diff --git a/freqtrade/optimize/hyperopt_loss_sharpe_daily.py b/freqtrade/optimize/hyperopt_loss_sharpe_daily.py index 3c2f2cb76..d32e6d3b7 100644 --- a/freqtrade/optimize/hyperopt_loss_sharpe_daily.py +++ b/freqtrade/optimize/hyperopt_loss_sharpe_daily.py @@ -29,16 +29,16 @@ class SharpeHyperOptLossDaily(IHyperOptLoss): Uses Sharpe Ratio calculation. """ # get profit_percent and apply slippage of 0.1% per trade - results.loc[:, 'profit_percent'] = results['profit_percent'] - 0.0005 + results.loc[:, 'profit_percent_after_slippage'] = results['profit_percent'] - 0.0005 sum_daily = ( results.resample("D", on="close_time").agg( - {"profit_percent": sum} + {"profit_percent_after_slippage": sum} ) * 100.0 ) - total_profit = sum_daily["profit_percent"] + total_profit = sum_daily["profit_percent_after_slippage"] expected_returns_mean = total_profit.mean() up_stdev = np.std(total_profit)