From 34c8a5afaff2c06fc0a09df0d4eba6ad2464bcc6 Mon Sep 17 00:00:00 2001 From: sauces1313 Date: Sun, 25 Jul 2021 07:24:55 +0000 Subject: [PATCH] remove second filter, add max option --- docs/includes/pairlists.md | 24 +--- freqtrade/constants.py | 2 +- .../plugins/pairlist/rangestabilityfilter.py | 12 +- .../pairlist/rangestabilityfiltermax.py | 109 ------------------ tests/plugins/test_pairlist.py | 18 +-- 5 files changed, 26 insertions(+), 139 deletions(-) delete mode 100644 freqtrade/plugins/pairlist/rangestabilityfiltermax.py diff --git a/docs/includes/pairlists.md b/docs/includes/pairlists.md index 0368e8a6f..e9d2f45e7 100644 --- a/docs/includes/pairlists.md +++ b/docs/includes/pairlists.md @@ -155,10 +155,10 @@ If `DOGE/BTC` maximum bid is 0.00000026 and minimum ask is 0.00000027, the ratio #### RangeStabilityFilter -Removes pairs where the difference between lowest low and highest high over `lookback_days` days is below `min_rate_of_change`. Since this is a filter that requires additional data, the results are cached for `refresh_period`. +Removes pairs where the difference between lowest low and highest high over `lookback_days` days is below `min_rate_of_change` or above `max_rate_of_change`. Since this is a filter that requires additional data, the results are cached for `refresh_period`. In the below example: -If the trading range over the last 10 days is <1%, remove the pair from the whitelist. +If the trading range over the last 10 days is <1% or >99%, remove the pair from the whitelist. ```json "pairlists": [ @@ -166,6 +166,7 @@ If the trading range over the last 10 days is <1%, remove the pair from the whit "method": "RangeStabilityFilter", "lookback_days": 10, "min_rate_of_change": 0.01, + "max_rate_of_change": 0.99, "refresh_period": 1440 } ] @@ -173,24 +174,7 @@ If the trading range over the last 10 days is <1%, remove the pair from the whit !!! Tip This Filter can be used to automatically remove stable coin pairs, which have a very low trading range, and are therefore extremely difficult to trade with profit. - -#### RangeStabilityFilterMax - -Same function as `RangeStabilityFilter` but instead of a minimum value, it uses a maximum value for rate of change, i.e. `max_rate_of_change` as seen in the example below. - -```json -"pairlists": [ - { - "method": "RangeStabilityFilterMax", - "lookback_days": 10, - "max_rate_of_change": 1.01, - "refresh_period": 1440 - } -] -``` - -!!! Tip - This Filter can be used to automatically remove pairs with extreme high/low variance over a given amount of time (`lookback_days`). + Additionally, it can also be used to automatically remove pairs with extreme high/low variance over a given amount of time. #### VolatilityFilter diff --git a/freqtrade/constants.py b/freqtrade/constants.py index 089569842..f4c32387b 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -28,7 +28,7 @@ HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss', AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', 'AgeFilter', 'PerformanceFilter', 'PrecisionFilter', 'PriceFilter', 'RangeStabilityFilter', 'ShuffleFilter', - 'SpreadFilter', 'VolatilityFilter', 'RangeStabilityFilterMax'] + 'SpreadFilter', 'VolatilityFilter'] AVAILABLE_PROTECTIONS = ['CooldownPeriod', 'LowProfitPairs', 'MaxDrawdown', 'StoplossGuard'] AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5'] DRY_RUN_WALLET = 1000 diff --git a/freqtrade/plugins/pairlist/rangestabilityfilter.py b/freqtrade/plugins/pairlist/rangestabilityfilter.py index a6d1820de..105568f17 100644 --- a/freqtrade/plugins/pairlist/rangestabilityfilter.py +++ b/freqtrade/plugins/pairlist/rangestabilityfilter.py @@ -26,6 +26,7 @@ class RangeStabilityFilter(IPairList): self._days = pairlistconfig.get('lookback_days', 10) self._min_rate_of_change = pairlistconfig.get('min_rate_of_change', 0.01) + self._max_rate_of_change = pairlistconfig.get('max_rate_of_change', 0.99) self._refresh_period = pairlistconfig.get('refresh_period', 1440) self._pair_cache: TTLCache = TTLCache(maxsize=1000, ttl=self._refresh_period) @@ -51,7 +52,8 @@ class RangeStabilityFilter(IPairList): Short whitelist method description - used for startup-messages """ return (f"{self.name} - Filtering pairs with rate of change below " - f"{self._min_rate_of_change} over the last {plural(self._days, 'day')}.") + f"{self._min_rate_of_change} and above " + f"{self._max_rate_of_change} over the last {plural(self._days, 'day')}.") def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]: """ @@ -104,6 +106,14 @@ class RangeStabilityFilter(IPairList): f"which is below the threshold of {self._min_rate_of_change}.", logger.info) result = False + if pct_change <= self._max_rate_of_change: + result = True + else: + self.log_once(f"Removed {pair} from whitelist, because rate of change " + f"over {self._days} {plural(self._days, 'day')} is {pct_change:.3f}, " + f"which is above the threshold of {self._max_rate_of_change}.", + logger.info) + result = False self._pair_cache[pair] = result return result diff --git a/freqtrade/plugins/pairlist/rangestabilityfiltermax.py b/freqtrade/plugins/pairlist/rangestabilityfiltermax.py deleted file mode 100644 index e0cf5b9b4..000000000 --- a/freqtrade/plugins/pairlist/rangestabilityfiltermax.py +++ /dev/null @@ -1,109 +0,0 @@ -""" -Rate of change pairlist filter -""" -import logging -from copy import deepcopy -from typing import Any, Dict, List, Optional - -import arrow -from cachetools.ttl import TTLCache -from pandas import DataFrame - -from freqtrade.exceptions import OperationalException -from freqtrade.misc import plural -from freqtrade.plugins.pairlist.IPairList import IPairList - - -logger = logging.getLogger(__name__) - - -class RangeStabilityFilterMax(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._days = pairlistconfig.get('lookback_days', 10) - self._max_rate_of_change = pairlistconfig.get('max_rate_of_change', 0.02) - self._refresh_period = pairlistconfig.get('refresh_period', 1440) - - self._pair_cache: TTLCache = TTLCache(maxsize=1000, ttl=self._refresh_period) - - if self._days < 1: - raise OperationalException("RangeStabilityFilterMax requires lookback_days to be >= 1") - if self._days > exchange.ohlcv_candle_limit('1d'): - raise OperationalException("RangeStabilityFilterMax requires lookback_days to not " - "exceed exchange max request size " - f"({exchange.ohlcv_candle_limit('1d')})") - - @property - def needstickers(self) -> bool: - """ - Boolean property defining if tickers are necessary. - If no Pairlist requires tickers, an empty List is passed - as tickers argument to filter_pairlist - """ - return False - - def short_desc(self) -> str: - """ - Short whitelist method description - used for startup-messages - """ - return (f"{self.name} - Filtering pairs with rate of change below " - f"{self._max_rate_of_change} over the last {plural(self._days, 'day')}.") - - def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]: - """ - Validate trading range - :param pairlist: pairlist to filter or sort - :param tickers: Tickers (from exchange.get_tickers()). May be cached. - :return: new allowlist - """ - needed_pairs = [(p, '1d') for p in pairlist if p not in self._pair_cache] - - since_ms = int(arrow.utcnow() - .floor('day') - .shift(days=-self._days - 1) - .float_timestamp) * 1000 - # Get all candles - candles = {} - if needed_pairs: - candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms, - cache=False) - - if self._enabled: - for p in deepcopy(pairlist): - 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 - - def _validate_pair_loc(self, pair: str, daily_candles: Optional[DataFrame]) -> bool: - """ - Validate trading range - :param pair: Pair that's currently validated - :param ticker: ticker dict as returned from ccxt.load_markets() - :return: True if the pair can stay, false if it should be removed - """ - # Check symbol in cache - cached_res = self._pair_cache.get(pair, None) - if cached_res is not None: - return cached_res - - result = False - if daily_candles is not None and not daily_candles.empty: - highest_high = daily_candles['high'].max() - lowest_low = daily_candles['low'].min() - pct_change = ((highest_high - lowest_low) / lowest_low) if lowest_low > 0 else 0 - if pct_change <= self._max_rate_of_change: - result = True - else: - self.log_once(f"Removed {pair} from whitelist, because rate of change " - f"over {self._days} {plural(self._days, 'day')} is {pct_change:.3f}, " - f"which is above the threshold of {self._max_rate_of_change}.", - logger.info) - result = False - self._pair_cache[pair] = result - - return result diff --git a/tests/plugins/test_pairlist.py b/tests/plugins/test_pairlist.py index ae8f6e958..550587da9 100644 --- a/tests/plugins/test_pairlist.py +++ b/tests/plugins/test_pairlist.py @@ -412,7 +412,7 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf): "USDT", ['NANO/USDT']), ([{"method": "StaticPairList"}, {"method": "RangeStabilityFilter", "lookback_days": 10, - "min_rate_of_change": 0.01, "refresh_period": 1440}], + "min_rate_of_change": 0.01, "max_rate_of_change": 0.99, "refresh_period": 1440}], "BTC", ['ETH/BTC', 'TKN/BTC', 'HOT/BTC']), ([{"method": "StaticPairList"}, {"method": "VolatilityFilter", "lookback_days": 3, @@ -718,15 +718,16 @@ def test_rangestabilityfilter_checks(mocker, default_conf, markets, tickers): get_patched_freqtradebot(mocker, default_conf) -@pytest.mark.parametrize('min_rate_of_change,expected_length', [ - (0.01, 5), - (0.05, 0), # Setting rate_of_change to 5% removes all pairs from the whitelist. +@pytest.mark.parametrize('min_rate_of_change,max_rate_of_change,expected_length', [ + (0.01, 0.99, 5), + (0.05, 0.0, 0), # Setting min rate_of_change to 5% removes all pairs from the whitelist. ]) def test_rangestabilityfilter_caching(mocker, markets, default_conf, tickers, ohlcv_history, - min_rate_of_change, expected_length): + min_rate_of_change, max_rate_of_change, expected_length): default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10}, {'method': 'RangeStabilityFilter', 'lookback_days': 2, - 'min_rate_of_change': min_rate_of_change}] + 'min_rate_of_change': min_rate_of_change, + "max_rate_of_change": max_rate_of_change}] mocker.patch.multiple('freqtrade.exchange.Exchange', markets=PropertyMock(return_value=markets), @@ -828,9 +829,10 @@ def test_spreadfilter_invalid_data(mocker, default_conf, markets, tickers, caplo None, "PriceFilter requires max_value to be >= 0" ), # OperationalException expected - ({"method": "RangeStabilityFilter", "lookback_days": 10, "min_rate_of_change": 0.01}, + ({"method": "RangeStabilityFilter", "lookback_days": 10, + "min_rate_of_change": 0.01, "max_rate_of_change": 0.99}, "[{'RangeStabilityFilter': 'RangeStabilityFilter - Filtering pairs with rate of change below " - "0.01 over the last days.'}]", + "0.01 and above 0.99 over the last days.'}]", None ), ])