stable/freqtrade/optimize/hyperopt_loss/hyperopt_loss_max_drawdown_relative.py

"""
MaxDrawDownRelativeHyperOptLoss

This module defines the alternative HyperOptLoss class which can be used for
Hyperoptimization.
"""
from pandas import DataFrame

from freqtrade.constants import Config
from freqtrade.data.metrics import calculate_underwater
from freqtrade.optimize.hyperopt import IHyperOptLoss


class MaxDrawDownRelativeHyperOptLoss(IHyperOptLoss):

    """
    Defines the loss function for hyperopt.

    This implementation optimizes for max draw down and profit
    Less max drawdown more profit -> Lower return value
    """

    @staticmethod
    def hyperopt_loss_function(results: DataFrame, config: Config,
                               *args, **kwargs) -> float:

        """
        Objective function.

        Uses profit ratio weighted max_drawdown when drawdown is available.
        Otherwise directly optimizes profit ratio.
        """
        total_profit = results['profit_abs'].sum()
        try:
            drawdown_df = calculate_underwater(
                results,
                value_col='profit_abs',
                starting_balance=config['dry_run_wallet']
            )
            max_drawdown = abs(min(drawdown_df['drawdown']))
            relative_drawdown = max(drawdown_df['drawdown_relative'])
            if max_drawdown == 0:
                return -total_profit
            return -total_profit / max_drawdown / relative_drawdown
        except (Exception, ValueError):
            return -total_profit