stable/freqtrade/optimize/hyperopt_loss_max_drawdown_relative.py
2022-04-10 12:53:47 -03:00

46 lines
1.4 KiB
Python

"""
MaxDrawDownRelativeHyperOptLoss
This module defines the alternative HyperOptLoss class which can be used for
Hyperoptimization.
"""
from datetime import datetime
from typing import Dict
from pandas import DataFrame
from freqtrade.data.btanalysis import calculate_underwater, calculate_max_drawdown
from freqtrade.optimize.hyperopt import IHyperOptLoss
class MaxDrawDownRelativeHyperOptLoss(IHyperOptLoss):
"""
Defines the loss function for hyperopt.
This implementation optimizes for max draw down and profit
Less max drawdown more profit -> Lower return value
"""
@staticmethod
def hyperopt_loss_function(results: DataFrame, config: Dict,
*args, **kwargs) -> float:
"""
Objective function.
Uses profit ratio weighted max_drawdown when drawdown is available.
Otherwise directly optimizes profit ratio.
"""
total_profit = results['profit_abs'].sum()
try:
drawdown_df = calculate_underwater(results, value_col='profit_abs', starting_balance=config['available_capital'])
max_drawdown = abs(min(drawdown_df['drawdown']))
relative_drawdown = max(drawdown_df['drawdown_relative'])
if max_drawdown == 0:
return -total_profit
return -total_profit / max_drawdown / relative_drawdown
except (Exception, ValueError):
return -total_profit