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Add sharpe ratio as loss function

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Matthias
2019-07-15 22:52:33 +02:00
parent e5170582de
commit 55e8092cbf
5 changed files with 73 additions and 13 deletions
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4
freqtrade/optimize/hyperopt.py
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@@ -23,7 +23,7 @@ from freqtrade.configuration import Arguments
from freqtrade.data.history import load_data, get_timeframe
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver
from freqtrade.optimize.hyperopt_loss import hyperopt_loss_legacy
from freqtrade.optimize.hyperopt_loss import hyperopt_loss_legacy, hyperopt_loss_sharpe
logger = logging.getLogger(__name__)
@@ -74,6 +74,8 @@ class Hyperopt(Backtesting):
# Assign loss function
if self.config.get('loss_function', 'legacy') == 'legacy':
self.calculate_loss = hyperopt_loss_legacy
elif self.config.get('loss_function', 'sharpe') == 'sharpe':
self.calculate_loss = hyperopt_loss_sharpe
elif (self.config['loss_function'] == 'custom' and
hasattr(self.custom_hyperopt, 'hyperopt_loss_custom')):
self.calculate_loss = self.custom_hyperopt.hyperopt_loss_custom # type: ignore