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Merge pull request #6362 from ediziks/add-profit-drawdown-hypeloss

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Add ProfitDrawdownHyperoptLoss method
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Matthias
2022-02-07 19:37:35 +01:00
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parent 380e383eee 4bce64b427
commit 535bbd681f
4 changed files with 35 additions and 3 deletions
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docs/hyperopt.md
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@@ -116,7 +116,7 @@ optional arguments:
ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss,
SharpeHyperOptLoss, SharpeHyperOptLossDaily,
SortinoHyperOptLoss, SortinoHyperOptLossDaily,
CalmarHyperOptLoss, MaxDrawDownHyperOptLoss
CalmarHyperOptLoss, MaxDrawDownHyperOptLoss, ProfitDrawDownHyperOptLoss
--disable-param-export
Disable automatic hyperopt parameter export.
--ignore-missing-spaces, --ignore-unparameterized-spaces
@@ -525,6 +525,7 @@ Currently, the following loss functions are builtin:
* `SortinoHyperOptLossDaily` - optimizes Sortino Ratio calculated on **daily** trade returns relative to **downside** standard deviation.
* `MaxDrawDownHyperOptLoss` - Optimizes Maximum drawdown.
* `CalmarHyperOptLoss` - Optimizes Calmar Ratio calculated on trade returns relative to max drawdown.
* `ProfitDrawDownHyperOptLoss` - Optimizes by max Profit & min Drawdown objective. `DRAWDOWN_MULT` variable within the hyperoptloss file can be adjusted to be stricter or more flexible on drawdown purposes.
Creation of a custom loss function is covered in the [Advanced Hyperopt](advanced-hyperopt.md) part of the documentation.