RollingSharpeOptimisationFunction#

API documentation for tradeexecutor.backtest.optimiser_functions.RollingSharpeOptimisationFunction Python class in Trading Strategy framework.

class RollingSharpeOptimisationFunction[source]#

Bases: object

Find a rolling sharpe that’s stable and high.

  • Rolling sharpe is not volatile but a constant line

  • This means the strategy produces constant results over the time

  • Higher rolling sharpe is better

__init__(rolling_sharpe_window_days=180)[source]#

Methods

__init__([rolling_sharpe_window_days])

__init__(rolling_sharpe_window_days=180)[source]#
__call__(result)[source]#

Call self as a function.

Parameters:

result (GridSearchResult) –

Return type:

OptimiserSearchResult