stable/freqtrade/optimize/hyperopt_loss/hyperopt_loss_profit_drawdown.py
2022-04-30 14:47:27 +02:00

31 lines
931 B
Python

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