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VolatilityFilter resolves freqtrade/freqtrade#4650

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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
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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. :param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new allowlist :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() since_ms = int(arrow.utcnow()
.floor('day') .floor('day')
@ -81,7 +81,7 @@ class VolatilityFilter(IPairList):
if self._enabled: if self._enabled:
for p in deepcopy(pairlist): 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): if not self._validate_pair_loc(p, daily_candles):
pairlist.remove(p) pairlist.remove(p)
return pairlist return pairlist
@ -102,7 +102,7 @@ class VolatilityFilter(IPairList):
returns = (np.log(daily_candles.close / daily_candles.close.shift(-1))) returns = (np.log(daily_candles.close / daily_candles.close.shift(-1)))
returns.fillna(0, inplace=True) 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() volatility_avg = volatility_series.mean()
if self._min_volatility <= volatility_avg <= self._max_volatility: if self._min_volatility <= volatility_avg <= self._max_volatility:

15
tests/plugins/test_pairlist.py
View File

@ -407,6 +407,10 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
{"method": "RangeStabilityFilter", "lookback_days": 10, {"method": "RangeStabilityFilter", "lookback_days": 10,
"min_rate_of_change": 0.01, "refresh_period": 1440}], "min_rate_of_change": 0.01, "refresh_period": 1440}],
"BTC", ['ETH/BTC', 'TKN/BTC', 'HOT/BTC']), "BTC", ['ETH/BTC', 'TKN/BTC', 'HOT/BTC']),
([{"method": "StaticPairList"},
{"method": "VolatilityFilter", "lookback_days": 3,
"min_volatility": 0.002, "max_volatility": 0.004, "refresh_period": 1440}],
"BTC", ['ETH/BTC', 'TKN/BTC'])
]) ])
def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, tickers, def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, tickers,
ohlcv_history, pairlists, base_currency, ohlcv_history, pairlists, base_currency,
@ -414,14 +418,20 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
whitelist_conf['pairlists'] = pairlists whitelist_conf['pairlists'] = pairlists
whitelist_conf['stake_currency'] = base_currency whitelist_conf['stake_currency'] = base_currency
ohlcv_history_high_vola = ohlcv_history.copy()
ohlcv_history_high_vola.loc[ohlcv_history_high_vola.index==1, 'close'] = 0.00090
ohlcv_data = { ohlcv_data = {
('ETH/BTC', '1d'): ohlcv_history, ('ETH/BTC', '1d'): ohlcv_history,
('TKN/BTC', '1d'): ohlcv_history, ('TKN/BTC', '1d'): ohlcv_history,
('LTC/BTC', '1d'): ohlcv_history, ('LTC/BTC', '1d'): ohlcv_history,
('XRP/BTC', '1d'): ohlcv_history, ('XRP/BTC', '1d'): ohlcv_history,
('HOT/BTC', '1d'): ohlcv_history, ('HOT/BTC', '1d'): ohlcv_history_high_vola,
} }
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True)) mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
if whitelist_result == 'static_in_the_middle': if whitelist_result == 'static_in_the_middle':
@ -487,7 +497,8 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
assert log_has(logmsg, caplog) assert log_has(logmsg, caplog)
else: else:
assert not log_has(logmsg, caplog) assert not log_has(logmsg, caplog)
if pairlist["method"] == 'VolatilityFilter':
assert log_has_re(r'^Removed .* from whitelist, because volatility.*$', caplog)
def test_PrecisionFilter_error(mocker, whitelist_conf) -> None: def test_PrecisionFilter_error(mocker, whitelist_conf) -> None:
whitelist_conf['pairlists'] = [{"method": "StaticPairList"}, {"method": "PrecisionFilter"}] whitelist_conf['pairlists'] = [{"method": "StaticPairList"}, {"method": "PrecisionFilter"}]