I would like to create a custom optimization but I'm confused about how to initially go about it. Do I have to create a Extension or do I write a C# program which interfaces directly with the the WL executable? Does the "Creating Optimizers in Wealth-Lab Pro" pdf refer to the former or latter?

Edit:
If an Extension has to be written, does the Extension Manager have to be used to test and install it?

QUOTE:
Do I have to create a Extension or do I write a C# program which interfaces directly with the the WL executable? Does the "Creating Optimizers in Wealth-Lab Pro" pdf refer to the former or latter?

It's the former: you have to create an extension which is a dynamic link library (DLL). Here's a code sample of an exhaustive (brute force) optimizer:

Creating custom optimizer

QUOTE:
If an Extension has to be written, does the Extension Manager have to be used to test and install it?

No. The EM is used for extensions published on this website only.

Thanks for your help, Eugene. I've ran the custom optimization you linked to. When I press "Start" from Visual Studio, I didn't get any errors and it loads WL alright, but that's about all that I can see happening. With WL running and VS still active, I loaded my strategy and then activated "Optimize" from within WL but it ran the same Exhaustive search I usually run. (I didn't see any new selection options from "Select an Optimization Method".) At what point should the custom optimization engage? Does it have to be initiated manually from within WL after the strategy is manually loaded?

You need to set output directory to point at Wealth-Lab's main folder under Program Files (or "Program Files (x86)" for 32-bit WLP under 64-bit Windows). And to be able to put compiled files there, you should start Visual Studio with admin privileges (right-click on its shortcut and select "Run as admin").