optimise_sharpe_and_max_drawdown_ratio#

API documentation for tradeexecutor.backtest.optimiser_functions.optimise_sharpe_and_max_drawdown_ratio Python function.

optimise_sharpe_and_max_drawdown_ratio(result)[source]#

Search for the best sharpe / max drawndown ratio.

  • One of the attempts to try to find “balanced” strategies that do not take risky trades, but rather sit on the cash (which can be used elsewhere)

  • Search combined sharpe / max drawdown ratio.

  • Higher is better.

  • See also BalancedSharpeAndMaxDrawdownOptimisationFunction()

Parameters:

result (GridSearchResult) –

Return type:

OptimiserSearchResult