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Add sharpe ratio hyperopt loss

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Matthias
2019-07-16 06:45:13 +02:00
parent d23179e25c
commit ec49b22af3
4 changed files with 70 additions and 23 deletions
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44
freqtrade/tests/optimize/test_hyperopt.py
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@@ -15,8 +15,7 @@ from freqtrade.optimize import setup_configuration, start_hyperopt
from freqtrade.optimize.default_hyperopt import DefaultHyperOpts
from freqtrade.optimize.hyperopt import (HYPEROPT_LOCKFILE, TICKERDATA_PICKLE,
Hyperopt)
from freqtrade.optimize.hyperopt_loss import hyperopt_loss_legacy, hyperopt_loss_sharpe
from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver
from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver, HyperOptLossResolver
from freqtrade.state import RunMode
from freqtrade.strategy.interface import SellType
from freqtrade.tests.conftest import (get_args, log_has, log_has_re,
@@ -274,48 +273,53 @@ def test_start_filelock(mocker, default_conf, caplog) -> None:
)
def test_loss_calculation_prefer_correct_trade_count(hyperopt_results) -> None:
correct = hyperopt_loss_legacy(hyperopt_results, 600)
over = hyperopt_loss_legacy(hyperopt_results, 600 + 100)
under = hyperopt_loss_legacy(hyperopt_results, 600 - 100)
def test_loss_calculation_prefer_correct_trade_count(default_conf, hyperopt_results) -> None:
hl = HyperOptLossResolver(default_conf).hyperoptloss
correct = hl.hyperopt_loss_function(hyperopt_results, 600)
over = hl.hyperopt_loss_function(hyperopt_results, 600 + 100)
under = hl.hyperopt_loss_function(hyperopt_results, 600 - 100)
assert over > correct
assert under > correct
def test_loss_calculation_prefer_shorter_trades(hyperopt_results) -> None:
def test_loss_calculation_prefer_shorter_trades(default_conf, hyperopt_results) -> None:
resultsb = hyperopt_results.copy()
resultsb['trade_duration'][1] = 20
longer = hyperopt_loss_legacy(hyperopt_results, 100)
shorter = hyperopt_loss_legacy(resultsb, 100)
hl = HyperOptLossResolver(default_conf).hyperoptloss
longer = hl.hyperopt_loss_function(hyperopt_results, 100)
shorter = hl.hyperopt_loss_function(resultsb, 100)
assert shorter < longer
def test_loss_calculation_has_limited_profit(hyperopt_results) -> None:
def test_loss_calculation_has_limited_profit(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
correct = hyperopt_loss_legacy(hyperopt_results, 600)
over = hyperopt_loss_legacy(results_over, 600)
under = hyperopt_loss_legacy(results_under, 600)
hl = HyperOptLossResolver(default_conf).hyperoptloss
correct = hl.hyperopt_loss_function(hyperopt_results, 600)
over = hl.hyperopt_loss_function(results_over, 600)
under = hl.hyperopt_loss_function(results_under, 600)
assert over < correct
assert under > correct
def test_sharpe_loss_prefers_higher_profits(hyperopt_results) -> None:
def test_sharpe_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
correct = hyperopt_loss_sharpe(hyperopt_results, len(
hyperopt_results), datetime(2019, 1, 1), datetime(2019, 5, 1))
over = hyperopt_loss_sharpe(results_over, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
under = hyperopt_loss_sharpe(results_under, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
default_conf.update({'hyperopt_loss': 'SharpeHyperOptLoss'})
hl = HyperOptLossResolver(default_conf).hyperoptloss
correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
over = hl.hyperopt_loss_function(results_over, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
under = hl.hyperopt_loss_function(results_under, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
assert over < correct
assert under > correct