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change CalmarHyperOptLoss description

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Pialat 2019-09-12 15:35:27 +02:00
parent 62d9ac836d
commit 0d3542537e
1 changed files with 7 additions and 3 deletions
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freqtrade/optimize/hyperopt_loss_calmar.py
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@ -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