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loss of calmar ratio now centered in 0

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This commit is contained in:
Pialat 2019-09-16 12:00:51 +02:00
parent 4b449075ff
commit 490128b86b
1 changed files with 8 additions and 3 deletions
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11
freqtrade/optimize/hyperopt_loss_calmar.py
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@ -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