API Reference
lean optimize
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.
Options
The lean optimize command supports the following options:
| Option | Description |
|---|---|
--output <path> | Directory to store results in (defaults to <project>/optimizations/<timestamp>). |
--detach, -d | Run 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). |
--update | Pull 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). |
--release | Compile C# projects in release configuration instead of debug. |
--verbose | Enable debug logging. |
--help | Display the help text of the lean optimize command and exit. |
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