31 lines
934 B
Python
31 lines
934 B
Python
"""
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ProfitDrawDownHyperOptLoss
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This module defines the alternative HyperOptLoss class based on Profit &
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Drawdown objective which can be used for Hyperoptimization.
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Possible to change `DRAWDOWN_MULT` to penalize drawdown objective for
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individual needs.
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"""
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from pandas import DataFrame
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from freqtrade.data.btanalysis import calculate_max_drawdown
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from freqtrade.optimize.hyperopt import IHyperOptLoss
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# higher numbers penalize drawdowns more severely
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DRAWDOWN_MULT = 0.075
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class ProfitDrawDownHyperOptLoss(IHyperOptLoss):
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@staticmethod
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def hyperopt_loss_function(results: DataFrame, trade_count: int, *args, **kwargs) -> float:
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total_profit = results["profit_abs"].sum()
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try:
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max_drawdown_abs = calculate_max_drawdown(results, value_col="profit_abs")[5]
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except ValueError:
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max_drawdown_abs = 0
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return -1 * (total_profit * (1 - max_drawdown_abs * DRAWDOWN_MULT))
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