adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #2834 from yazeed/consistent_main_sharpe_hyperopt_loss

Browse Source 
better readability on sharpe ratio loss method
This commit is contained in:
Matthias 2020-02-02 11:12:56 +01:00 committed by GitHub
commit c1897fbc48
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
1 changed files with 5 additions and 4 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

9
freqtrade/optimize/hyperopt_loss_sharpe.py
View File

@ -28,18 +28,19 @@ class SharpeHyperOptLoss(IHyperOptLoss):
Uses Sharpe Ratio calculation.
"""
total_profit = results.profit_percent
total_profit = results["profit_percent"]
days_period = (max_date - min_date).days
# adding slippage of 0.1% per trade
total_profit = total_profit - 0.0005
expected_yearly_return = total_profit.sum() / days_period
expected_returns_mean = total_profit.sum() / days_period
up_stdev = np.std(total_profit)
if (np.std(total_profit) != 0.):
sharp_ratio = expected_yearly_return / np.std(total_profit) * np.sqrt(365)
sharp_ratio = expected_returns_mean / up_stdev * np.sqrt(365)
else:
# Define high (negative) sharpe ratio to be clear that this is NOT optimal.
sharp_ratio = -20.
# print(expected_yearly_return, np.std(total_profit), sharp_ratio)
# print(expected_returns_mean, up_stdev, sharp_ratio)
return -sharp_ratio