30 lines
1020 B
Python
30 lines
1020 B
Python
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"""
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ProfitDrawDownHyperOptLoss
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This module defines the alternative HyperOptLoss class based on Profit &
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Drawdown objective which can be used for Hyperoptimization.
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Possible to change `DRAWDOWN_MULT` to penalize drawdown objective for
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individual needs.
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"""
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from pandas import DataFrame
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from freqtrade.optimize.hyperopt import IHyperOptLoss
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from freqtrade.data.btanalysis import calculate_max_drawdown
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# higher numbers penalize drawdowns more severely
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DRAWDOWN_MULT = 0.075
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class ProfitDrawDownHyperOptLoss(IHyperOptLoss):
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@staticmethod
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def hyperopt_loss_function(results: DataFrame, trade_count: int, *args, **kwargs) -> float:
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total_profit = results["profit_abs"].sum()
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# from freqtrade.optimize.optimize_reports.generate_strategy_stats()
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try:
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_, _, _, _, max_drawdown_per = calculate_max_drawdown(results, value_col="profit_ratio")
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except ValueError:
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max_drawdown_per = 0
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return -1 * (total_profit * (1 - max_drawdown_per * DRAWDOWN_MULT))
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