Enhancement: Pluggable Strategy Optimizers

[eicnix]

Currently Backtrader performs a grid search to optimize strategy parameters by running through all possible parameters configurations. More complex strategies would benefit from applying more advanced parameter optimizer. While it is possible to perform such optimizations outside of Backtrader one would loose the already established performance improve from running the same strategy with different parameters.

The Optimizer class would take care of:

• Configuring parameter sets to be tested
• Ranking different parameter settings (ranking function should also be configurable for users)
• Determining when to stop the optimization run

Possible interesting stock optimizers are:

• Grid search (keep current behavior as default)
• Bayesian optimization
• Evolutionary optimization

I'm happy to contribute for this enhancement if there is some interest in it.

[alexmi]

I am interested. Can you share

[farcasic]

I'm interested too.

[TheLegendAli]

I am as well, I tried to use different libraries but everything looked like a hack. Ideally we have an optimizer that can:

• Take numerical and categorical values

• Run In Parallel(multi-thread will be a plus)

• have different optimization strategies

-Early stop function

• garbage collection

• intuitive display of errors(for example to identify wether the bug was due to your code or parallelization)