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

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Add ProfitDrawdownHyperoptLoss method
This commit is contained in:
Matthias
2022-02-07 19:37:35 +01:00
committed by GitHub
parent 380e383eee 4bce64b427
commit 535bbd681f
4 changed files with 35 additions and 3 deletions
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3
tests/optimize/test_hyperoptloss.py
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@@ -86,6 +86,7 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
"SharpeHyperOptLossDaily",
"MaxDrawDownHyperOptLoss",
"CalmarHyperOptLoss",
"ProfitDrawDownHyperOptLoss",
])
def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunction) -> None:
@@ -106,7 +107,7 @@ def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunct
config=default_conf,
processed=None,
backtest_stats={'profit_total': hyperopt_results['profit_abs'].sum()}
)
)
over = hl.hyperopt_loss_function(
results_over,
trade_count=len(results_over),