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better readability, kept np.sqrt(365) which results in annualized sharpe ratio

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Yazeed Al Oyoun 2020-02-02 06:20:09 +01:00
parent 2cd7b329ce
commit e8439ae0bc
1 changed files with 5 additions and 6 deletions
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11
freqtrade/optimize/hyperopt_loss_sharpe_daily.py
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@ -43,12 +43,11 @@ class SharpeHyperOptLossDaily(IHyperOptLoss):
* 100.0 * 100.0
) )
if (np.std(sum_daily["profit_percent"]) != 0.): total_profit = sum_daily["profit_percent"]
sharp_ratio = ( expected_returns_mean = total_profit.mean()
sum_daily["profit_percent"].mean()
/ np.std(sum_daily["profit_percent"]) if (np.std(total_profit) != 0.):
* np.sqrt(365) sharp_ratio = expected_returns_mean / 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 = -20.0 sharp_ratio = -20.0