Desired Behavior

• Create Walk Forward Optimization API in LEAN.
• Harness existing parameters and optimization controller technology to implement scheduled optimizations.
• Use a pluggable source for the optimization provider.
• In backtesting, run local LEAN instances inside LEAN Foundation, as backtests can take a long time.
• In live trading, run an APIOptimizationHandler to run the optimization lift in the cloud; to keep live loads light.
• Use the Scheduled Event System to handle initializing the optimization.

QCAlgorithm.Optimize(DateRule, TimeRule, {Optimization Target | Optimization Target Func<BacktestResults[]>} )

• Date/Time Rules - When to run WFO / Month Start, Week Start etc.
• Optimization Target - Select the winning set pf parameters.
• The result would then set the algorithm parameters set.

Checklist

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