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better explanation in comment of loss value of calmar ratio

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Pialat 2019-09-12 15:03:52 +02:00
parent c5ee01fe4b
commit e1f7a31b63
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freqtrade/optimize/hyperopt_loss_calmar.py
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@ -55,7 +55,7 @@ class CalmarHyperOptLoss(IHyperOptLoss):
abs_mediam_simulated_drawdowns = Series(simulated_drawdowns).median() abs_mediam_simulated_drawdowns = Series(simulated_drawdowns).median()
calmar_ratio = return_avg_simulation_duration/abs_mediam_simulated_drawdowns calmar_ratio = return_avg_simulation_duration/abs_mediam_simulated_drawdowns
# float between ]0,1[ # Normalize loss value to be float between (0, 1)
calmar_loss = 1 - (norm.cdf(calmar_ratio, 0, 100)) calmar_loss = 1 - (norm.cdf(calmar_ratio, 0, 100))
# feel free to add other criterias (e.g avg expected time duration) # feel free to add other criterias (e.g avg expected time duration)