From 728ab0ff2115dac6affd80c5b6b5f6bfb4e85a71 Mon Sep 17 00:00:00 2001 From: Yazeed Al Oyoun Date: Fri, 7 Feb 2020 01:18:15 +0100 Subject: [PATCH] Added both SortinoHyperOptLoss and SortinoHyperOptLossDaily --- freqtrade/optimize/hyperopt_loss_sortino.py | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/freqtrade/optimize/hyperopt_loss_sortino.py b/freqtrade/optimize/hyperopt_loss_sortino.py index e84ecb402..83f644a43 100644 --- a/freqtrade/optimize/hyperopt_loss_sortino.py +++ b/freqtrade/optimize/hyperopt_loss_sortino.py @@ -16,7 +16,7 @@ class SortinoHyperOptLoss(IHyperOptLoss): """ Defines the loss function for hyperopt. - This implementation uses the Sharpe Ratio calculation. + This implementation uses the Sortino Ratio calculation. """ @staticmethod @@ -26,7 +26,7 @@ class SortinoHyperOptLoss(IHyperOptLoss): """ Objective function, returns smaller number for more optimal results. - Uses Sharpe Ratio calculation. + Uses Sortino Ratio calculation. """ total_profit = results["profit_percent"] days_period = (max_date - min_date).days @@ -42,7 +42,7 @@ class SortinoHyperOptLoss(IHyperOptLoss): if np.std(total_profit) != 0.0: sortino_ratio = expected_returns_mean / down_stdev * np.sqrt(365) else: - # Define high (negative) sharpe ratio to be clear that this is NOT optimal. + # Define high (negative) sortino ratio to be clear that this is NOT optimal. sortino_ratio = -20. # print(expected_returns_mean, down_stdev, sortino_ratio)