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optimize hyperopt objective function

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Janne Sinivirta 2017-11-12 08:30:58 +02:00
parent cf79b15651
commit 15b20b83fa
1 changed files with 3 additions and 3 deletions
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6
freqtrade/tests/test_hyperopt.py
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@ -15,7 +15,7 @@ from freqtrade.vendor.qtpylib.indicators import crossed_above
logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
# set TARGET_TRADES to suit your number concurrent trades so its realistic to 20days of data # set TARGET_TRADES to suit your number concurrent trades so its realistic to 20days of data
TARGET_TRADES = 1200 TARGET_TRADES = 1300
def buy_strategy_generator(params): def buy_strategy_generator(params):
@ -77,8 +77,8 @@ def test_hyperopt(backtest_conf, backdata, mocker):
total_profit = results.profit.sum() * 1000 total_profit = results.profit.sum() * 1000
trade_count = len(results.index) trade_count = len(results.index)
trade_loss = 1 - 0.8 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5) trade_loss = 1 - 0.4 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.2)
profit_loss = exp(-total_profit**3 / 10**11) profit_loss = max(0, 1 - total_profit / 15000) # max profit 15000
return { return {
'loss': trade_loss + profit_loss, 'loss': trade_loss + profit_loss,