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Fast Optimization Options

Hello Quants,

What are the options to run a fast optimization for cloud version of QuantConnect? I’m trying to find a software that offers optimization features  that supports C#, Python or F#. I know Lean is one of the options...any other options out there?

 

Thanks!

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Sorry we don't offer optimization features yet but we're getting close =)

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Looking forward to this feature added to QuantConnect! In meantime, do you know a third party software that support this? So, after optimization I could just copy over the code to QuantConnect?

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You could perform a Bayesian (Gaussian Process) optimization. This is not ideal as it's manual, and a non smooth evaluation space will require many backtests to probe properly.

Spearmint-lite and other such programs were designed with just this in mind. You could automate the process with the non-lite Spearmint + Lean. Be warned, your evaluation method will determine how overfit the result is.

This project is not useful for this case, but the plots help explain the process very well/fast:

https://github.com/fmfn/BayesianOptimization
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This blog post just came out (I am a big E.P.Chan fan). It does not at all address a fast-solution as you requested, but I found it rather interesting.

http://epchan.blogspot.com/2017/11/optimizing-trading-strategies-without.html
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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