mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 18:23:55 +00:00
63 lines
2.1 KiB
Python
63 lines
2.1 KiB
Python
"""
|
|
SharpeHyperOptLossDaily
|
|
|
|
This module defines the alternative HyperOptLoss class which can be used for
|
|
Hyperoptimization.
|
|
"""
|
|
import math
|
|
from datetime import datetime
|
|
|
|
from pandas import DataFrame, date_range
|
|
|
|
from freqtrade.optimize.hyperopt import IHyperOptLoss
|
|
|
|
|
|
class SharpeHyperOptLossDaily(IHyperOptLoss):
|
|
"""
|
|
Defines the loss function for hyperopt.
|
|
|
|
This implementation uses the Sharpe Ratio calculation.
|
|
"""
|
|
|
|
@staticmethod
|
|
def hyperopt_loss_function(results: DataFrame, trade_count: int,
|
|
min_date: datetime, max_date: datetime,
|
|
*args, **kwargs) -> float:
|
|
"""
|
|
Objective function, returns smaller number for more optimal results.
|
|
|
|
Uses Sharpe Ratio calculation.
|
|
"""
|
|
resample_freq = '1D'
|
|
slippage_per_trade_ratio = 0.0005
|
|
days_in_year = 365
|
|
annual_risk_free_rate = 0.0
|
|
risk_free_rate = annual_risk_free_rate / days_in_year
|
|
|
|
# apply slippage per trade to profit_percent
|
|
results.loc[:, 'profit_percent_after_slippage'] = \
|
|
results['profit_percent'] - slippage_per_trade_ratio
|
|
|
|
# create the index within the min_date and end max_date
|
|
t_index = date_range(start=min_date, end=max_date, freq=resample_freq,
|
|
normalize=True)
|
|
|
|
sum_daily = (
|
|
results.resample(resample_freq, on='close_date').agg(
|
|
{"profit_percent_after_slippage": sum}).reindex(t_index).fillna(0)
|
|
)
|
|
|
|
total_profit = sum_daily["profit_percent_after_slippage"] - risk_free_rate
|
|
expected_returns_mean = total_profit.mean()
|
|
up_stdev = total_profit.std()
|
|
|
|
if up_stdev != 0:
|
|
sharp_ratio = expected_returns_mean / up_stdev * math.sqrt(days_in_year)
|
|
else:
|
|
# Define high (negative) sharpe ratio to be clear that this is NOT optimal.
|
|
sharp_ratio = -20.
|
|
|
|
# print(t_index, sum_daily, total_profit)
|
|
# print(risk_free_rate, expected_returns_mean, up_stdev, sharp_ratio)
|
|
return -sharp_ratio
|