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

Merge pull request #2114 from CedricSchmeits/negativeSharpeLoss

Browse Source 
As -sharp_ratio is returned the value should be nagative.
This commit is contained in:
Matthias 2019-08-09 06:19:59 +02:00 committed by GitHub
commit de99942499
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
1 changed files with 1 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

2
freqtrade/optimize/hyperopt_loss_sharpe.py
View File

@ -39,7 +39,7 @@ class SharpeHyperOptLoss(IHyperOptLoss):
sharp_ratio = expected_yearly_return / np.std(total_profit) * np.sqrt(365) sharp_ratio = expected_yearly_return / np.std(total_profit) * np.sqrt(365)
else: else:
# Define high (negative) sharpe ratio to be clear that this is NOT optimal. # 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) # print(expected_yearly_return, np.std(total_profit), sharp_ratio)
return -sharp_ratio return -sharp_ratio