Skip to content
This repository has been archived by the owner on Feb 15, 2022. It is now read-only.

fix phenotype win loss ratio weighting #1251

Merged
merged 1 commit into from Jan 31, 2018
Merged

fix phenotype win loss ratio weighting #1251

Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Jump to
Jump to file
Failed to load files.
Diff view
Diff view
8 changes: 5 additions & 3 deletions scripts/genetic_backtester/phenotype.js
View file
Open in desktop
Expand Up @@ -70,9 +70,11 @@ module.exports = {
if (typeof phenotype.sim === 'undefined') return 0

var vsBuyHoldRate = (phenotype.sim.vsBuyHold / 50)
var wlRatio = phenotype.sim.wins - phenotype.sim.losses
// 2.71828 is https://en.wikipedia.org/wiki/E_(mathematical_constant)
var wlRatioRate = 1.0 / (1.0 + Math.pow(2.71828, wlRatio < 0 ? wlRatio:-(wlRatio)))
var wlRatio = phenotype.sim.wins / phenotype.sim.losses
if(isNaN(wlRatio)) { // zero trades will result in 0/0 which is NaN
wlRatio = 1
}
var wlRatioRate = 1.0 / (1.0 + Math.pow(Math.E, -wlRatio))
var rate = vsBuyHoldRate * (wlRatioRate)
return rate
},
Expand Down