Optimization

Optimization#

OptimizationProblem

Class to store a portfolio optimisation problem configuration.

Optimizer

A class implementing an optimisation task.

PortfolioOptimizer

Simplified wrapper around Optimizer to allow quick and easy portfolio optimization with standard constraints.

WalkForwardGridOptimizer

Helper class enabling the repeated grid optimisation of a strategy and subsequent use of the optimised parameters until the next optimisation.

TermTypes

Collection of term types.

MetricTypes

Collection of metric types.