def optimize(dt_start, dt_end, ls_symbols):
max_sharpe = 0
max_sharpe_alloc = []
for i1 in range(0, 11):
for i2 in range(0, 11):
for i3 in range(0, 11):
for i4 in range(0, 11):
k1 = float(i1) / 10
k2 = float(i2) / 10
k3 = float(i3) / 10
k4 = float(i4) / 10
if k1 + k2 + k3 + k4 == 1:
alloc = [k1, k2, k3, k4]
vol, daily_ret, sharpe, cum_ret = simulate.simulate(dt_start, dt_end, ls_symbols, alloc)
if sharpe > max_sharpe:
max_sharpe = sharpe
max_sharpe_alloc = alloc
print max_sharpe
print max_sharpe_alloc
