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initial push of sortino, work not done, still need own tests

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Yazeed Al Oyoun 2020-02-04 02:02:57 +01:00 committed by hroff-1902
parent deb0b7ad67
commit b56a1f0603
1 changed files with 3 additions and 3 deletions
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6
freqtrade/optimize/hyperopt_loss_sortino.py
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@ -16,7 +16,7 @@ class SortinoHyperOptLoss(IHyperOptLoss):
""" """
Defines the loss function for hyperopt. Defines the loss function for hyperopt.
This implementation uses the Sortino Ratio calculation. This implementation uses the Sharpe Ratio calculation.
""" """
@staticmethod @staticmethod
@ -26,7 +26,7 @@ class SortinoHyperOptLoss(IHyperOptLoss):
""" """
Objective function, returns smaller number for more optimal results. Objective function, returns smaller number for more optimal results.
Uses Sortino Ratio calculation. Uses Sharpe Ratio calculation.
""" """
total_profit = results["profit_percent"] total_profit = results["profit_percent"]
days_period = (max_date - min_date).days days_period = (max_date - min_date).days
@ -42,7 +42,7 @@ class SortinoHyperOptLoss(IHyperOptLoss):
if np.std(total_profit) != 0.0: if np.std(total_profit) != 0.0:
sortino_ratio = expected_returns_mean / down_stdev * np.sqrt(365) sortino_ratio = expected_returns_mean / down_stdev * np.sqrt(365)
else: else:
# Define high (negative) sortino ratio to be clear that this is NOT optimal. # Define high (negative) sharpe ratio to be clear that this is NOT optimal.
sortino_ratio = -20. sortino_ratio = -20.
# print(expected_returns_mean, down_stdev, sortino_ratio) # print(expected_returns_mean, down_stdev, sortino_ratio)