40 lines
996 B
Python
40 lines
996 B
Python
"""
|
|
CalmarHyperOptLoss
|
|
|
|
This module defines the alternative HyperOptLoss class which can be used for
|
|
Hyperoptimization.
|
|
"""
|
|
|
|
from datetime import datetime
|
|
|
|
from pandas import DataFrame
|
|
|
|
from freqtrade.data.metrics import calculate_calmar
|
|
from freqtrade.optimize.hyperopt import IHyperOptLoss
|
|
|
|
|
|
class CalmarHyperOptLoss(IHyperOptLoss):
|
|
"""
|
|
Defines the loss function for hyperopt.
|
|
|
|
This implementation uses the Calmar Ratio calculation.
|
|
"""
|
|
|
|
@staticmethod
|
|
def hyperopt_loss_function(
|
|
results: DataFrame,
|
|
min_date: datetime,
|
|
max_date: datetime,
|
|
starting_balance: float,
|
|
*args,
|
|
**kwargs,
|
|
) -> float:
|
|
"""
|
|
Objective function, returns smaller number for more optimal results.
|
|
|
|
Uses Calmar Ratio calculation.
|
|
"""
|
|
calmar_ratio = calculate_calmar(results, min_date, max_date, starting_balance)
|
|
# print(expected_returns_mean, max_drawdown, calmar_ratio)
|
|
return -calmar_ratio
|