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Fix on max drawdown formula to match tests

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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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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.