From 84aac56dd3d4ce2b43da7dac9abc7b259b8d8111 Mon Sep 17 00:00:00 2001 From: Pialat Date: Thu, 12 Sep 2019 16:02:18 +0200 Subject: [PATCH] explain maybe extra criterias needed to calculate loss --- freqtrade/optimize/hyperopt_loss_calmar.py | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/freqtrade/optimize/hyperopt_loss_calmar.py b/freqtrade/optimize/hyperopt_loss_calmar.py index 18076edab..c8e3f5488 100644 --- a/freqtrade/optimize/hyperopt_loss_calmar.py +++ b/freqtrade/optimize/hyperopt_loss_calmar.py @@ -13,7 +13,8 @@ SLIPPAGE_PERCENT = 0.001 class CalmarHyperOptLoss(IHyperOptLoss): """ - Defines the calmar loss function for hyperopt. + Defines the calmar loss function for hyperopt (you maybe need to add other criterias + like the number of trades expected and the max duration expected). Calmar ratio is based on average annual rate of return for the last 36 months divided by the maximum drawdown for the last 36 months. But you maybe don't have running hyperopt with 36 months of data so we will simulate 36 months