Merge pull request #5582 from sergeykhliustin/develop

Added days parameter to PerformanceFilter

docs/includes/pairlists.md

@@ -165,6 +165,7 @@ Example to remove the first 10 pairs from the pairlist:
 
 ```json
 "pairlists": [
+    // ...
     {
         "method": "OffsetFilter",
         "offset": 10
@@ -190,6 +191,19 @@ Sorts pairs by past trade performance, as follows:
 
 Trade count is used as a tie breaker.
 
+You can use the `minutes` parameter to only consider performance of the past X minutes (rolling window).
+Not defining this parameter (or setting it to 0) will use all-time performance.
+
+```json
+"pairlists": [
+    // ...
+    {
+        "method": "PerformanceFilter",
+        "minutes": 1440  // rolling 24h
+    }
+],
+```
+
 !!! Note
     `PerformanceFilter` does not support backtesting mode.
 

freqtrade/persistence/models.py

@@ -2,7 +2,7 @@
 This module contains the class to persist trades into SQLite
 """
 import logging
-from datetime import datetime, timezone
+from datetime import datetime, timedelta, timezone
 from decimal import Decimal
 from typing import Any, Dict, List, Optional
 
@@ -832,17 +832,21 @@ class Trade(_DECL_BASE, LocalTrade):
         return total_open_stake_amount or 0
 
     @staticmethod
-    def get_overall_performance() -> List[Dict[str, Any]]:
+    def get_overall_performance(minutes=None) -> List[Dict[str, Any]]:
         """
         Returns List of dicts containing all Trades, including profit and trade count
         NOTE: Not supported in Backtesting.
         """
+        filters = [Trade.is_open.is_(False)]
+        if minutes:
+            start_date = datetime.now(timezone.utc) - timedelta(minutes=minutes)
+            filters.append(Trade.close_date >= start_date)
         pair_rates = Trade.query.with_entities(
             Trade.pair,
             func.sum(Trade.close_profit).label('profit_sum'),
             func.sum(Trade.close_profit_abs).label('profit_sum_abs'),
             func.count(Trade.pair).label('count')
-        ).filter(Trade.is_open.is_(False))\
+        ).filter(*filters)\
             .group_by(Trade.pair) \
             .order_by(desc('profit_sum_abs')) \
             .all()

freqtrade/plugins/pairlist/PerformanceFilter.py

@@ -2,7 +2,7 @@
 Performance pair list filter
 """
 import logging
-from typing import Dict, List
+from typing import Any, Dict, List
 
 import pandas as pd
 
@@ -15,6 +15,13 @@ logger = logging.getLogger(__name__)
 
 class PerformanceFilter(IPairList):
 
+    def __init__(self, exchange, pairlistmanager,
+                 config: Dict[str, Any], pairlistconfig: Dict[str, Any],
+                 pairlist_pos: int) -> None:
+        super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
+
+        self._minutes = pairlistconfig.get('minutes', 0)
+
     @property
     def needstickers(self) -> bool:
         """
@@ -40,7 +47,7 @@ class PerformanceFilter(IPairList):
         """
         # Get the trading performance for pairs from database
         try:
-            performance = pd.DataFrame(Trade.get_overall_performance())
+            performance = pd.DataFrame(Trade.get_overall_performance(self._minutes))
         except AttributeError:
             # Performancefilter does not work in backtesting.
             self.log_once("PerformanceFilter is not available in this mode.", logger.warning)

tests/plugins/test_pairlist.py

@@ -12,7 +12,8 @@ from freqtrade.persistence import Trade
 from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
 from freqtrade.plugins.pairlistmanager import PairListManager
 from freqtrade.resolvers import PairListResolver
-from tests.conftest import get_patched_exchange, get_patched_freqtradebot, log_has, log_has_re
+from tests.conftest import (create_mock_trades, get_patched_exchange, get_patched_freqtradebot,
+                            log_has, log_has_re)
 
 
 @pytest.fixture(scope="function")
@@ -663,6 +664,31 @@ def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None:
     assert log_has("PerformanceFilter is not available in this mode.", caplog)
 
 
+@pytest.mark.usefixtures("init_persistence")
+def test_PerformanceFilter_lookback(mocker, whitelist_conf, fee) -> None:
+    whitelist_conf['exchange']['pair_whitelist'].append('XRP/BTC')
+    whitelist_conf['pairlists'] = [
+        {"method": "StaticPairList"},
+        {"method": "PerformanceFilter", "minutes": 60}
+    ]
+    mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
+    exchange = get_patched_exchange(mocker, whitelist_conf)
+    pm = PairListManager(exchange, whitelist_conf)
+    pm.refresh_pairlist()
+
+    assert pm.whitelist == ['ETH/BTC', 'TKN/BTC', 'XRP/BTC']
+
+    with time_machine.travel("2021-09-01 05:00:00 +00:00") as t:
+        create_mock_trades(fee)
+        pm.refresh_pairlist()
+        assert pm.whitelist == ['XRP/BTC', 'ETH/BTC', 'TKN/BTC']
+
+        # Move to "outside" of lookback window, so original sorting is restored.
+        t.move_to("2021-09-01 07:00:00 +00:00")
+        pm.refresh_pairlist()
+        assert pm.whitelist == ['ETH/BTC', 'TKN/BTC', 'XRP/BTC']
+
+
 def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
     default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10}]