objective function set up as lambda r: r.mean()

finlab-python / finlab_crypto

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objective function set up as lambda r: r.mean() #15

Closed penguinwang96825 closed 3 years ago

penguinwang96825 commented 3 years ago

In DH Bailey's paper "The probability of backtest overfitting", they used sharpe ratio as their default objective function. However, in fin_crypto library, objective function was set up as objective=lambda r: r.mean(). Just want to clarify, needn't the default of objective function be set as objective=lambda r: sharpe_ratio(r)?

koreal6803 commented 3 years ago

That's a good point. I will update it when there's time!