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Merge pull request #3051 from hroff-1902/fix-sortino

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Adjust handling of zero stdev in loss functions
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Matthias 2020-03-10 13:10:39 +01:00 committed by GitHub
commit 84f0bb9a5d
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4 changed files with 4 additions and 4 deletions
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2
freqtrade/optimize/hyperopt_loss_sharpe.py
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@ -36,7 +36,7 @@ class SharpeHyperOptLoss(IHyperOptLoss):
expected_returns_mean = total_profit.sum() / days_period expected_returns_mean = total_profit.sum() / days_period
up_stdev = np.std(total_profit) 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) sharp_ratio = expected_returns_mean / up_stdev * np.sqrt(365)
else: else:
# Define high (negative) sharpe ratio to be clear that this is NOT optimal. # Define high (negative) sharpe ratio to be clear that this is NOT optimal.

2
freqtrade/optimize/hyperopt_loss_sharpe_daily.py
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@ -51,7 +51,7 @@ class SharpeHyperOptLossDaily(IHyperOptLoss):
expected_returns_mean = total_profit.mean() expected_returns_mean = total_profit.mean()
up_stdev = total_profit.std() 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) sharp_ratio = expected_returns_mean / up_stdev * math.sqrt(days_in_year)
else: else:
# Define high (negative) sharpe ratio to be clear that this is NOT optimal. # Define high (negative) sharpe ratio to be clear that this is NOT optimal.

2
freqtrade/optimize/hyperopt_loss_sortino.py
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@ -39,7 +39,7 @@ class SortinoHyperOptLoss(IHyperOptLoss):
results.loc[total_profit < 0, 'downside_returns'] = results['profit_percent'] results.loc[total_profit < 0, 'downside_returns'] = results['profit_percent']
down_stdev = np.std(results['downside_returns']) 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) sortino_ratio = expected_returns_mean / down_stdev * np.sqrt(365)
else: else:
# Define high (negative) sortino ratio to be clear that this is NOT optimal. # Define high (negative) sortino ratio to be clear that this is NOT optimal.

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