I just commited some code to show how one can optimize a parameter of a trading algorithm to increase the sharpe ratio. The code works with the open source LEAN engine.
https://github.com/chrisdk2015/LeanOptimization
Currently there’s a 40 second delay from running each iteration meaning it can take a long time to run say 10,000 iterations 🙂
But hopefully this can be fixed either in the engine or with some further hacks.
Curo Invest 