46 lines
1.2 KiB
Python
46 lines
1.2 KiB
Python
"""
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MaxDrawDownHyperOptLoss
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This module defines the alternative HyperOptLoss class which can be used for
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Hyperoptimization.
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"""
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from datetime import datetime
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from pandas import DataFrame
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from freqtrade.data.metrics import calculate_max_drawdown
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from freqtrade.optimize.hyperopt import IHyperOptLoss
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class MaxDrawDownHyperOptLoss(IHyperOptLoss):
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"""
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Defines the loss function for hyperopt.
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This implementation optimizes for max draw down and profit
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Less max drawdown more profit -> Lower return value
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"""
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@staticmethod
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def hyperopt_loss_function(
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results: DataFrame,
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trade_count: int,
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min_date: datetime,
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max_date: datetime,
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*args,
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**kwargs,
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) -> float:
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"""
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Objective function.
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Uses profit ratio weighted max_drawdown when drawdown is available.
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Otherwise directly optimizes profit ratio.
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"""
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total_profit = results["profit_abs"].sum()
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try:
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max_drawdown = calculate_max_drawdown(results, value_col="profit_abs")
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except ValueError:
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# No losing trade, therefore no drawdown.
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return -total_profit
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return -total_profit / max_drawdown.drawdown_abs
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