adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Adjust handling of zero stdev in loss functions

Browse Source
This commit is contained in:
hroff-1902 2020-03-10 13:44:16 +03:00
parent c49fefc94d
commit 73c19da4b9
4 changed files with 4 additions and 4 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

2
freqtrade/optimize/hyperopt_loss_sharpe.py
View File

@ -36,7 +36,7 @@ class SharpeHyperOptLoss(IHyperOptLoss):
expected_returns_mean = total_profit.sum() / days_period
up_stdev = np.std(total_profit)
if (np.std(total_profit) != 0.):
if up_stdev != 0:
sharp_ratio = expected_returns_mean / up_stdev * np.sqrt(365)
else:
# Define high (negative) sharpe ratio to be clear that this is NOT optimal.

2
freqtrade/optimize/hyperopt_loss_sharpe_daily.py
View File

@ -51,7 +51,7 @@ class SharpeHyperOptLossDaily(IHyperOptLoss):
expected_returns_mean = total_profit.mean()
up_stdev = total_profit.std()
if (up_stdev != 0.):
if up_stdev != 0:
sharp_ratio = expected_returns_mean / up_stdev * math.sqrt(days_in_year)
else:
# Define high (negative) sharpe ratio to be clear that this is NOT optimal.

2
freqtrade/optimize/hyperopt_loss_sortino.py
View File

@ -39,7 +39,7 @@ class SortinoHyperOptLoss(IHyperOptLoss):
results.loc[total_profit < 0, 'downside_returns'] = results['profit_percent']
down_stdev = np.std(results['downside_returns'])
if np.std(total_profit) != 0.0:
if down_stdev != 0:
sortino_ratio = expected_returns_mean / down_stdev * np.sqrt(365)
else:
# Define high (negative) sortino ratio to be clear that this is NOT optimal.

2
freqtrade/optimize/hyperopt_loss_sortino_daily.py
View File

@ -59,7 +59,7 @@ class SortinoHyperOptLossDaily(IHyperOptLoss):
# where P = sum_daily["profit_percent_after_slippage"]
down_stdev = math.sqrt((total_downside**2).sum() / len(total_downside))
if (down_stdev != 0.):
if down_stdev != 0:
sortino_ratio = expected_returns_mean / down_stdev * math.sqrt(days_in_year)
else:
# Define high (negative) sortino ratio to be clear that this is NOT optimal.