API Reference

lean optimize

Introduction

Optimize a project's parameters locally using Docker.

$ lean optimize <project> [options]

Description

Runs a local optimization in a Docker container using the quantconnect/lean Docker image. The logs of the optimizer are shown in real-time and the full results of the optimizer and all executed backtests are stored in the <project>/optimizations/<timestamp> directory. You can use the --output option to change the output directory.

The given <project> argument must be either a project directory or a file containing the algorithm to run the optimizer for. If it is a project directory the CLI looks for a main.py or Main.cs file, assuming the first file it finds to contain the algorithm to optimize.

By default, an interactive wizard is shown letting you configure the optimizer. When --optimizer-config or --strategy is given the command runs in non-interactive mode and does not prompt for input.

When the --optimizer-config <config file> option is given the specified config file is used. This option must point to a file containing a full optimizer config (the algorithm-type-name, algorithm-language and algorithm-location properties may be omitted). See the Optimizer.Launcher/config.json file in the LEAN repository for an example optimizer configuration file, which also contains documentation on all the required properties.

When --strategy is given, the optimizer configuration is read from the command-line options. This means the --strategy, --target, --target-direction, and --parameter options become required. Additionally, you can also use --constraint to specify optimization constraints.

In non-interactive mode the parameters can be configured using the --parameter option. This option takes 4 values: the name of the parameter, its minimum value, its maximum value, and its step size. You can provide this option multiple times to configure multiple parameters.

In non-interactive mode the constraints can be configured using the --constraint option. This option takes a "statistic operator value" string as value, where the statistic must be a path to a property in a backtest's output file, like "TotalPerformance.PortfolioStatistics.SharpeRatio". This statistic can also be shortened to "SharpeRatio" or "Sharpe Ratio", in which case the command automatically converts it to the longer version. The operator must be one of <, >, <=, >=, ==, and ==, and the value must be a number. You can provide this option multiple times to configure multiple constraints.

Example non-interactive usage:

$ lean optimize "My Project" \
    --strategy "Grid Search" \
    --target "Sharpe Ratio" \
    --target-direction "max" \
    --parameter my-first-parameter 1 10 0.5 \
    --parameter my-second-parameter 20 30 5 \
    --constraint "Drawdown < 0.5" \
    --constraint "Sharpe Ratio >= 1"

The Docker image that is used contains the same libraries as the ones available on QuantConnect. If the selected project is a C# project it is compiled before starting the optimization.

By default, the official LEAN engine image is used. You can override this using the --image <value> option. Alternatively, you can set the default engine image for all commands using lean config set engine-image <value>. The image is pulled before running the optimizer if it doesn't exist locally yet or if you pass the --update flag.

Arguments

The lean optimize command expects the following arguments:

ArgumentDescription
<project>The path to the project directory or algorithm file to run an optimization for.

Options

The lean optimize command supports the following options:

OptionDescription
--output <path>Directory to store results in (defaults to <project>/optimizations/<timestamp>).
--detach, -dRun the optimization in a detached Docker container and return immediately. The name of the Docker container is shown before the command ends. You can use Docker's own commands to manage the detached container.
--optimizer-config <path>The optimizer configuration file that should be used (the algorithm-type-name, algorithm-language and algorithm-location properties may be omitted). See Optimizer.Launcher/config.json in the LEAN repository for an example optimizer config file.
--strategy <value>The optimization strategy to use in non-interactive mode, must be either Grid Search or Euler Search.
--target <value>The path to the property in the backtest's output file to target, like "TotalPerformance.PortfolioStatistics.SharpeRatio". May also be a shortened version, like "SharpeRatio" or "Sharpe Ratio".
--target-direction <value>min if the target must be minimized, max if it must be maximized.
--parameter <name> <min> <max> <step>The 'parameter min max step' pairs configuring the parameters to optimize. May be used multiple times.
--constraint <value>The 'statistic operator value' pairs configuring the constraints of the optimization. May be used multiple times.
--image <value>The LEAN engine image to use (defaults to quantconnect/lean:latest).
--updatePull the LEAN engine image before running the optimizer.
--lean-config <path>The Lean configuration file that should be used (defaults to the nearest lean.json file).
--releaseCompile C# projects in release configuration instead of debug.
--verboseEnable debug logging.
--helpDisplay the help text of the lean optimize command and exit.

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