Max relative drawdown

freqtrade/optimize/hyperopt_loss_max_drawdown_relative.py

@@ -0,0 +1,45 @@
+"""
+MaxDrawDownRelativeHyperOptLoss
+
+This module defines the alternative HyperOptLoss class which can be used for
+Hyperoptimization.
+"""
+from datetime import datetime
+from typing import Dict
+
+from pandas import DataFrame
+
+from freqtrade.data.btanalysis import calculate_underwater, calculate_max_drawdown
+from freqtrade.optimize.hyperopt import IHyperOptLoss
+
+
+class MaxDrawDownRelativeHyperOptLoss(IHyperOptLoss):
+
+    """
+    Defines the loss function for hyperopt.
+
+    This implementation optimizes for max draw down and profit
+    Less max drawdown more profit -> Lower return value
+    """
+
+    @staticmethod
+    def hyperopt_loss_function(results: DataFrame, config: Dict,
+                               *args, **kwargs) -> float:
+
+        """
+        Objective function.
+
+        Uses profit ratio weighted max_drawdown when drawdown is available.
+        Otherwise directly optimizes profit ratio.
+        """
+        total_profit = results['profit_abs'].sum()
+        try:
+            drawdown_df = calculate_underwater(results, value_col='profit_abs', starting_balance=config['available_capital'])
+            max_drawdown = abs(min(drawdown_df['drawdown']))
+            relative_drawdown = max(drawdown_df['drawdown_relative'])
+            if max_drawdown == 0:
+                return -total_profit
+            return -total_profit / max_drawdown / relative_drawdown
+        except (Exception, ValueError):
+            return -total_profit
+        

freqtrade/optimize/optimize_reports.py

@@ -474,9 +474,12 @@ def generate_strategy_stats(pairlist: List[str],
         (drawdown_abs, drawdown_start, drawdown_end, high_val, low_val,
          max_drawdown) = calculate_max_drawdown(
              results, value_col='profit_abs', starting_balance=start_balance)
+        (_, _, _, _, _, max_relative_drawdown) = calculate_max_drawdown(
+             results, value_col='profit_abs', starting_balance=start_balance, relative=True)
         strat_stats.update({
             'max_drawdown': max_drawdown_legacy,  # Deprecated - do not use
             'max_drawdown_account': max_drawdown,
+            'max_relative_drawdown': max_relative_drawdown,
             'max_drawdown_abs': drawdown_abs,
             'drawdown_start': drawdown_start.strftime(DATETIME_PRINT_FORMAT),
             'drawdown_start_ts': drawdown_start.timestamp() * 1000,
@@ -497,6 +500,7 @@ def generate_strategy_stats(pairlist: List[str],
         strat_stats.update({
             'max_drawdown': 0.0,
             'max_drawdown_account': 0.0,
+            'max_relative_drawdown': 0.0,
             'max_drawdown_abs': 0.0,
             'max_drawdown_low': 0.0,
             'max_drawdown_high': 0.0,
@@ -760,10 +764,11 @@ def text_table_add_metrics(strat_results: Dict) -> str:
                                              strat_results['stake_currency'])),
 
             # Compatibility to show old hyperopt results
-            ('Drawdown (Account)', f"{strat_results['max_drawdown_account']:.2%}")
+            ('Max % of account underwater', f"{strat_results['max_relative_drawdown']:.2%}"),
+            ('Absolute Drawdown (Account)', f"{strat_results['max_drawdown_account']:.2%}")
             if 'max_drawdown_account' in strat_results else (
                 'Drawdown', f"{strat_results['max_drawdown']:.2%}"),
-            ('Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
+            ('Absolute Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
                                           strat_results['stake_currency'])),
             ('Drawdown high', round_coin_value(strat_results['max_drawdown_high'],
                                                strat_results['stake_currency'])),