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Merge pull request #5678 from sidml/develop

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Hyperopt loss function using max drawdown
This commit is contained in:
Matthias
2021-10-09 10:26:40 +02:00
committed by GitHub
parent 7b1c888665 30bc96cf3f
commit 91ceaef02f
4 changed files with 56 additions and 11 deletions
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5
tests/optimize/test_hyperoptloss.py
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@@ -84,13 +84,14 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
"SortinoHyperOptLossDaily",
"SharpeHyperOptLoss",
"SharpeHyperOptLossDaily",
"MaxDrawDownHyperOptLoss",
])
def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunction) -> None:
results_over = hyperopt_results.copy()
results_over['profit_abs'] = hyperopt_results['profit_abs'] * 2
results_over['profit_abs'] = hyperopt_results['profit_abs'] * 2 + 0.2
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
results_under = hyperopt_results.copy()
results_under['profit_abs'] = hyperopt_results['profit_abs'] / 2
results_under['profit_abs'] = hyperopt_results['profit_abs'] / 2 - 0.2
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
default_conf.update({'hyperopt_loss': lossfunction})