The popularity of genomic selection as an efficient and cost-effective approach to estimate breeding values continues to increase, due in part to the significant saving in phenotyping. Ridge regression is one of the most popular methods used for genomic prediction; however, its efficiency (in terms of prediction performance) depends on the appropriate tunning of the penalization parameter. In this paper we propose a novel, more efficient method to select the optimal penalization parameter for Ridge regression. We compared the proposed method with the conventional method to select the penalization parameter in 14 real data sets and we found that in 13 of these, the proposed method outperformed the conventional method and across data sets the gains in prediction accuracy in terms of Pearson's correlation was of 56.15%, with not-gains observed in terms of normalized mean square error. Finally, our results show evidence of the potential of the proposed method, and we encourage its adoption to improve the selection of candidate lines in the context of plant breeding.