freqtrade_origin/freqtrade/optimize/hyperopt_loss_onlyprofit.py
2019-07-25 08:17:41 +03:00

39 lines
1.2 KiB
Python

"""
OnlyProfitHyperOptLoss
This module defines the alternative HyperOptLoss class which can be used for
Hyperoptimization.
"""
from pandas import DataFrame
from freqtrade.optimize.hyperopt import IHyperOptLoss
# This is assumed to be expected avg profit * expected trade count.
# For example, for 0.35% avg per trade (or 0.0035 as ratio) and 1100 trades,
# expected max profit = 3.85
#
# Note, this is ratio. 3.85 stated above means 385Σ%, 3.0 means 300Σ%.
#
# In this implementation it's only used in calculation of the resulting value
# of the objective function as a normalization coefficient and does not
# represent any limit for profits as in the Freqtrade legacy default loss function.
EXPECTED_MAX_PROFIT = 3.0
class OnlyProfitHyperOptLoss(IHyperOptLoss):
"""
Defines the loss function for hyperopt.
This implementation takes only profit into account.
"""
@staticmethod
def hyperopt_loss_function(results: DataFrame, trade_count: int,
*args, **kwargs) -> float:
"""
Objective function, returns smaller number for better results.
"""
total_profit = results.profit_percent.sum()
return 1 - total_profit / EXPECTED_MAX_PROFIT