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removing outliers per pair and not across all pairs

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This commit is contained in:
misagh 2018-10-12 19:37:23 +02:00
parent 6d4f68fcdb
commit 6aa9cd1060
1 changed files with 3 additions and 10 deletions
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13
freqtrade/edge/__init__.py
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@ -15,7 +15,6 @@ from freqtrade.strategy.interface import SellType
from freqtrade.strategy.resolver import IStrategy, StrategyResolver
from freqtrade.optimize.backtesting import Backtesting
logger = logging.getLogger(__name__)
@ -221,25 +220,19 @@ class Edge():
and keep it in a storage.
The calulation will be done per pair and per strategy.
"""
# Removing pairs having less than min_trades_number
min_trades_number = self.edge_config.get('min_trade_number', 15)
results = results.groupby('pair').filter(lambda x: len(x) > min_trades_number)
results = results.groupby(['pair', 'stoploss']).filter(lambda x: len(x) > min_trades_number)
###################################
# Removing outliers (Only Pumps) from the dataset
# The method to detect outliers is to calculate standard deviation
# Then every value more than (standard deviation + 2*average) is out (pump)
#
# Calculating standard deviation of profits
std = results[["profit_abs"]].std()
#
# Calculating average of profits
avg = results[["profit_abs"]].mean()
#
# Removing Pumps
if self.edge_config.get('remove_pumps', True):
results = results[results.profit_abs <= float(avg + 2 * std)]
results = results.groupby(['pair', 'stoploss']).apply(
lambda x: x[x['profit_abs'] < 2 * x['profit_abs'].std() + x['profit_abs'].mean()])
##########################################################################
# Removing trades having a duration more than X minutes (set in config)