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

test for hyperopt loss calmar

Browse Source
This commit is contained in:
Pialat 2019-09-16 14:38:25 +02:00
parent a8ca4ffacc
commit f8efb4c887
1 changed files with 15 additions and 0 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

15
tests/optimize/test_hyperopt.py
View File

@ -328,6 +328,21 @@ def test_sharpe_loss_prefers_higher_profits(default_conf, hyperopt_results) -> N
assert over < correct
assert under > correct
# When the profit a two backtests are the same i prefer to take the one that minimise the median drawdown
def test_calmar_loss_prefers_higher_profits(default_conf,
hyperopt_results_min_median_drawdown,
hyperopt_results_max_median_drawdown) -> None:
default_conf.update({'hyperopt_loss': 'CalmarHyperOptLoss'})
hl = HyperOptLossResolver(default_conf).hyperoptloss
min_median_drawdown_loss = hl.hyperopt_loss_function(hyperopt_results_min_median_drawdown,
len(hyperopt_results_min_median_drawdown),
datetime(2019, 1, 1), datetime(2019, 5, 1))
max_median_drawdown_loss = hl.hyperopt_loss_function(hyperopt_results_max_median_drawdown,
len(hyperopt_results_max_median_drawdown),
datetime(2019, 1, 1), datetime(2019, 5, 1))
assert min_median_drawdown_loss < max_median_drawdown_loss
def test_onlyprofit_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()