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all_extras - all soft dependencies +# - dev - the developer dependency set, for contributors +# +# soft dependencies are not required for the core functionality of pyportfolioopt -[tool.poetry.dependencies] -python = ">=3.9" -scipy = ">=1.3" -pandas = ">=0.19" -cvxpy = ">=1.1.19" -numpy = ">=1.26.0" -matplotlib = { version=">=3.2.0", optional=true } -scikit-learn = { version=">=0.24.1", optional=true } -ecos = { version="^2.0.14", optional=true } -plotly = { version="^5.0.0", optional=true } +# all soft dependencies +# +# users can install via "pip install pyportfolioopt[all_extras]" +# +all_extras = [ + "matplotlib>=3.2.0", + "plotly>=5.0.0,<6", + "scikit-learn>=0.24.1", + "ecos>=2.0.14,<2.1", + "plotly>=5.0.0,<6", + "cvxopt", +] -[tool.poetry.dev-dependencies] -pytest = ">=7.1.2" -flake8 = ">=4.0.1" -jupyterlab = ">=3.4.2" -black = ">=22.3.0" -ipykernel = ">=6.13.0" -jedi = ">=0.18.1" -pytest-cov = ">=3.0.0" -yfinance = ">=0.1.70" +dev = [ + "pytest>=7.1.2", + "flake8>=4.0.1", + "black>=22.3.0", + "pytest-cov>=3.0.0"", + "yfinance>=0.1.70", +] -[tool.poetry.extras] -optionals = ["scikit-learn", "matplotlib", "cvxopt"] +[project.urls] +Documentation = "https://pyportfolioopt.readthedocs.io/en/latest/" +Download = "https://pypi.org/project/pyportfolioopt/#files" +Homepage = "https://pyportfolioopt.readthedocs.io/en/latest/" +Repository = "https://github.com/pyportfolio/pyportfolioopt" +"Personal website" = "https://reasonabledeviations.com" [build-system] -requires = ["poetry-core>=1.0.0"] -build-backend = "poetry.core.masonry.api" +build-backend = "setuptools.build_meta" +requires = [ + "setuptools>=78.1.1", +] [tool.black] line-length = 88 diff --git a/requirements.txt b/requirements.txt deleted file mode 100644 index 1bf267ce..00000000 --- a/requirements.txt +++ /dev/null @@ -1,6 +0,0 @@ -cvxpy>=1.1.19 -matplotlib>=3.2.0 -numpy>=1.0.0 -pandas>=0.19 -scikit-learn>=0.24.1 -scipy>=1.3.0 diff --git a/setup.py b/setup.py deleted file mode 100755 index 99926ae3..00000000 --- a/setup.py +++ /dev/null @@ -1,56 +0,0 @@ -import re - -import setuptools - -with open("README.md", "r") as f: - desc = f.read() - desc = desc.split("")[-1] - desc = re.sub("<[^<]+?>", "", desc) # Remove html - -if __name__ == "__main__": - setuptools.setup( - name="pyportfolioopt", - version="1.5.6", - description="Financial portfolio optimization in python", - long_description=desc, - long_description_content_type="text/markdown", - url="https://github.com/pyportfolio/pyportfolioopt", - author="Robert Andrew Martin", - author_email="martin.robertandrew@gmail.com", - license="MIT", - packages=["pypfopt"], - classifiers=[ - "Development Status :: 4 - Beta", - "Environment :: Console", - "Intended Audience :: Financial and Insurance Industry", - "Intended Audience :: Science/Research", - "License :: OSI Approved :: MIT License", - "Natural Language :: English", - "Operating System :: OS Independent", - "Programming Language :: Python :: 3.12", - "Programming Language :: Python :: 3.11", - "Programming Language :: Python :: 3.10", - "Programming Language :: Python :: 3.9", - "Programming Language :: Python :: 3.8", - "Programming Language :: Python :: 3 :: Only", - "Topic :: Office/Business :: Financial", - "Topic :: Office/Business :: Financial :: Investment", - ], - keywords="portfolio finance optimization quant trading investing", - install_requires=[ - "cvxpy", - "matplotlib", - "numpy", - "pandas", - "scikit-learn", - "scipy", - ], - setup_requires=["pytest-runner"], - tests_require=["pytest"], - python_requires=">=3.8", - project_urls={ - "Documentation": "https://pyportfolioopt.readthedocs.io/en/latest/", - "Issues": "https://github.com/pyportfolio/pyportfolioopt/issues", - "Personal website": "https://reasonabledeviations.com", - }, - ) From 0493d1b12f477698f56e1962a43509db8dc23eb0 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Mon, 10 Nov 2025 23:42:29 +0100 Subject: [PATCH 02/24] Update pyproject.toml --- pyproject.toml | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/pyproject.toml b/pyproject.toml index b74aaeef..77af8f67 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -61,7 +61,7 @@ dev = [ "pytest>=7.1.2", "flake8>=4.0.1", "black>=22.3.0", - "pytest-cov>=3.0.0"", + "pytest-cov>=3.0.0", "yfinance>=0.1.70", ] From c4b4dea9ebad9c33e0256b0c3e7a6f5aef651e89 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Mon, 10 Nov 2025 23:44:13 +0100 Subject: [PATCH 03/24] authors --- pyproject.toml | 7 ++++++- 1 file changed, 6 insertions(+), 1 deletion(-) diff --git a/pyproject.toml b/pyproject.toml index 77af8f67..42ef2132 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -3,7 +3,12 @@ name = "pyportfolioopt" version = "1.5.6" description = "Financial portfolio optimization in python" license = "MIT" -authors = ["Robert Andrew Martin "] +maintainers = [ + { name = "Robert Andrew Martin", email = "martin.robertandrew@gmail.com" }, +] +authors = [ + { name = "Robert Andrew Martin", email = "martin.robertandrew@gmail.com" }, +] readme = "README.md" repository = "https://github.com/pyportfolio/pyportfolioopt" documentation = "https://pyportfolioopt.readthedocs.io/en/latest/" From 93e47bccf90544b7bec8e4e878a7a2bd6692ac7b Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Mon, 10 Nov 2025 23:46:07 +0100 Subject: [PATCH 04/24] Update pyproject.toml --- pyproject.toml | 3 --- 1 file changed, 3 deletions(-) diff --git a/pyproject.toml b/pyproject.toml index 42ef2132..8ed72130 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -10,8 +10,6 @@ authors = [ { name = "Robert Andrew Martin", email = "martin.robertandrew@gmail.com" }, ] readme = "README.md" -repository = "https://github.com/pyportfolio/pyportfolioopt" -documentation = "https://pyportfolioopt.readthedocs.io/en/latest/" keywords= ["finance", "portfolio", "optimization", "quant", "investing"] classifiers=[ "Development Status :: 4 - Beta", @@ -30,7 +28,6 @@ classifiers=[ "Topic :: Office/Business :: Financial", "Topic :: Office/Business :: Financial :: Investment", ] -packages = [ {include = "pypfopt"} ] # core dependencies of pyportfolioopt # this set should be kept minimal! From 4aadf938e0c748efd1c44f7146b934a0032835a6 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Mon, 10 Nov 2025 23:47:03 +0100 Subject: [PATCH 05/24] Update pyproject.toml --- pyproject.toml | 3 +++ 1 file changed, 3 insertions(+) diff --git a/pyproject.toml b/pyproject.toml index 8ed72130..a41ae211 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -80,6 +80,9 @@ requires = [ "setuptools>=78.1.1", ] +[tool.setuptools.packages.find] +exclude = ["example", "example.*", "tests", "tests.*"] + [tool.black] line-length = 88 From ee2efcf135f1b68e9f3f688f3214493ad7619bfb Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Mon, 10 Nov 2025 23:48:52 +0100 Subject: [PATCH 06/24] Update pyproject.toml --- pyproject.toml | 32 ++++++++++++++++---------------- 1 file changed, 16 insertions(+), 16 deletions(-) diff --git a/pyproject.toml b/pyproject.toml index a41ae211..11ae2a63 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -12,22 +12,22 @@ authors = [ readme = "README.md" keywords= ["finance", "portfolio", "optimization", "quant", "investing"] classifiers=[ - "Development Status :: 4 - Beta", - "Environment :: Console", - "Intended Audience :: Financial and Insurance Industry", - "Intended Audience :: Science/Research", - "License :: OSI Approved :: MIT License", - "Natural Language :: English", - "Operating System :: OS Independent", - "Programming Language :: Python :: 3.14", - "Programming Language :: Python :: 3.13", - "Programming Language :: Python :: 3.12", - "Programming Language :: Python :: 3.11", - "Programming Language :: Python :: 3.10", - "Programming Language :: Python :: 3 :: Only", - "Topic :: Office/Business :: Financial", - "Topic :: Office/Business :: Financial :: Investment", - ] + "Development Status :: 4 - Beta", + "Environment :: Console", + "Intended Audience :: Financial and Insurance Industry", + "Intended Audience :: Science/Research", + "License :: OSI Approved :: MIT License", + "Natural Language :: English", + "Operating System :: OS Independent", + "Programming Language :: Python :: 3.14", + "Programming Language :: Python :: 3.13", + "Programming Language :: Python :: 3.12", + "Programming Language :: Python :: 3.11", + "Programming Language :: Python :: 3.10", + "Programming Language :: Python :: 3 :: Only", + "Topic :: Office/Business :: Financial", + "Topic :: Office/Business :: Financial :: Investment", +] # core dependencies of pyportfolioopt # this set should be kept minimal! From 196c15327b255f6b07fcd98b733c6c5fbc184f32 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Mon, 10 Nov 2025 23:50:39 +0100 Subject: [PATCH 07/24] license --- LICENSE.txt => LICENSE | 0 pyproject.toml | 2 +- 2 files changed, 1 insertion(+), 1 deletion(-) rename LICENSE.txt => LICENSE (100%) diff --git a/LICENSE.txt b/LICENSE similarity index 100% rename from LICENSE.txt rename to LICENSE diff --git a/pyproject.toml b/pyproject.toml index 11ae2a63..238879ef 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -2,7 +2,7 @@ name = "pyportfolioopt" version = "1.5.6" description = "Financial portfolio optimization in python" -license = "MIT" +license = { file = "LICENSE" } maintainers = [ { name = "Robert Andrew Martin", email = "martin.robertandrew@gmail.com" }, ] From 75819ad1af5a8aadb1654e9246d3083bc09881d2 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Mon, 10 Nov 2025 23:52:46 +0100 Subject: [PATCH 08/24] Update pyproject.toml --- pyproject.toml | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/pyproject.toml b/pyproject.toml index 238879ef..c3d34c2d 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -56,7 +56,7 @@ all_extras = [ "scikit-learn>=0.24.1", "ecos>=2.0.14,<2.1", "plotly>=5.0.0,<6", - "cvxopt", + "cvxopt; python_version < '3.14'", ] dev = [ From 7bdfa0dcff3a449b48a9dc1c50b8eb1657d59d77 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Mon, 10 Nov 2025 23:53:11 +0100 Subject: [PATCH 09/24] Update pyproject.toml --- pyproject.toml | 1 + 1 file changed, 1 insertion(+) diff --git a/pyproject.toml b/pyproject.toml index c3d34c2d..e4c970db 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -59,6 +59,7 @@ all_extras = [ "cvxopt; python_version < '3.14'", ] +# dev - the developer dependency set, for contributors dev = [ "pytest>=7.1.2", "flake8>=4.0.1", From 22f2ea925c69fcb157e9dd783b052ab6082a4ab5 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Mon, 10 Nov 2025 23:53:16 +0100 Subject: [PATCH 10/24] Update pyproject.toml --- pyproject.toml | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/pyproject.toml b/pyproject.toml index e4c970db..b0d873e6 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -59,7 +59,7 @@ all_extras = [ "cvxopt; python_version < '3.14'", ] -# dev - the developer dependency set, for contributors +# dev - the developer dependency set, for contributors and CI dev = [ "pytest>=7.1.2", "flake8>=4.0.1", From e45e9e9a587ce2ece744c370f5528c27c90e2b05 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Mon, 10 Nov 2025 23:54:32 +0100 Subject: [PATCH 11/24] Update main.yml --- .github/workflows/main.yml | 33 +++++++++++++++++++++++++++++++++ 1 file changed, 33 insertions(+) diff --git a/.github/workflows/main.yml b/.github/workflows/main.yml index 053536ff..3191e98a 100644 --- a/.github/workflows/main.yml +++ b/.github/workflows/main.yml @@ -10,6 +10,39 @@ on: branches: ["main"] jobs: + pytest/nosoftdeps: + name: py${{ matrix.python-version }} on ${{ matrix.os }} + runs-on: ${{ matrix.os }} + env: + MPLBACKEND: Agg # https://github.com/orgs/community/discussions/26434 + strategy: + matrix: + os: [ubuntu-latest, macos-latest, windows-latest] + python-version: ["3.10", "3.11", "3.12", "3.13", "3.14"] + + steps: + - uses: actions/checkout@v5 + - name: Set up Python ${{ matrix.python-version }} + uses: actions/setup-python@v6 + with: + python-version: ${{ matrix.python-version }} + cache: "pip" + - name: Install dependencies + run: | + pip install -e ".[dev]" + - name: Test with pytest + run: | + pytest ./tests + - name: Check with isort + run: | + isort --check --diff . + - name: Check with black + run: | + black --check --diff . + - name: Check with flake8 + run: | + flake8 --show-source --statistics . + pytest: name: py${{ matrix.python-version }} on ${{ matrix.os }} runs-on: ${{ matrix.os }} From c1b2cddcce5f468bc030259d3ef0797ba0ed7ee6 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Mon, 10 Nov 2025 23:54:39 +0100 Subject: [PATCH 12/24] Update main.yml --- .github/workflows/main.yml | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/.github/workflows/main.yml b/.github/workflows/main.yml index 3191e98a..835f5e2b 100644 --- a/.github/workflows/main.yml +++ b/.github/workflows/main.yml @@ -10,7 +10,7 @@ on: branches: ["main"] jobs: - pytest/nosoftdeps: + pytest-nosoftdeps: name: py${{ matrix.python-version }} on ${{ matrix.os }} runs-on: ${{ matrix.os }} env: From 3fc7622204bb5986520f750e84d8d6187401bd94 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Tue, 11 Nov 2025 00:32:32 +0100 Subject: [PATCH 13/24] Update main.yml --- .github/workflows/main.yml | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/.github/workflows/main.yml b/.github/workflows/main.yml index 88c094de..2ece4ba5 100644 --- a/.github/workflows/main.yml +++ b/.github/workflows/main.yml @@ -15,7 +15,7 @@ concurrency: jobs: pytest-nosoftdeps: - name: py${{ matrix.python-version }} on ${{ matrix.os }} + name: nosoftdeps (${{ matrix.python-version }}, ${{ matrix.os }}) runs-on: ${{ matrix.os }} env: MPLBACKEND: Agg # https://github.com/orgs/community/discussions/26434 @@ -23,6 +23,7 @@ jobs: matrix: os: [ubuntu-latest, macos-latest, windows-latest] python-version: ["3.10", "3.11", "3.12", "3.13", "3.14"] + fail-fast: false # to not fail all combinations if just one fails steps: - uses: actions/checkout@v5 From b9f7fc4ba0a98e309c069b5feb487826b3375b23 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Tue, 11 Nov 2025 00:34:25 +0100 Subject: [PATCH 14/24] Update test_plotting.py --- tests/test_plotting.py | 35 +++++++++++++++++++++++++++++++++-- 1 file changed, 33 insertions(+), 2 deletions(-) diff --git a/tests/test_plotting.py b/tests/test_plotting.py index 21db2d3b..bea59433 100644 --- a/tests/test_plotting.py +++ b/tests/test_plotting.py @@ -1,8 +1,6 @@ import os import tempfile -import matplotlib -import matplotlib.pyplot as plt import numpy as np import pandas as pd import pytest @@ -19,6 +17,8 @@ def test_correlation_plot(): + import matplotlib.pyplot as plt + plt.figure() df = get_data() S = risk_models.CovarianceShrinkage(df).ledoit_wolf() @@ -50,6 +50,9 @@ def test_correlation_plot(): def test_dendrogram_plot(): + import matplotlib + import matplotlib.pyplot as plt + plt.figure() df = get_data() returns = df.pct_change().dropna(how="all") @@ -84,6 +87,8 @@ def test_dendrogram_plot(): def test_cla_plot(): + import matplotlib.pyplot as plt + plt.figure() df = get_data() rets = expected_returns.mean_historical_return(df) @@ -101,6 +106,8 @@ def test_cla_plot(): def test_cla_plot_ax(): + import matplotlib.pyplot as plt + plt.figure() df = get_data() rets = expected_returns.mean_historical_return(df) @@ -115,6 +122,8 @@ def test_cla_plot_ax(): def test_default_ef_plot(): + import matplotlib.pyplot as plt + plt.figure() ef = setup_efficient_frontier() ax = plotting.plot_efficient_frontier(ef, show_assets=True) @@ -132,6 +141,8 @@ def test_default_ef_plot(): def test_default_ef_plot_labels(): + import matplotlib.pyplot as plt + plt.figure() ef = setup_efficient_frontier() ax = plotting.plot_efficient_frontier(ef, show_assets=True, show_tickers=True) @@ -140,6 +151,8 @@ def test_default_ef_plot_labels(): def test_ef_plot_utility(): + import matplotlib.pyplot as plt + plt.figure() ef = setup_efficient_frontier() delta_range = np.arange(0.001, 50, 1) @@ -152,6 +165,8 @@ def test_ef_plot_utility(): def test_ef_plot_errors(): + import matplotlib.pyplot as plt + plt.figure() ef = setup_efficient_frontier() delta_range = np.arange(0.001, 50, 1) @@ -170,6 +185,8 @@ def test_ef_plot_errors(): def test_ef_plot_risk(): + import matplotlib.pyplot as plt + plt.figure() ef = setup_efficient_frontier() ef.min_volatility() @@ -186,6 +203,8 @@ def test_ef_plot_risk(): def test_ef_plot_return(): + import matplotlib.pyplot as plt + plt.figure() ef = setup_efficient_frontier() # Internally _max_return() is used, so subtract epsilon @@ -200,6 +219,8 @@ def test_ef_plot_return(): def test_ef_plot_utility_short(): + import matplotlib.pyplot as plt + plt.figure() ef = EfficientFrontier( *setup_efficient_frontier(data_only=True), weight_bounds=(None, None) @@ -214,6 +235,8 @@ def test_ef_plot_utility_short(): def test_constrained_ef_plot_utility(): + import matplotlib.pyplot as plt + plt.figure() ef = setup_efficient_frontier() ef.add_constraint(lambda w: w[0] >= 0.2) @@ -230,6 +253,8 @@ def test_constrained_ef_plot_utility(): def test_constrained_ef_plot_risk(): + import matplotlib.pyplot as plt + plt.figure() ef = EfficientFrontier( *setup_efficient_frontier(data_only=True), weight_bounds=(None, None) @@ -250,6 +275,8 @@ def test_constrained_ef_plot_risk(): def test_weight_plot(): + import matplotlib.pyplot as plt + plt.figure() df = get_data() returns = df.pct_change().dropna(how="all") @@ -263,6 +290,8 @@ def test_weight_plot(): def test_weight_plot_multi(): + import matplotlib.pyplot as plt + ef = setup_efficient_frontier() w1 = ef.min_volatility() ef = setup_efficient_frontier() @@ -279,6 +308,8 @@ def test_weight_plot_multi(): def test_weight_plot_add_attribute(): + import matplotlib.pyplot as plt + plt.figure() ef = setup_efficient_frontier() From 7c800f5226548eaa00fe7e5003fb4b49b07676f0 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Tue, 11 Nov 2025 00:36:21 +0100 Subject: [PATCH 15/24] Update test_plotting.py --- tests/test_plotting.py | 2 ++ 1 file changed, 2 insertions(+) diff --git a/tests/test_plotting.py b/tests/test_plotting.py index bea59433..556dffc5 100644 --- a/tests/test_plotting.py +++ b/tests/test_plotting.py @@ -321,6 +321,8 @@ def test_weight_plot_add_attribute(): def test_plotting_edge_case(): + import matplotlib.pyplot as plt + # raised in issue #333 mu = pd.Series([0.043389, 0.036194]) S = pd.DataFrame([[0.000562, 0.002273], [0.002273, 0.027710]]) From ab944bd4cce8aaa6671e816b71cf1566961a374d Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Tue, 11 Nov 2025 00:38:46 +0100 Subject: [PATCH 16/24] Update plotting.py --- pypfopt/plotting.py | 23 +++++++++++++++++++---- 1 file changed, 19 insertions(+), 4 deletions(-) diff --git a/pypfopt/plotting.py b/pypfopt/plotting.py index 54fcf48a..4bc3c8fa 100644 --- a/pypfopt/plotting.py +++ b/pypfopt/plotting.py @@ -16,10 +16,15 @@ from . import CLA, EfficientFrontier, exceptions, risk_models -try: - import matplotlib.pyplot as plt -except (ModuleNotFoundError, ImportError): # pragma: no cover - raise ImportError("Please install matplotlib via pip or poetry") + +def _import_matplotlib(): + """Helper function to import matplotlib only when needed""" + try: + import matplotlib.pyplot as plt + + return plt + except (ModuleNotFoundError, ImportError): # pragma: no cover + raise ImportError("Please install matplotlib via pip or poetry") def _get_plotly(): @@ -46,6 +51,8 @@ def _plot_io(**kwargs): :param showfig: whether to plt.show() the figure, defaults to False :type showfig: bool, optional """ + plt = _import_matplotlib() + filename = kwargs.get("filename", None) showfig = kwargs.get("showfig", False) dpi = kwargs.get("dpi", 300) @@ -73,6 +80,8 @@ def plot_covariance(cov_matrix, plot_correlation=False, show_tickers=True, **kwa :return: matplotlib axis :rtype: matplotlib.axes object """ + plt = _import_matplotlib() + if plot_correlation: matrix = risk_models.cov_to_corr(cov_matrix) else: @@ -110,6 +119,8 @@ def plot_dendrogram(hrp, ax=None, show_tickers=True, **kwargs): :return: matplotlib axis :rtype: matplotlib.axes object """ + plt = _import_matplotlib() + ax = ax or plt.gca() if hrp.clusters is None: @@ -337,6 +348,8 @@ def plot_efficient_frontier( :return: matplotlib axis :rtype: matplotlib.axes object """ + plt = _import_matplotlib() + if interactive: go, _ = _get_plotly() ax = go.Figure() @@ -393,6 +406,8 @@ def plot_weights(weights, ax=None, **kwargs): :return: matplotlib axis :rtype: matplotlib.axes """ + plt = _import_matplotlib() + ax = ax or plt.gca() desc = sorted(weights.items(), key=lambda x: x[1], reverse=True) From ec9972347649b7bd8ccd0aba4578440cd911e1c5 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Fri, 14 Nov 2025 21:40:22 +0100 Subject: [PATCH 17/24] Update main.yml --- .github/workflows/main.yml | 5 +++-- 1 file changed, 3 insertions(+), 2 deletions(-) diff --git a/.github/workflows/main.yml b/.github/workflows/main.yml index bb0eb4af..9ee1ae55 100644 --- a/.github/workflows/main.yml +++ b/.github/workflows/main.yml @@ -51,6 +51,7 @@ jobs: fi pytest-nosoftdeps: + needs: code-quality name: nosoftdeps (${{ matrix.python-version }}, ${{ matrix.os }}) runs-on: ${{ matrix.os }} env: @@ -103,7 +104,7 @@ jobs: flake8 --show-source --statistics . pytest: - needs: code-quality + needs: pytest-nosoftdeps name: py${{ matrix.python-version }} on ${{ matrix.os }} runs-on: ${{ matrix.os }} env: @@ -193,8 +194,8 @@ jobs: fail_ci_if_error: true notebooks: - runs-on: ubuntu-latest needs: code-quality + runs-on: ubuntu-latest strategy: matrix: From b521657e99a973514f66adac6ee7bf78b25af0d2 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Fri, 14 Nov 2025 23:27:00 +0100 Subject: [PATCH 18/24] isolate mpl --- .github/workflows/main.yml | 4 +-- pyproject.toml | 1 + tests/test_plotting.py | 73 ++++++++++++++++++++++++++++++++++++++ 3 files changed, 76 insertions(+), 2 deletions(-) diff --git a/.github/workflows/main.yml b/.github/workflows/main.yml index 9ee1ae55..e873a0dc 100644 --- a/.github/workflows/main.yml +++ b/.github/workflows/main.yml @@ -105,7 +105,7 @@ jobs: pytest: needs: pytest-nosoftdeps - name: py${{ matrix.python-version }} on ${{ matrix.os }} + name: (${{ matrix.python-version }}, ${{ matrix.os }}) runs-on: ${{ matrix.os }} env: MPLBACKEND: Agg # https://github.com/orgs/community/discussions/26434 @@ -145,7 +145,7 @@ jobs: pytest ./tests codecov: - name: py${{ matrix.python-version }} on ${{ matrix.os }} + name: coverage (${{ matrix.python-version }} on ${{ matrix.os }} runs-on: ${{ matrix.os }} needs: code-quality env: diff --git a/pyproject.toml b/pyproject.toml index 9e7a45f8..f18b8fbc 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -37,6 +37,7 @@ dependencies = [ "pandas>=0.19", "scikit-learn>=0.24.1", "scipy>=1.3.0", + "scikit-base<0.14.0", ] [project.optional-dependencies] diff --git a/tests/test_plotting.py b/tests/test_plotting.py index 06e53fd2..a4e5a3fb 100644 --- a/tests/test_plotting.py +++ b/tests/test_plotting.py @@ -4,6 +4,7 @@ import numpy as np import pandas as pd import pytest +from skbase.utils.dependencies import _check_soft_dependencies from pypfopt import ( CLA, @@ -16,6 +17,10 @@ from tests.utilities_for_tests import get_data, setup_efficient_frontier +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_correlation_plot(): import matplotlib.pyplot as plt @@ -49,6 +54,10 @@ def test_correlation_plot(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_dendrogram_plot(): import matplotlib import matplotlib.pyplot as plt @@ -86,6 +95,10 @@ def test_dendrogram_plot(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_cla_plot(): import matplotlib.pyplot as plt @@ -105,6 +118,10 @@ def test_cla_plot(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_cla_plot_ax(): import matplotlib.pyplot as plt @@ -121,6 +138,10 @@ def test_cla_plot_ax(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_default_ef_plot(): import matplotlib.pyplot as plt @@ -140,6 +161,10 @@ def test_default_ef_plot(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_default_ef_plot_labels(): import matplotlib.pyplot as plt @@ -150,6 +175,10 @@ def test_default_ef_plot_labels(): plt.clf() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_ef_plot_utility(): import matplotlib.pyplot as plt @@ -164,6 +193,10 @@ def test_ef_plot_utility(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_ef_plot_errors(): import matplotlib.pyplot as plt @@ -184,6 +217,10 @@ def test_ef_plot_errors(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_ef_plot_risk(): import matplotlib.pyplot as plt @@ -202,6 +239,10 @@ def test_ef_plot_risk(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_ef_plot_return(): import matplotlib.pyplot as plt @@ -218,6 +259,10 @@ def test_ef_plot_return(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_ef_plot_utility_short(): import matplotlib.pyplot as plt @@ -234,6 +279,10 @@ def test_ef_plot_utility_short(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_constrained_ef_plot_utility(): import matplotlib.pyplot as plt @@ -252,6 +301,10 @@ def test_constrained_ef_plot_utility(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_constrained_ef_plot_risk(): import matplotlib.pyplot as plt @@ -274,6 +327,10 @@ def test_constrained_ef_plot_risk(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_weight_plot(): import matplotlib.pyplot as plt @@ -289,6 +346,10 @@ def test_weight_plot(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_weight_plot_multi(): import matplotlib.pyplot as plt @@ -307,6 +368,10 @@ def test_weight_plot_multi(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_weight_plot_add_attribute(): import matplotlib.pyplot as plt @@ -320,6 +385,10 @@ def test_weight_plot_add_attribute(): plt.close() +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_plotting_edge_case(): import matplotlib.pyplot as plt @@ -339,6 +408,10 @@ def test_plotting_edge_case(): ) +@pytest.mark.skipif( + not _check_soft_dependencies(["matplotlib"], severity="none"), + reason="skip test if matplotlib is not installed in environment", +) def test_plot_efficient_frontier(): ef = setup_efficient_frontier() ef.min_volatility() From ceeeaf75e089fd55778a3c01136710eee7afab40 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Fri, 14 Nov 2025 23:37:53 +0100 Subject: [PATCH 19/24] ecos --- pypfopt/discrete_allocation.py | 19 +++++++++++++++++-- tests/test_efficient_cdar.py | 9 +++++++++ tests/test_efficient_cvar.py | 9 +++++++++ tests/test_efficient_frontier.py | 5 +++++ 4 files changed, 40 insertions(+), 2 deletions(-) diff --git a/pypfopt/discrete_allocation.py b/pypfopt/discrete_allocation.py index d67f9116..1324ec55 100644 --- a/pypfopt/discrete_allocation.py +++ b/pypfopt/discrete_allocation.py @@ -4,10 +4,12 @@ """ import collections +from warnings import warn import cvxpy as cp import numpy as np import pandas as pd +from skbase.utils.dependencies import _check_soft_dependencies from . import exceptions @@ -252,7 +254,8 @@ def greedy_portfolio(self, reinvest=False, verbose=False): self._allocation_rmse_error(verbose) return self.allocation, available_funds - def lp_portfolio(self, reinvest=False, verbose=False, solver="ECOS_BB"): + # todo 1.7.0: remove ECOS_BB defaulting behavior from docstring + def lp_portfolio(self, reinvest=False, verbose=False, solver=None): """ Convert continuous weights into a discrete portfolio allocation using integer programming. @@ -262,11 +265,23 @@ def lp_portfolio(self, reinvest=False, verbose=False, solver="ECOS_BB"): :param verbose: print error analysis? :type verbose: bool :param solver: the CVXPY solver to use (must support mixed-integer programs) - :type solver: str, defaults to "ECOS_BB" + :type solver: str, defaults to "ECOS_BB" if ecos is installed, else None :return: the number of shares of each ticker that should be purchased, along with the amount of funds leftover. :rtype: (dict, float) """ + # todo 1.7.0: remove this defaulting behavior + if solver is None and _check_soft_dependencies("ecos", severity="none"): + solver="ECOS_BB" + warn( + "The default solver for lp_portfolio will change from ECOS_BB to" + "None, the cvxpy default solver, in release 1.7.0." + "To continue using ECOS_BB as the solver, " + "please set solver='ECOS_BB' explicitly.", + FutureWarning, + ) + # end todo + if any([w < 0 for _, w in self.weights]): longs = {t: w for t, w in self.weights if w >= 0} shorts = {t: -w for t, w in self.weights if w < 0} diff --git a/tests/test_efficient_cdar.py b/tests/test_efficient_cdar.py index 4ed6d57b..746efdec 100644 --- a/tests/test_efficient_cdar.py +++ b/tests/test_efficient_cdar.py @@ -1,5 +1,6 @@ import numpy as np import pytest +from skbase.utils.dependencies import _check_soft_dependencies from pypfopt import EfficientCDaR, expected_returns, objective_functions from pypfopt.exceptions import OptimizationError @@ -151,6 +152,10 @@ def test_min_cdar_extra_constraints(): assert w["GOOG"] >= 0.025 and w["MA"] <= 0.035 +@pytest.mark.skipif( + not _check_soft_dependencies(["ecos"], severity="none"), + reason="skip test if ecos is not installed in environment", +) def test_min_cdar_different_solver(): cd = setup_efficient_cdar(solver="ECOS") w = cd.min_cdar() @@ -182,6 +187,10 @@ def test_min_cdar_tx_costs(): assert np.abs(prev_w - w2).sum() < np.abs(prev_w - w1).sum() +@pytest.mark.skipif( + not _check_soft_dependencies(["ecos"], severity="none"), + reason="skip test if ecos is not installed in environment", +) def test_min_cdar_L2_reg(): cd = setup_efficient_cdar(solver="ECOS") cd.add_objective(objective_functions.L2_reg, gamma=0.1) diff --git a/tests/test_efficient_cvar.py b/tests/test_efficient_cvar.py index 14a2d863..2d20c79e 100644 --- a/tests/test_efficient_cvar.py +++ b/tests/test_efficient_cvar.py @@ -1,5 +1,6 @@ import numpy as np import pytest +from skbase.utils.dependencies import _check_soft_dependencies from pypfopt import EfficientCVaR, expected_returns, objective_functions from pypfopt.exceptions import OptimizationError @@ -156,6 +157,10 @@ def test_min_cvar_extra_constraints(): assert w["GOOG"] >= 0.025 and w["AAPL"] <= 0.035 +@pytest.mark.skipif( + not _check_soft_dependencies(["ecos"], severity="none"), + reason="skip test if ecos is not installed in environment", +) def test_min_cvar_different_solver(): cv = setup_efficient_cvar(solver="ECOS") w = cv.min_cvar() @@ -186,6 +191,10 @@ def test_min_cvar_tx_costs(): assert np.abs(prev_w - w2).sum() < np.abs(prev_w - w1).sum() +@pytest.mark.skipif( + not _check_soft_dependencies(["ecos"], severity="none"), + reason="skip test if ecos is not installed in environment", +) def test_min_cvar_L2_reg(): cv = setup_efficient_cvar(solver="ECOS") cv.add_objective(objective_functions.L2_reg, gamma=0.1) diff --git a/tests/test_efficient_frontier.py b/tests/test_efficient_frontier.py index 580f2dd5..cfc38385 100644 --- a/tests/test_efficient_frontier.py +++ b/tests/test_efficient_frontier.py @@ -5,6 +5,7 @@ import pandas as pd import pytest import scipy.optimize as sco +from skbase.utils.dependencies import _check_soft_dependencies from pypfopt import ( EfficientFrontier, @@ -106,6 +107,10 @@ def test_min_volatility(): ) +@pytest.mark.skipif( + not _check_soft_dependencies(["ecos"], severity="none"), + reason="skip test if ecos is not installed in environment", +) def test_min_volatility_different_solver(): ef = setup_efficient_frontier(solver="ECOS") w = ef.min_volatility() From 2cb89046d6e2799bd2fe8f83af70ccdf373baf2e Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Fri, 14 Nov 2025 23:39:10 +0100 Subject: [PATCH 20/24] Update discrete_allocation.py --- pypfopt/discrete_allocation.py | 16 ++++++++-------- 1 file changed, 8 insertions(+), 8 deletions(-) diff --git a/pypfopt/discrete_allocation.py b/pypfopt/discrete_allocation.py index 1324ec55..1093866f 100644 --- a/pypfopt/discrete_allocation.py +++ b/pypfopt/discrete_allocation.py @@ -272,14 +272,14 @@ def lp_portfolio(self, reinvest=False, verbose=False, solver=None): """ # todo 1.7.0: remove this defaulting behavior if solver is None and _check_soft_dependencies("ecos", severity="none"): - solver="ECOS_BB" - warn( - "The default solver for lp_portfolio will change from ECOS_BB to" - "None, the cvxpy default solver, in release 1.7.0." - "To continue using ECOS_BB as the solver, " - "please set solver='ECOS_BB' explicitly.", - FutureWarning, - ) + solver = "ECOS_BB" + warn( + "The default solver for lp_portfolio will change from ECOS_BB to" + "None, the cvxpy default solver, in release 1.7.0." + "To continue using ECOS_BB as the solver, " + "please set solver='ECOS_BB' explicitly.", + FutureWarning, + ) # end todo if any([w < 0 for _, w in self.weights]): From fb24481dd40c66be6a6ecbc7eef66608add89b2c Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Fri, 14 Nov 2025 23:39:15 +0100 Subject: [PATCH 21/24] Update discrete_allocation.py --- pypfopt/discrete_allocation.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/pypfopt/discrete_allocation.py b/pypfopt/discrete_allocation.py index 1093866f..4e4d8d4c 100644 --- a/pypfopt/discrete_allocation.py +++ b/pypfopt/discrete_allocation.py @@ -278,7 +278,7 @@ def lp_portfolio(self, reinvest=False, verbose=False, solver=None): "None, the cvxpy default solver, in release 1.7.0." "To continue using ECOS_BB as the solver, " "please set solver='ECOS_BB' explicitly.", - FutureWarning, + FutureWarning, ) # end todo From 583dbe4b9729777a81d494edbf2365d2bb76ed65 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Fri, 14 Nov 2025 23:44:31 +0100 Subject: [PATCH 22/24] ecos --- tests/test_efficient_frontier.py | 12 ++++++++++++ tests/test_efficient_semivariance.py | 9 +++++++++ 2 files changed, 21 insertions(+) diff --git a/tests/test_efficient_frontier.py b/tests/test_efficient_frontier.py index cfc38385..4028e1a7 100644 --- a/tests/test_efficient_frontier.py +++ b/tests/test_efficient_frontier.py @@ -1047,6 +1047,10 @@ def test_efficient_risk_market_neutral_L2_reg(): ) +@pytest.mark.skipif( + not _check_soft_dependencies(["ecos"], severity="none"), + reason="skip test if ecos is not installed in environment", +) def test_efficient_risk_market_neutral_warning(): ef = setup_efficient_frontier(solver=cp.ECOS) with pytest.warns(RuntimeWarning) as w: @@ -1093,6 +1097,10 @@ def test_efficient_frontier_error(): EfficientFrontier(ef.expected_returns, 0.01) +@pytest.mark.skipif( + not _check_soft_dependencies(["ecos"], severity="none"), + reason="skip test if ecos is not installed in environment", +) def test_efficient_return_many_values(): ef = setup_efficient_frontier(solver=cp.ECOS) for target_return in np.arange(0.25, 0.28, 0.01): @@ -1222,6 +1230,10 @@ def test_efficient_return_market_neutral_unbounded(): assert long_only_sharpe < sharpe +@pytest.mark.skipif( + not _check_soft_dependencies(["ecos"], severity="none"), + reason="skip test if ecos is not installed in environment", +) def test_efficient_return_market_neutral_warning(): # This fails ef = setup_efficient_frontier(solver=cp.ECOS) diff --git a/tests/test_efficient_semivariance.py b/tests/test_efficient_semivariance.py index 4aa9cc51..09a28b32 100644 --- a/tests/test_efficient_semivariance.py +++ b/tests/test_efficient_semivariance.py @@ -1,6 +1,7 @@ import numpy as np import pytest from cvxpy.error import SolverError +from skbase.utils.dependencies import _check_soft_dependencies from pypfopt import ( EfficientFrontier, @@ -176,6 +177,10 @@ def test_min_semivariance_extra_constraints(): assert w["GOOG"] >= 0.025 and w["AAPL"] <= 0.035 +@pytest.mark.skipif( + not _check_soft_dependencies(["ecos"], severity="none"), + reason="skip test if ecos is not installed in environment", +) def test_min_semivariance_different_solver(): es = setup_efficient_semivariance(solver="ECOS") w = es.min_semivariance() @@ -347,6 +352,10 @@ def test_max_quadratic_utility_with_shorts(): ) +@pytest.mark.skipif( + not _check_soft_dependencies(["ecos"], severity="none"), + reason="skip test if ecos is not installed in environment", +) def test_max_quadratic_utility_market_neutral(): es = setup_efficient_semivariance(solver="ECOS", weight_bounds=(-1, 1)) es.max_quadratic_utility(market_neutral=True) From 09f76bcf8c25f462d8c1dfcbcf1c571b7d29a5eb Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Fri, 14 Nov 2025 23:45:37 +0100 Subject: [PATCH 23/24] Update test_efficient_semivariance.py --- tests/test_efficient_semivariance.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/tests/test_efficient_semivariance.py b/tests/test_efficient_semivariance.py index 09a28b32..7da9655b 100644 --- a/tests/test_efficient_semivariance.py +++ b/tests/test_efficient_semivariance.py @@ -1,6 +1,6 @@ +from cvxpy.error import SolverError import numpy as np import pytest -from cvxpy.error import SolverError from skbase.utils.dependencies import _check_soft_dependencies from pypfopt import ( From ee214dcc289fd503f3156402e9418f561859db55 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Franz=20Kir=C3=A1ly?= Date: Fri, 14 Nov 2025 23:56:30 +0100 Subject: [PATCH 24/24] Update main.yml --- .github/workflows/main.yml | 12 ------------ 1 file changed, 12 deletions(-) diff --git a/.github/workflows/main.yml b/.github/workflows/main.yml index e873a0dc..7d1d2e5f 100644 --- a/.github/workflows/main.yml +++ b/.github/workflows/main.yml @@ -91,18 +91,6 @@ jobs: run: | pytest ./tests - - name: Check with isort - run: | - isort --check --diff . - - - name: Check with black - run: | - black --check --diff . - - - name: Check with flake8 - run: | - flake8 --show-source --statistics . - pytest: needs: pytest-nosoftdeps name: (${{ matrix.python-version }}, ${{ matrix.os }})