From 0d3542537e248d01d0e9e92fcb44a2fc2505096b Mon Sep 17 00:00:00 2001 From: Pialat Date: Thu, 12 Sep 2019 15:35:27 +0200 Subject: [PATCH] change CalmarHyperOptLoss description --- freqtrade/optimize/hyperopt_loss_calmar.py | 10 +++++++--- 1 file changed, 7 insertions(+), 3 deletions(-) diff --git a/freqtrade/optimize/hyperopt_loss_calmar.py b/freqtrade/optimize/hyperopt_loss_calmar.py index 0f7f00605..18076edab 100644 --- a/freqtrade/optimize/hyperopt_loss_calmar.py +++ b/freqtrade/optimize/hyperopt_loss_calmar.py @@ -13,9 +13,13 @@ SLIPPAGE_PERCENT = 0.001 class CalmarHyperOptLoss(IHyperOptLoss): """ - Defines the default loss function for hyperopt - This is intended to give you some inspiration for your own loss function. - The Function needs to return a number (float) - which becomes for better backtest results. + Defines the calmar loss function for hyperopt. + Calmar ratio is based on average annual rate of return for the last 36 months divided by the + maximum drawdown for the last 36 months. + But you maybe don't have running hyperopt with 36 months of data so we will simulate 36 months + of trading with a montecarlo simulation and find the median drawdown (what's happenned if the trades + orders changes, the max drawdown change ?) + shorturl.at/ioAK2 """ @classmethod