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Fix on max drawdown formula to match tests

This commit is contained in:
Nicolas Papp 2022-05-01 12:25:53 -03:00
parent 53a2f55cf0
commit f9244aad92
3 changed files with 3 additions and 3 deletions
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2
docs/hyperopt.md
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@ -566,7 +566,7 @@ Currently, the following loss functions are builtin:
* `SortinoHyperOptLoss` - optimizes Sortino Ratio calculated on trade returns relative to **downside** standard deviation.
* `SortinoHyperOptLossDaily` - optimizes Sortino Ratio calculated on **daily** trade returns relative to **downside** standard deviation.
* `MaxDrawDownHyperOptLoss` - Optimizes Maximum absolute drawdown.
* `MaxDrawDownRelativeHyperOptLoss` - Similar as the above, but also optimizes Maximum relative drawdown.
* `MaxDrawDownRelativeHyperOptLoss` - Optimizes both maximum absolute drawdown while also adjusting for maximum relative drawdown.
* `CalmarHyperOptLoss` - Optimizes Calmar Ratio calculated on trade returns relative to max drawdown.
* `ProfitDrawDownHyperOptLoss` - Optimizes by max Profit & min Drawdown objective. `DRAWDOWN_MULT` variable within the hyperoptloss file can be adjusted to be stricter or more flexible on drawdown purposes.

2
freqtrade/data/metrics.py
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@ -153,7 +153,7 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date'
max_drawdown_rel = max_drawdown_df.loc[idxmin, 'drawdown_relative']
return (
abs(min(max_drawdown_df['drawdown'])),
abs(max_drawdown_df.loc[idxmin, 'drawdown']),
high_date,
low_date,
high_val,

2
tests/data/test_btanalysis.py
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@ -380,7 +380,7 @@ def test_calculate_max_drawdown2():
@pytest.mark.parametrize('profits,relative,highd,lowd,result,result_rel', [
([0.0, -500.0, 500.0, 10000.0, -1000.0], False, 3, 4, 1000.0, 0.090909),
([0.0, -500.0, 500.0, 10000.0, -1000.0], True, 0, 1, 1000.0, 0.5),
([0.0, -500.0, 500.0, 10000.0, -1000.0], True, 0, 1, 500.0, 0.5),
])
def test_calculate_max_drawdown_abs(profits, relative, highd, lowd, result, result_rel):