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Merge pull request #10221 from freqtrade/hyp/profit-drawdown

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improve MaxDrawDownHyperOptLoss
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Matthias 2024-05-20 09:01:21 +02:00 committed by GitHub
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1 changed files with 7 additions and 4 deletions
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freqtrade/optimize/hyperopt_loss/hyperopt_loss_profit_drawdown.py
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@ -10,23 +10,26 @@ individual needs.
from pandas import DataFrame from pandas import DataFrame
from freqtrade.constants import Config
from freqtrade.data.metrics import calculate_max_drawdown from freqtrade.data.metrics import calculate_max_drawdown
from freqtrade.optimize.hyperopt import IHyperOptLoss from freqtrade.optimize.hyperopt import IHyperOptLoss
# higher numbers penalize drawdowns more severely # smaller numbers penalize drawdowns more severely
DRAWDOWN_MULT = 0.075 DRAWDOWN_MULT = 0.075
class ProfitDrawDownHyperOptLoss(IHyperOptLoss): class ProfitDrawDownHyperOptLoss(IHyperOptLoss):
@staticmethod @staticmethod
def hyperopt_loss_function(results: DataFrame, trade_count: int, *args, **kwargs) -> float: def hyperopt_loss_function(results: DataFrame, config: Config, *args, **kwargs) -> float:
total_profit = results["profit_abs"].sum() total_profit = results["profit_abs"].sum()
try: try:
drawdown = calculate_max_drawdown(results, value_col="profit_abs") drawdown = calculate_max_drawdown(
results, starting_balance=config["dry_run_wallet"], value_col="profit_abs"
)
relative_account_drawdown = drawdown.relative_account_drawdown relative_account_drawdown = drawdown.relative_account_drawdown
except ValueError: except ValueError:
relative_account_drawdown = 0 relative_account_drawdown = 0
return -1 * (total_profit * (1 - relative_account_drawdown * DRAWDOWN_MULT)) return -1 * (total_profit - (relative_account_drawdown * total_profit) / DRAWDOWN_MULT)