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Don't use profit_percent for backtesting results anymore

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Matthias
2021-01-23 13:02:48 +01:00
parent 48977493bb
commit 8ee264bc59
17 changed files with 78 additions and 101 deletions
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24
tests/optimize/test_hyperoptloss.py
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@@ -60,9 +60,9 @@ def test_loss_calculation_prefer_shorter_trades(hyperopt_conf, hyperopt_results)
def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
hl = HyperOptLossResolver.load_hyperoptloss(hyperopt_conf)
correct = hl.hyperopt_loss_function(hyperopt_results, 600,
@@ -77,9 +77,9 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
def test_sharpe_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
default_conf.update({'hyperopt_loss': 'SharpeHyperOptLoss'})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
@@ -95,9 +95,9 @@ def test_sharpe_loss_prefers_higher_profits(default_conf, hyperopt_results) -> N
def test_sharpe_loss_daily_prefers_higher_profits(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
default_conf.update({'hyperopt_loss': 'SharpeHyperOptLossDaily'})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
@@ -113,9 +113,9 @@ def test_sharpe_loss_daily_prefers_higher_profits(default_conf, hyperopt_results
def test_sortino_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
default_conf.update({'hyperopt_loss': 'SortinoHyperOptLoss'})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
@@ -131,9 +131,9 @@ def test_sortino_loss_prefers_higher_profits(default_conf, hyperopt_results) ->
def test_sortino_loss_daily_prefers_higher_profits(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
default_conf.update({'hyperopt_loss': 'SortinoHyperOptLossDaily'})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
@@ -149,9 +149,9 @@ def test_sortino_loss_daily_prefers_higher_profits(default_conf, hyperopt_result
def test_onlyprofit_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
default_conf.update({'hyperopt_loss': 'OnlyProfitHyperOptLoss'})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)