Added both SortinoHyperOptLoss and SortinoHyperOptLossDaily
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@ -16,7 +16,7 @@ class SortinoHyperOptLoss(IHyperOptLoss):
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"""
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Defines the loss function for hyperopt.
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This implementation uses the Sharpe Ratio calculation.
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This implementation uses the Sortino Ratio calculation.
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"""
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@staticmethod
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@ -26,7 +26,7 @@ class SortinoHyperOptLoss(IHyperOptLoss):
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"""
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Objective function, returns smaller number for more optimal results.
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Uses Sharpe Ratio calculation.
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Uses Sortino Ratio calculation.
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"""
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total_profit = results["profit_percent"]
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days_period = (max_date - min_date).days
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@ -42,7 +42,7 @@ class SortinoHyperOptLoss(IHyperOptLoss):
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if np.std(total_profit) != 0.0:
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sortino_ratio = expected_returns_mean / down_stdev * np.sqrt(365)
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else:
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# Define high (negative) sharpe ratio to be clear that this is NOT optimal.
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# Define high (negative) sortino ratio to be clear that this is NOT optimal.
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sortino_ratio = -20.
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# print(expected_returns_mean, down_stdev, sortino_ratio)
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