freqtrade / freqtrade / 9394559170

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xmatthias 
Loader should be passed as kwarg for clarity

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84.62
/freqtrade/optimize/hyperopt_loss/hyperopt_loss_profit_drawdown.py
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"""
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ProfitDrawDownHyperOptLoss
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This module defines the alternative HyperOptLoss class based on Profit &
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Drawdown objective which can be used for Hyperoptimization.
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Possible to change `DRAWDOWN_MULT` to penalize drawdown objective for
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individual needs.
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"""
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from pandas import DataFrame
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from freqtrade.data.metrics import calculate_max_drawdown




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from freqtrade.optimize.hyperopt import IHyperOptLoss




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# higher numbers penalize drawdowns more severely










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DRAWDOWN_MULT = 0.075




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class ProfitDrawDownHyperOptLoss(IHyperOptLoss):




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    @staticmethod




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    def hyperopt_loss_function(results: DataFrame, trade_count: int, *args, **kwargs) -> float:




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        total_profit = results["profit_abs"].sum()




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        try:




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            max_drawdown_abs = calculate_max_drawdown(results, value_col="profit_abs")[5]




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        except ValueError:




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            max_drawdown_abs = 0




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        return -1 * (total_profit * (1 - max_drawdown_abs * DRAWDOWN_MULT))




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