Walk Forward Optimization

Desired Behavior

• Create Walk Forward Optimization API in LEAN.
• Harness existing parameters and optimization controller technology to implement scheduled optimizations.
• Use a pluggable source for the optimization provider.
• In backtesting, run local LEAN instances inside LEAN Foundation, as backtests can take a long time.
• In live trading, run an APIOptimizationHandler to run the optimization lift in the cloud; to keep live loads light.
• Use the Scheduled Event System to handle initializing the optimization.

QCAlgorithm.Optimize(DateRule, TimeRule, {Optimization Target | Optimization Target Func<BacktestResults[]>} )

• Date/Time Rules - When to run WFO / Month Start, Week Start etc.
• Optimization Target - Select the winning set pf parameters.
• The result would then set the algorithm parameters set.

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues

Start by reading the existing parameters and optimization controller technology, then trace the Scheduled Event System and the proposed QCAlgorithm.Optimize API. Done means scheduled optimizations use a pluggable provider, local LEAN instances for backtesting, and APIOptimizationHandler in live trading to update algorithm parameters.