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Merge pull request #5607 from TreborNamor/develop

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a new hyperopt loss created that uses calmar ratio
This commit is contained in:
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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35
tests/optimize/test_hyperoptloss.py
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@@ -85,6 +85,8 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
"SharpeHyperOptLoss",
"SharpeHyperOptLossDaily",
"MaxDrawDownHyperOptLoss",
"CalmarHyperOptLoss",
])
def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunction) -> None:
results_over = hyperopt_results.copy()
@@ -96,11 +98,32 @@ def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunct
default_conf.update({'hyperopt_loss': lossfunction})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
over = hl.hyperopt_loss_function(results_over, len(results_over),
datetime(2019, 1, 1), datetime(2019, 5, 1))
under = hl.hyperopt_loss_function(results_under, len(results_under),
datetime(2019, 1, 1), datetime(2019, 5, 1))
correct = hl.hyperopt_loss_function(
hyperopt_results,
trade_count=len(hyperopt_results),
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=default_conf,
processed=None,
backtest_stats={'profit_total': hyperopt_results['profit_abs'].sum()}
)
over = hl.hyperopt_loss_function(
results_over,
trade_count=len(results_over),
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=default_conf,
processed=None,
backtest_stats={'profit_total': results_over['profit_abs'].sum()}
)
under = hl.hyperopt_loss_function(
results_under,
trade_count=len(results_under),
min_date=datetime(2019, 1, 1),
max_date=datetime(2019, 5, 1),
config=default_conf,
processed=None,
backtest_stats={'profit_total': results_under['profit_abs'].sum()}
)
assert over < correct
assert under > correct