""" ShortTradeDurHyperOptLoss This module defines the default HyperoptLoss class which is being used for Hyperoptimization. """ from math import exp from pandas import DataFrame from freqtrade.optimize.hyperopt import IHyperOptLoss # Set TARGET_TRADES to suit your number concurrent trades so its realistic # to the number of days TARGET_TRADES = 600 # This is assumed to be expected avg profit * expected trade count. # For example, for 0.35% avg per trade (or 0.0035 as ratio) and 1100 trades, # expected max profit = 3.85 # Check that the reported Σ% values do not exceed this! # Note, this is ratio. 3.85 stated above means 385Σ%. EXPECTED_MAX_PROFIT = 3.0 # Max average trade duration in minutes. # If eval ends with higher value, we consider it a failed eval. MAX_ACCEPTED_TRADE_DURATION = 300 class ShortTradeDurHyperOptLoss(IHyperOptLoss): """ Defines the default loss function for hyperopt """ @staticmethod def hyperopt_loss_function(results: DataFrame, trade_count: int, *args, **kwargs) -> float: """ Objective function, returns smaller number for better results This is the Default algorithm Weights are distributed as follows: * 0.4 to trade duration * 0.25: Avoiding trade loss * 1.0 to total profit, compared to the expected value (`EXPECTED_MAX_PROFIT`) defined above """ total_profit = results['profit_ratio'].sum() trade_duration = results['trade_duration'].mean() trade_loss = 1 - 0.25 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.8) profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT) duration_loss = 0.4 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1) result = trade_loss + profit_loss + duration_loss return result # Create an alias for This to allow the legacy Method to work as well. DefaultHyperOptLoss = ShortTradeDurHyperOptLoss