Adjust handling of zero stdev in loss functions

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

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.