Add scheduled walk-forward optimization support#9611
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Adds QCAlgorithm Optimize overloads backed by a pluggable walk-forward optimization provider contract in Common, including request/result DTOs and Python wrapper forwarding. Verification: dotnet build Tests/QuantConnect.Tests.csproj /p:Configuration=Debug /v:quiet in the SDS Lean workspace; PYTHONNET_PYDLL=/usr/local/lib/libpython3.13.so dotnet test Tests/bin/Debug/QuantConnect.Tests.dll --filter FullyQualifiedName~AlgorithmWalkForwardOptimizationTests.
Exports the walk-forward optimization provider contract through Composer and injects the configured provider when LocalLeanManager receives the algorithm. Verification: dotnet build Tests/QuantConnect.Tests.csproj /p:Configuration=Debug /v:quiet; PYTHONNET_PYDLL=/usr/local/lib/libpython3.13.so dotnet test Tests/bin/Debug/QuantConnect.Tests.dll --filter FullyQualifiedName~WalkForwardOptimizationProviderRoutingTests.
Adds local and cloud walk-forward optimization providers, captures lightweight optimizer backtests for selector flows, and covers target, selector, timeout, abort, and engine-routing behavior with focused tests. Verification: dotnet build Tests/QuantConnect.Tests.csproj /p:Configuration=Debug /v:quiet; dotnet test QuantConnect.Tests.dll --filter WFO provider/algorithm/routing filters; dotnet test QuantConnect.Tests.dll --filter FullyQualifiedName~QuantConnect.Tests.Optimizer.
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Description
Adds scheduled walk-forward optimization support for algorithms:
QCAlgorithm.Optimize(...)overloads that schedule walk-forward optimization similarly toTrain(...).Related Issue
Addresses #7031
Motivation and Context
Issue #7031 requests walk-forward optimization support in LEAN. This PR adds a core API contract and provider routing so algorithms can trigger optimization over time and apply chosen parameters without hard-coding a single execution backend.
Requires Documentation Change
Yes. If accepted, documentation should describe the new
Optimize(...)API and thewalk-forward-optimization-*configuration keys for local and cloud execution.How Has This Been Tested?
Local environment: macOS, .NET SDK in this checkout.
dotnet build Tests/QuantConnect.Tests.csproj /p:Configuration=Debug /v:quietgit diff --check origin/master...HEADTypes of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>Disclosure: I used AI-assisted coding tools while preparing this PR. I reviewed the changes myself, tested them, and take responsibility for the implementation and any follow-up revisions needed.