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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_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() expected_returns_mean = total_profit.mean()
results['downside_returns'] = 0 sum_daily['downside_returns'] = 0
results.loc[total_profit < 0, 'downside_returns'] = results['profit_percent_after_slippage'] sum_daily.loc[total_profit < 0,
down_stdev = results['downside_returns'].std() 'downside_returns'] = sum_daily['profit_percent_after_slippage']
down_stdev = total_downside.std()
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)

4
tests/optimize/test_hyperopt.py
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@ -380,9 +380,9 @@ def test_sortino_loss_prefers_higher_profits(default_conf, hyperopt_results) ->
def test_sortino_loss_daily_prefers_higher_profits(default_conf, hyperopt_results) -> None: def test_sortino_loss_daily_prefers_higher_profits(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy() results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2 results_over['profit_percent_after_slippage'] = hyperopt_results['profit_percent_after_slippage'] * 2
results_under = hyperopt_results.copy() results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2 results_under['profit_percent_after_slippage'] = hyperopt_results['profit_percent_after_slippage'] / 2
default_conf.update({'hyperopt_loss': 'SortinoHyperOptLossDaily'}) default_conf.update({'hyperopt_loss': 'SortinoHyperOptLossDaily'})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf) hl = HyperOptLossResolver.load_hyperoptloss(default_conf)