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hroff-1902 2020-02-16 13:46:07 +03:00
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freqtrade/optimize/hyperopt_loss_sortino_daily.py
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@ -28,6 +28,9 @@ class SortinoHyperOptLossDaily(IHyperOptLoss):
Objective function, returns smaller number for more optimal results.
Uses Sortino Ratio calculation.
Sortino Ratio calculated as described in
http://www.redrockcapital.com/Sortino__A__Sharper__Ratio_Red_Rock_Capital.pdf
"""
resample_freq = '1D'
slippage_per_trade_ratio = 0.0005