It doesn't look like there are any limits on the weighting, even on the high end.
Furthermore, he's using closing price, not adjusted closing price. So splits and dividends aren't included. (which is most of the return in MSFT for the last 8 years or so).
It's easy to switch to adjusted closing price - there's a 'which_price' dictionary that has adjusted price as an option. The weight limits do go a bit crazy if you can get close to 0 variance (but that's hard to do in real life).
Furthermore, he's using closing price, not adjusted closing price. So splits and dividends aren't included. (which is most of the return in MSFT for the last 8 years or so).