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Add Test and docs for MaxDrawDownHyperOptLoss

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Matthias
2021-10-07 07:12:45 +02:00
parent 46c320513a
commit 45b7a0c837
3 changed files with 15 additions and 11 deletions
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docs/hyperopt.md
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@@ -60,7 +60,7 @@ optional arguments:
Specify what timerange of data to use.
--data-format-ohlcv {json,jsongz,hdf5}
Storage format for downloaded candle (OHLCV) data.
(default: `None`).
(default: `json`).
--max-open-trades INT
Override the value of the `max_open_trades`
configuration setting.
@@ -114,7 +114,8 @@ optional arguments:
Hyperopt-loss-functions are:
ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss,
SharpeHyperOptLoss, SharpeHyperOptLossDaily,
SortinoHyperOptLoss, SortinoHyperOptLossDaily
SortinoHyperOptLoss, SortinoHyperOptLossDaily,
MaxDrawDownHyperOptLoss
--disable-param-export
Disable automatic hyperopt parameter export.
@@ -512,12 +513,13 @@ This class should be in its own file within the `user_data/hyperopts/` directory
Currently, the following loss functions are builtin:
* `ShortTradeDurHyperOptLoss` (default legacy Freqtrade hyperoptimization loss function) - Mostly for short trade duration and avoiding losses.
* `OnlyProfitHyperOptLoss` (which takes only amount of profit into consideration)
* `SharpeHyperOptLoss` (optimizes Sharpe Ratio calculated on trade returns relative to standard deviation)
* `SharpeHyperOptLossDaily` (optimizes Sharpe Ratio calculated on **daily** trade returns relative to standard deviation)
* `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)
* `ShortTradeDurHyperOptLoss` - (default legacy Freqtrade hyperoptimization loss function) - Mostly for short trade duration and avoiding losses.
* `OnlyProfitHyperOptLoss` - takes only amount of profit into consideration.
* `SharpeHyperOptLoss` - optimizes Sharpe Ratio calculated on trade returns relative to standard deviation.
* `SharpeHyperOptLossDaily` - optimizes Sharpe Ratio calculated on **daily** trade returns relative to standard deviation.
* `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.
Creation of a custom loss function is covered in the [Advanced Hyperopt](advanced-hyperopt.md) part of the documentation.