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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. Objective function, returns smaller number for more optimal results.
Uses Sortino Ratio calculation. 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' resample_freq = '1D'
slippage_per_trade_ratio = 0.0005 slippage_per_trade_ratio = 0.0005