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Optimizer

It would be nice if an optimization method and functionality could be added to Q...perhaps Q2? Something such as a Bayesian or Particle Swarm optimizer?

Thanks!

1 response

Hello Shoib,

All of this is available:

http://docs.scipy.org/doc/scipy/reference/optimize.html

Plus, there is CVXOPT (although last I checked, it is not quite fully functional/supported - see https://www.quantopian.com/posts/help-w-slash-cvxopt). There have been requests for CVXPY, but to my knowledge, they have not gotten traction.

Awhile back, Thomas Wiecki was talking about hyperopt as an option, but I don't think it ever got released to Quantopian.