46 lines
1.4 KiB
Python
46 lines
1.4 KiB
Python
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"""
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MaxDrawDownRelativeHyperOptLoss
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This module defines the alternative HyperOptLoss class which can be used for
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Hyperoptimization.
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"""
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from datetime import datetime
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from typing import Dict
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from pandas import DataFrame
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from freqtrade.data.btanalysis import calculate_underwater, calculate_max_drawdown
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from freqtrade.optimize.hyperopt import IHyperOptLoss
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class MaxDrawDownRelativeHyperOptLoss(IHyperOptLoss):
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"""
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Defines the loss function for hyperopt.
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This implementation optimizes for max draw down and profit
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Less max drawdown more profit -> Lower return value
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"""
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@staticmethod
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def hyperopt_loss_function(results: DataFrame, config: Dict,
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*args, **kwargs) -> float:
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"""
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Objective function.
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Uses profit ratio weighted max_drawdown when drawdown is available.
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Otherwise directly optimizes profit ratio.
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"""
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total_profit = results['profit_abs'].sum()
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try:
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drawdown_df = calculate_underwater(results, value_col='profit_abs', starting_balance=config['available_capital'])
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max_drawdown = abs(min(drawdown_df['drawdown']))
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relative_drawdown = max(drawdown_df['drawdown_relative'])
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if max_drawdown == 0:
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return -total_profit
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return -total_profit / max_drawdown / relative_drawdown
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except (Exception, ValueError):
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return -total_profit
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