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import MAX_LOSS constant instead create a new one

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Pialat 2019-09-12 15:14:32 +02:00
parent e1f7a31b63
commit 62d9ac836d
1 changed files with 3 additions and 3 deletions
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6
freqtrade/optimize/hyperopt_loss_calmar.py
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@ -1,12 +1,12 @@
from datetime import datetime from datetime import datetime
from pandas import DataFrame, Series from pandas import DataFrame, Series
from freqtrade.optimize.hyperopt import IHyperOptLoss
import numpy as np import numpy as np
from scipy.stats import norm from scipy.stats import norm
from freqtrade.optimize.hyperopt import IHyperOptLoss, MAX_LOSS
NB_SIMULATIONS = 1000 NB_SIMULATIONS = 1000
SIMULATION_YEAR_DURATION = 3 SIMULATION_YEAR_DURATION = 3
HIGH_NUMBER = 100000
CALMAR_LOSS_WEIGHT = 1 CALMAR_LOSS_WEIGHT = 1
SLIPPAGE_PERCENT = 0.001 SLIPPAGE_PERCENT = 0.001
@ -42,7 +42,7 @@ class CalmarHyperOptLoss(IHyperOptLoss):
# exclude the case when no trade was lost # exclude the case when no trade was lost
if(results.profit_percent.min() >= 0): if(results.profit_percent.min() >= 0):
return HIGH_NUMBER return MAX_LOSS
# simulate n years of run to define a median max drawdown # simulate n years of run to define a median max drawdown
for i in range(0, NB_SIMULATIONS): for i in range(0, NB_SIMULATIONS):