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. Hyperoptimization.
""" """
import math import math
import statistics
from datetime import datetime from datetime import datetime
from pandas import DataFrame, date_range from pandas import DataFrame, date_range
@ -52,7 +53,7 @@ class SortinoHyperOptLossDaily(IHyperOptLoss):
sum_daily['downside_returns'] = 0 sum_daily['downside_returns'] = 0
sum_daily.loc[total_profit < 0, 'downside_returns'] = total_profit sum_daily.loc[total_profit < 0, 'downside_returns'] = total_profit
total_downside = sum_daily['downside_returns'] total_downside = sum_daily['downside_returns']
down_stdev = total_downside.std() down_stdev = statistics.pstdev(total_downside, 0)
if (down_stdev != 0.): if (down_stdev != 0.):
sortino_ratio = expected_returns_mean / down_stdev * math.sqrt(days_in_year) sortino_ratio = expected_returns_mean / down_stdev * math.sqrt(days_in_year)