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better readability and more consistent with daily sharpe loss method

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This commit is contained in:
Yazeed Al Oyoun 2020-02-02 08:47:33 +01:00
parent aa8731d0fc
commit 3499f1b85c
1 changed files with 5 additions and 4 deletions
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9
freqtrade/optimize/hyperopt_loss_sharpe.py
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@ -28,18 +28,19 @@ class SharpeHyperOptLoss(IHyperOptLoss):
Uses Sharpe Ratio calculation.
"""
total_profit = results.profit_percent
total_profit = results["profit_percent"]
days_period = (max_date - min_date).days
# adding slippage of 0.1% per trade
total_profit = total_profit - 0.0005
expected_yearly_return = total_profit.sum() / days_period
expected_returns_mean = total_profit.sum() / days_period
up_stdev = np.std(total_profit)
if (np.std(total_profit) != 0.):
sharp_ratio = expected_yearly_return / np.std(total_profit) * np.sqrt(365)
sharp_ratio = expected_returns_mean / up_stdev * np.sqrt(365)
else:
# Define high (negative) sharpe ratio to be clear that this is NOT optimal.
sharp_ratio = -20.
# print(expected_yearly_return, np.std(total_profit), sharp_ratio)
# print(expected_returns_mean, up_stdev, sharp_ratio)
return -sharp_ratio