (at least I get too low numbers).

Any ideas?

Thanks

VHX

Hi VHX

In the Zorro manual, under Function, trading, Markowitz, there is a lot of explanation that may be can help you.

Hi,
just for the sake of completeness. I've been informed by Zorro support that markovitheReturn() has changed. In earlier version there was a normalization and 1 corresponded to a large variance. Now you have to use large values (100-1000) to get the maximum return.

Another point: The EFrontier.c script in the 2016 script repository does not work as expected, the heatmap works but the graphic shows too low values. That is because the scripts calculates daily values, whereas on the Financial Hacker blog annual values are shown.

For an expert maybe easy to figure out.

VHX