40 lines
989 B
Python
40 lines
989 B
Python
"""
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SharpeHyperOptLoss
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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_sharpe
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from freqtrade.optimize.hyperopt import IHyperOptLoss
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class SharpeHyperOptLoss(IHyperOptLoss):
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"""
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Defines the loss function for hyperopt.
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This implementation uses the Sharpe Ratio calculation.
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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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min_date: datetime,
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max_date: datetime,
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starting_balance: float,
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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, returns smaller number for more optimal results.
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Uses Sharpe Ratio calculation.
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"""
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sharp_ratio = calculate_sharpe(results, min_date, max_date, starting_balance)
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# print(expected_returns_mean, up_stdev, sharp_ratio)
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return -sharp_ratio
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