Optimization

Optimization#

MetricTypes

Collection of metric types.

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.

TermTypes

Collection of term types.

WalkForwardGridOptimizer

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