Merge pull request #2114 from CedricSchmeits/negativeSharpeLoss

As -sharp_ratio is returned the value should be nagative.
2019-08-09 06:19:59 +02:00 · 2019-08-09 06:19:59 +02:00 · de99942499
parent 02b2de5c73 8ad5afd3a1
commit de99942499
1 changed files with 1 additions and 1 deletions
--- a/freqtrade/optimize/hyperopt_loss_sharpe.py
+++ b/freqtrade/optimize/hyperopt_loss_sharpe.py
@ -39,7 +39,7 @@ class SharpeHyperOptLoss(IHyperOptLoss):
            sharp_ratio = expected_yearly_return / np.std(total_profit) * np.sqrt(365)
        else:
            # Define high (negative) sharpe ratio to be clear that this is NOT optimal.
-            sharp_ratio = 20.
+            sharp_ratio = -20.

        # print(expected_yearly_return, np.std(total_profit), sharp_ratio)
        return -sharp_ratio