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minor: add OnlyProfitHyperOptLoss

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hroff-1902
2019-07-23 18:51:24 +03:00
parent 41f24898e5
commit 0c2c094db6
3 changed files with 49 additions and 13 deletions
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11
freqtrade/optimize/default_hyperopt_loss.py
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@@ -3,27 +3,26 @@ DefaultHyperOptLoss
This module defines the default HyperoptLoss class which is being used for
Hyperoptimization.
"""
from math import exp
from pandas import DataFrame
from freqtrade.optimize.hyperopt import IHyperOptLoss
# Define some constants:
# set TARGET_TRADES to suit your number concurrent trades so its realistic
# Set TARGET_TRADES to suit your number concurrent trades so its realistic
# to the number of days
TARGET_TRADES = 600
# This is assumed to be expected avg profit * expected trade count.
# For example, for 0.35% avg per trade (or 0.0035 as ratio) and 1100 trades,
# self.expected_max_profit = 3.85
# expected max profit = 3.85
# Check that the reported Σ% values do not exceed this!
# Note, this is ratio. 3.85 stated above means 385Σ%.
EXPECTED_MAX_PROFIT = 3.0
# max average trade duration in minutes
# if eval ends with higher value, we consider it a failed eval
# Max average trade duration in minutes.
# If eval ends with higher value, we consider it a failed eval.
MAX_ACCEPTED_TRADE_DURATION = 300