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46 lines
1.4 KiB
Python
46 lines
1.4 KiB
Python
"""
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SharpeHyperOptLoss
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This module defines the alternative HyperOptLoss class which can be used for
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Hyperoptimization.
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"""
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from datetime import datetime
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from pandas import DataFrame
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import numpy as np
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from freqtrade.optimize.hyperopt import IHyperOptLoss
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class SharpeHyperOptLoss(IHyperOptLoss):
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"""
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Defines the loss function for hyperopt.
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This implementation uses the Sharpe Ratio calculation.
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"""
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@staticmethod
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def hyperopt_loss_function(results: DataFrame, trade_count: int,
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min_date: datetime, max_date: datetime,
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*args, **kwargs) -> float:
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"""
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Objective function, returns smaller number for more optimal results.
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Uses Sharpe Ratio calculation.
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"""
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total_profit = results.profit_percent
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days_period = (max_date - min_date).days
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# adding slippage of 0.1% per trade
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total_profit = total_profit - 0.0005
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expected_yearly_return = total_profit.sum() / days_period
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if (np.std(total_profit) != 0.):
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sharp_ratio = expected_yearly_return / np.std(total_profit) * np.sqrt(365)
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else:
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# Define high (negative) sharpe ratio to be clear that this is NOT optimal.
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sharp_ratio = -20.
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# print(expected_yearly_return, np.std(total_profit), sharp_ratio)
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return -sharp_ratio
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