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explain maybe extra criterias needed to calculate loss

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Pialat 2019-09-12 16:02:18 +02:00
parent 0d3542537e
commit 84aac56dd3
1 changed files with 2 additions and 1 deletions
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freqtrade/optimize/hyperopt_loss_calmar.py
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@ -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