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smooth normelization

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Pialat 2019-09-12 16:55:33 +02:00
parent 2670960ec4
commit dc8fd641ad
1 changed files with 2 additions and 2 deletions
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freqtrade/optimize/hyperopt_loss_calmar.py
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@ -59,8 +59,8 @@ class CalmarHyperOptLoss(IHyperOptLoss):
abs_mediam_simulated_drawdowns = Series(simulated_drawdowns).median() abs_mediam_simulated_drawdowns = Series(simulated_drawdowns).median()
calmar_ratio = return_avg_per_year/abs_mediam_simulated_drawdowns calmar_ratio = return_avg_per_year/abs_mediam_simulated_drawdowns
# Normalize loss value to be float between (0, 1) # Normalize loss value to be float between (0, 1) : 0.5 value mean no profit
calmar_loss = 1 - (norm.cdf(calmar_ratio, 0, 100)) calmar_loss = 1 - (norm.cdf(calmar_ratio, 0, 10))
# feel free to add other criterias (e.g avg expected time duration) # feel free to add other criterias (e.g avg expected time duration)
loss = (calmar_loss * CALMAR_LOSS_WEIGHT) loss = (calmar_loss * CALMAR_LOSS_WEIGHT)