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Final changes, use sqrt i.o. statistics.pstdev

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hroff-1902 2020-02-28 23:50:25 +03:00 committed by GitHub
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1 changed files with 3 additions and 2 deletions
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5
freqtrade/optimize/hyperopt_loss_sortino_daily.py
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@ -5,7 +5,6 @@ This module defines the alternative HyperOptLoss class which can be used for
Hyperoptimization.
"""
import math
import statistics
from datetime import datetime
from pandas import DataFrame, date_range
@ -56,7 +55,9 @@ class SortinoHyperOptLossDaily(IHyperOptLoss):
sum_daily['downside_returns'] = 0
sum_daily.loc[total_profit < 0, 'downside_returns'] = total_profit
total_downside = sum_daily['downside_returns']
down_stdev = statistics.pstdev(total_downside, 0)
# Here total_downside contains min(0, P - MAR) values,
# where P = sum_daily["profit_percent_after_slippage"]
down_stdev = math.sqrt((total_downside**2).sum() / len(total_downside))
if (down_stdev != 0.):
sortino_ratio = expected_returns_mean / down_stdev * math.sqrt(days_in_year)