adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

VolatilityFilter resolves freqtrade/freqtrade#4650

Browse Source
This commit is contained in:
gbojen
2021-04-06 22:41:15 +02:00
parent 1733e24062
commit 187cf6dcd5
2 changed files with 16 additions and 5 deletions
Download Patch File Download Diff File Expand all files Collapse all files

6
freqtrade/plugins/pairlist/VolatilityFilter.py
View File

@@ -67,7 +67,7 @@ class VolatilityFilter(IPairList):
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new allowlist
"""
needed_pairs = [(p, '1h') for p in pairlist if p not in self._pair_cache]
needed_pairs = [(p, '1d') for p in pairlist if p not in self._pair_cache]
since_ms = int(arrow.utcnow()
.floor('day')
@@ -81,7 +81,7 @@ class VolatilityFilter(IPairList):
if self._enabled:
for p in deepcopy(pairlist):
daily_candles = candles[(p, '1h')] if (p, '1h') in candles else None
daily_candles = candles[(p, '1d')] if (p, '1d') in candles else None
if not self._validate_pair_loc(p, daily_candles):
pairlist.remove(p)
return pairlist
@@ -102,7 +102,7 @@ class VolatilityFilter(IPairList):
returns = (np.log(daily_candles.close / daily_candles.close.shift(-1)))
returns.fillna(0, inplace=True)
volatility_series = returns.rolling(window=self._days*24).std()*np.sqrt(self._days*24)
volatility_series = returns.rolling(window=self._days).std()*np.sqrt(self._days)
volatility_avg = volatility_series.mean()
if self._min_volatility <= volatility_avg <= self._max_volatility: