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change sharpe hyperopt loss

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This commit is contained in:
Stefano Ariestasia 2023-01-07 08:56:40 +09:00
parent 349d67f582
commit 86ba7dae92
1 changed files with 3 additions and 15 deletions
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18
freqtrade/optimize/hyperopt_loss/hyperopt_loss_sharpe.py
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@ -22,25 +22,13 @@ class SharpeHyperOptLoss(IHyperOptLoss):
@staticmethod @staticmethod
def hyperopt_loss_function(results: DataFrame, trade_count: int, def hyperopt_loss_function(results: DataFrame, trade_count: int,
min_date: datetime, max_date: datetime, min_date: datetime, max_date: datetime,
*args, **kwargs) -> float: config: Config, *args, **kwargs) -> float:
""" """
Objective function, returns smaller number for more optimal results. Objective function, returns smaller number for more optimal results.
Uses Sharpe Ratio calculation. Uses Sharpe Ratio calculation.
""" """
total_profit = results["profit_ratio"] starting_balance = config['dry_run_wallet']
days_period = (max_date - min_date).days sharp_ratio = calculate_sharpe(results, min_date, max_date, starting_balance)
# adding slippage of 0.1% per trade
total_profit = total_profit - 0.0005
expected_returns_mean = total_profit.sum() / days_period
up_stdev = np.std(total_profit)
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.
sharp_ratio = -20.
# print(expected_returns_mean, up_stdev, sharp_ratio) # print(expected_returns_mean, up_stdev, sharp_ratio)
return -sharp_ratio return -sharp_ratio