add max_drawdown loss

freqtrade/optimize/hyperopt_loss_max_drawdown.py

@@ -0,0 +1,42 @@
+"""
+MaxDrawDownHyperOptLoss
+
+This module defines the alternative HyperOptLoss class which can be used for
+Hyperoptimization.
+"""
+from datetime import datetime
+from freqtrade.data.btanalysis import calculate_max_drawdown
+from freqtrade.optimize.hyperopt import IHyperOptLoss
+
+from pandas import DataFrame
+
+
+class MaxDrawDownHyperOptLoss(IHyperOptLoss):
+
+    """
+    Defines the loss function for hyperopt.
+
+    This implementation optimizes for max draw down and profit
+    Less max drawdown more profit -> Lower return value
+    """
+
+    @staticmethod
+    def hyperopt_loss_function(results: DataFrame, trade_count: int,
+                               min_date: datetime, max_date: datetime,
+                               *args, **kwargs) -> float:
+
+        """
+        Objective function.
+
+        Uses profit ratio weighted max_drawdown when drawdown is available.
+        Otherwise directly optimizes profit ratio.
+        """
+        total_profit = results['profit_ratio'].sum()        
+        try:
+            max_drawdown = calculate_max_drawdown(results)
+        except ValueError:
+            # No losing trade, therefore no drawdown.
+            return -total_profit
+        max_drawdown_rev = 1 / max_drawdown[0]
+        ret = max_drawdown_rev * total_profit
+        return -ret