Elastic Net alpha value using GLMNET 4.1-8

Is it a valid method to “brute force” the alpha value for an elastic net? What I mean is trying alpha = .1, .2, .3, .4 and so on to 1.0 and looking at the highest R-squared value of each and choosing the corresponding alpha to use for the model going forward? If so, is R2 the best metric to use to determine the best alpha?

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