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Add Test and docs for MaxDrawDownHyperOptLoss

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This commit is contained in:
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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18
docs/hyperopt.md
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@ -60,7 +60,7 @@ optional arguments:
Specify what timerange of data to use. Specify what timerange of data to use.
--data-format-ohlcv {json,jsongz,hdf5} --data-format-ohlcv {json,jsongz,hdf5}
Storage format for downloaded candle (OHLCV) data. Storage format for downloaded candle (OHLCV) data.
(default: `None`). (default: `json`).
--max-open-trades INT --max-open-trades INT
Override the value of the `max_open_trades` Override the value of the `max_open_trades`
configuration setting. configuration setting.
@ -114,7 +114,8 @@ optional arguments:
Hyperopt-loss-functions are: Hyperopt-loss-functions are:
ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss, ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss,
SharpeHyperOptLoss, SharpeHyperOptLossDaily, SharpeHyperOptLoss, SharpeHyperOptLossDaily,
SortinoHyperOptLoss, SortinoHyperOptLossDaily SortinoHyperOptLoss, SortinoHyperOptLossDaily,
MaxDrawDownHyperOptLoss
--disable-param-export --disable-param-export
Disable automatic hyperopt parameter 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: Currently, the following loss functions are builtin:
* `ShortTradeDurHyperOptLoss` (default legacy Freqtrade hyperoptimization loss function) - Mostly for short trade duration and avoiding losses. * `ShortTradeDurHyperOptLoss` - (default legacy Freqtrade hyperoptimization loss function) - Mostly for short trade duration and avoiding losses.
* `OnlyProfitHyperOptLoss` (which takes only amount of profit into consideration) * `OnlyProfitHyperOptLoss` - takes only amount of profit into consideration.
* `SharpeHyperOptLoss` (optimizes Sharpe Ratio calculated on trade returns relative to standard deviation) * `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) * `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) * `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) * `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. Creation of a custom loss function is covered in the [Advanced Hyperopt](advanced-hyperopt.md) part of the documentation.

3
freqtrade/constants.py
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@ -24,7 +24,8 @@ ORDERTYPE_POSSIBILITIES = ['limit', 'market']
ORDERTIF_POSSIBILITIES = ['gtc', 'fok', 'ioc'] ORDERTIF_POSSIBILITIES = ['gtc', 'fok', 'ioc']
HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss', HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily', 'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily',
'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily'] 'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily',
'MaxDrawDownHyperOptLoss']
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
'AgeFilter', 'OffsetFilter', 'PerformanceFilter', 'AgeFilter', 'OffsetFilter', 'PerformanceFilter',
'PrecisionFilter', 'PriceFilter', 'RangeStabilityFilter', 'PrecisionFilter', 'PriceFilter', 'RangeStabilityFilter',

5
tests/optimize/test_hyperoptloss.py
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@ -84,13 +84,14 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
"SortinoHyperOptLossDaily", "SortinoHyperOptLossDaily",
"SharpeHyperOptLoss", "SharpeHyperOptLoss",
"SharpeHyperOptLossDaily", "SharpeHyperOptLossDaily",
"MaxDrawDownHyperOptLoss",
]) ])
def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunction) -> None: def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunction) -> None:
results_over = hyperopt_results.copy() results_over = hyperopt_results.copy()
results_over['profit_abs'] = hyperopt_results['profit_abs'] * 2 results_over['profit_abs'] = hyperopt_results['profit_abs'] * 2 + 0.2
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2 results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
results_under = hyperopt_results.copy() results_under = hyperopt_results.copy()
results_under['profit_abs'] = hyperopt_results['profit_abs'] / 2 results_under['profit_abs'] = hyperopt_results['profit_abs'] / 2 - 0.2
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2 results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
default_conf.update({'hyperopt_loss': lossfunction}) default_conf.update({'hyperopt_loss': lossfunction})