freqtrade_origin/freqtrade/optimize/hyperopt_loss_profit_drawdown.py

"""
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.optimize.hyperopt import IHyperOptLoss
from freqtrade.data.btanalysis import calculate_max_drawdown

# 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()

        # from freqtrade.optimize.optimize_reports.generate_strategy_stats()
        try:
            profit_abs, _, _, _, _ = calculate_max_drawdown(results, value_col="profit_ratio")
        except ValueError:
            profit_abs = 0

        return -1 * (total_profit * (1 - profit_abs * DRAWDOWN_MULT))