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Merge pull request #5607 from TreborNamor/develop

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a new hyperopt loss created that uses calmar ratio
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Matthias
2021-10-29 09:20:44 +02:00
committed by GitHub
parent 335412a3a8 5cdae2ce3f
commit 201fe108bc
4 changed files with 101 additions and 14 deletions
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docs/hyperopt.md
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@@ -116,7 +116,7 @@ optional arguments:
ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss,
SharpeHyperOptLoss, SharpeHyperOptLossDaily,
SortinoHyperOptLoss, SortinoHyperOptLossDaily,
MaxDrawDownHyperOptLoss
CalmarHyperOptLoss, MaxDrawDownHyperOptLoss
--disable-param-export
Disable automatic hyperopt parameter export.
--ignore-missing-spaces, --ignore-unparameterized-spaces
@@ -524,6 +524,7 @@ Currently, the following loss functions are builtin:
* `SortinoHyperOptLoss` - optimizes Sortino Ratio calculated on trade returns relative to **downside** standard deviation.
* `SortinoHyperOptLossDaily` - optimizes Sortino Ratio calculated on **daily** trade returns relative to **downside** standard deviation.
* `MaxDrawDownHyperOptLoss` - Optimizes Maximum drawdown.
* `CalmarHyperOptLoss` - Optimizes Calmar Ratio calculated on trade returns relative to max drawdown.
Creation of a custom loss function is covered in the [Advanced Hyperopt](advanced-hyperopt.md) part of the documentation.