From 490128b86b7810f29a6d363cf796b5ba2bd65d6e Mon Sep 17 00:00:00 2001 From: Pialat Date: Mon, 16 Sep 2019 12:00:51 +0200 Subject: [PATCH] loss of calmar ratio now centered in 0 --- freqtrade/optimize/hyperopt_loss_calmar.py | 11 ++++++++--- 1 file changed, 8 insertions(+), 3 deletions(-) diff --git a/freqtrade/optimize/hyperopt_loss_calmar.py b/freqtrade/optimize/hyperopt_loss_calmar.py index 7c5ed75d2..ccab69583 100644 --- a/freqtrade/optimize/hyperopt_loss_calmar.py +++ b/freqtrade/optimize/hyperopt_loss_calmar.py @@ -7,10 +7,11 @@ from freqtrade.optimize.hyperopt import IHyperOptLoss, MAX_LOSS NB_SIMULATIONS = 1000 SIMULATION_YEAR_DURATION = 3 -CALMAR_LOSS_WEIGHT = 1 SLIPPAGE_PERCENT = 0.000 NB_EXPECTED_TRADES = 600 + +CALMAR_LOSS_WEIGHT = 0.5 EXPECTED_TRADES_WEIGHT = 0.5 @@ -64,8 +65,12 @@ class CalmarHyperOptLoss(IHyperOptLoss): calmar_ratio = mediam_simulated_annualized_returns/abs_mediam_simulated_drawdowns - # Normalize loss value to be float between (0, 1) : 0.5 value mean no profit - calmar_loss = 1 - (norm.cdf(calmar_ratio, 0, 10)) + """ + Normalize loss value to be float between (-0.5, 0.5) + 0 mean no profit + """ + calmar_loss = 0.5 - (norm.cdf(calmar_ratio, 0, 1.5/CALMAR_LOSS_WEIGHT)) + """ Normalize loss value to be float between (0, 0.5) : Closed to 0 mean trade_count = NB_EXPECTED_TRADES