81 lines
3.1 KiB
Python
81 lines
3.1 KiB
Python
from datetime import datetime
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from pandas import DataFrame, Series
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import numpy as np
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from scipy.stats import norm
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from freqtrade.optimize.hyperopt import IHyperOptLoss, MAX_LOSS
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NB_SIMULATIONS = 1000
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SIMULATION_YEAR_DURATION = 3
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CALMAR_LOSS_WEIGHT = 1
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SLIPPAGE_PERCENT = 0.001
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class CalmarHyperOptLoss(IHyperOptLoss):
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"""
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Defines the calmar loss function for hyperopt.
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Calmar ratio is based on average annual rate of return for the last 36 months divided by the
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maximum drawdown for the last 36 months.
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But you maybe don't have running hyperopt with 36 months of data so we will simulate 36 months
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of trading with a montecarlo simulation and find the median drawdown (what's happenned if the trades
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orders changes, the max drawdown change ?)
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shorturl.at/ioAK2
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"""
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@classmethod
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def hyperopt_loss_function(cls, results: DataFrame, trade_count: int,
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min_date: datetime, max_date: datetime,
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*args, **kwargs) -> float:
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"""
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Objective function, returns smaller number for better results
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"""
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simulated_drawdowns = []
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backtest_duration_years = ((max_date-min_date).days/365.2425)
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trade_count_average_per_year = trade_count/backtest_duration_years
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# add slipage to be closed to live
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results['profit_percent'] -= SLIPPAGE_PERCENT
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return_avg_per_year = (results.profit_percent.sum() / backtest_duration_years)
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return_avg_simulation_duration = return_avg_per_year * SIMULATION_YEAR_DURATION
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sample_size = round(trade_count_average_per_year * SIMULATION_YEAR_DURATION)
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# exclude the case when no trade was lost
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if(results.profit_percent.min() >= 0):
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return MAX_LOSS
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# simulate n years of run to define a median max drawdown
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for i in range(0, NB_SIMULATIONS):
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randomized_result = results.profit_percent.sample(n=sample_size,
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random_state=np.random.RandomState(),
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replace=True)
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simulated_drawdown = cls.abs_max_drawdown(randomized_result)
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simulated_drawdowns.append(simulated_drawdown)
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abs_mediam_simulated_drawdowns = Series(simulated_drawdowns).median()
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calmar_ratio = return_avg_simulation_duration/abs_mediam_simulated_drawdowns
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# Normalize loss value to be float between (0, 1)
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calmar_loss = 1 - (norm.cdf(calmar_ratio, 0, 100))
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# feel free to add other criterias (e.g avg expected time duration)
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loss = (calmar_loss * CALMAR_LOSS_WEIGHT)
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# print('calmar_ratio {}'.format(calmar_ratio))
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return loss
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@staticmethod
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def abs_max_drawdown(profit_percent_results: Series) -> float:
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max_drawdown_df = DataFrame()
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max_drawdown_df['cumulative'] = profit_percent_results.cumsum()
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max_drawdown_df['high_value'] = max_drawdown_df['cumulative'].cummax()
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max_drawdown_df['drawdown'] = max_drawdown_df['cumulative'] - max_drawdown_df['high_value']
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return abs(max_drawdown_df['drawdown'].min())
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