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balance hyperopt objective to adjusted profit calculations

This commit is contained in:
Janne Sinivirta 2017-12-23 18:38:16 +02:00
parent e644d57dbe
commit 353b0d2d34
1 changed files with 6 additions and 2 deletions
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8
freqtrade/optimize/hyperopt.py
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@ -36,6 +36,10 @@ TOTAL_PROFIT_TO_BEAT = 0
AVG_PROFIT_TO_BEAT = 0
AVG_DURATION_TO_BEAT = 100
# this is expexted avg profit * expected trade count
# for example 3.5%, 1100 trades, EXPECTED_MAX_PROFIT = 3.85
EXPECTED_MAX_PROFIT = 3.85
# Configuration and data used by hyperopt
PROCESSED = optimize.preprocess(optimize.load_data())
OPTIMIZE_CONFIG = hyperopt_optimize_conf()
@ -120,11 +124,11 @@ def optimizer(params):
result = format_results(results)
total_profit = results.profit_percent.sum() * 1000
total_profit = results.profit_percent.sum()
trade_count = len(results.index)
trade_loss = 1 - 0.35 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.2)
profit_loss = max(0, 1 - total_profit / 10000) # max profit 10000
profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT)
_CURRENT_TRIES += 1