stable/freqtrade/optimize/hyperopt_loss/hyperopt_loss_sharpe.py
2023-01-07 08:56:40 +09:00

35 lines
1023 B
Python

"""
SharpeHyperOptLoss
This module defines the alternative HyperOptLoss class which can be used for
Hyperoptimization.
"""
from datetime import datetime
import numpy as np
from pandas import DataFrame
from freqtrade.optimize.hyperopt import IHyperOptLoss
class SharpeHyperOptLoss(IHyperOptLoss):
"""
Defines the loss function for hyperopt.
This implementation uses the Sharpe Ratio calculation.
"""
@staticmethod
def hyperopt_loss_function(results: DataFrame, trade_count: int,
min_date: datetime, max_date: datetime,
config: Config, *args, **kwargs) -> float:
"""
Objective function, returns smaller number for more optimal results.
Uses Sharpe Ratio calculation.
"""
starting_balance = config['dry_run_wallet']
sharp_ratio = calculate_sharpe(results, min_date, max_date, starting_balance)
# print(expected_returns_mean, up_stdev, sharp_ratio)
return -sharp_ratio