Optimizing List Of Weights

[DanielGelfand]

Hello,

How can I run the optimizer on a strategy variable which is a list of weights? I'd like the optimizer to figure out the best number to use in each index of an n length list between 0 and 1. Is this possible?

I tried [list(np.linspace(0,1,50))] * n where n is the length of the weights I need. grid wouldn't work and skopt would return a number rather than a list of n weights. Something like [0.1, 0.23, 0.05, ...] is what I need.

I would want to avoid adding n variables to my strategy and asking the strategy to optimize each of them to find the most profitable strategy...