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This commit is contained in:
Yazeed Al Oyoun
2020-02-07 02:12:24 +01:00
committed by hroff-1902
parent 951a19fb00
commit a46b7bcd6d
2 changed files with 7 additions and 5 deletions
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8
freqtrade/optimize/hyperopt_loss_sortino_daily.py
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@@ -47,11 +47,13 @@ class SortinoHyperOptLossDaily(IHyperOptLoss):
)
total_profit = sum_daily["profit_percent_after_slippage"] - risk_free_rate
total_downside = sum_daily['downside_returns'] - risk_free_rate
expected_returns_mean = total_profit.mean()
results['downside_returns'] = 0
results.loc[total_profit < 0, 'downside_returns'] = results['profit_percent_after_slippage']
down_stdev = results['downside_returns'].std()
sum_daily['downside_returns'] = 0
sum_daily.loc[total_profit < 0,
'downside_returns'] = sum_daily['profit_percent_after_slippage']
down_stdev = total_downside.std()
if (down_stdev != 0.):
sortino_ratio = expected_returns_mean / down_stdev * math.sqrt(days_in_year)