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

Use statistics.pstdev

Browse Source
This commit is contained in:
hroff-1902 2020-02-16 13:43:23 +03:00
parent 1e84b2770c
commit fbe5cc44da
1 changed files with 2 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

3
freqtrade/optimize/hyperopt_loss_sortino_daily.py
View File

@ -5,6 +5,7 @@ This module defines the alternative HyperOptLoss class which can be used for
Hyperoptimization.
"""
import math
import statistics
from datetime import datetime
from pandas import DataFrame, date_range
@ -52,7 +53,7 @@ class SortinoHyperOptLossDaily(IHyperOptLoss):
sum_daily['downside_returns'] = 0
sum_daily.loc[total_profit < 0, 'downside_returns'] = total_profit
total_downside = sum_daily['downside_returns']
down_stdev = total_downside.std()
down_stdev = statistics.pstdev(total_downside, 0)
if (down_stdev != 0.):
sortino_ratio = expected_returns_mean / down_stdev * math.sqrt(days_in_year)