diff --git a/docs/includes/pairlists.md b/docs/includes/pairlists.md index e6a9fc1a8..301a5453d 100644 --- a/docs/includes/pairlists.md +++ b/docs/includes/pairlists.md @@ -19,6 +19,7 @@ Inactive markets are always removed from the resulting pairlist. Explicitly blac * [`PriceFilter`](#pricefilter) * [`ShuffleFilter`](#shufflefilter) * [`SpreadFilter`](#spreadfilter) +* [`VolatilityFilter`](#volatilityfilter) !!! Tip "Testing pairlists" Pairlist configurations can be quite tricky to get right. Best use the [`test-pairlist`](utils.md#test-pairlist) utility sub-command to test your configuration quickly. @@ -118,6 +119,27 @@ Example: If `DOGE/BTC` maximum bid is 0.00000026 and minimum ask is 0.00000027, the ratio is calculated as: `1 - bid/ask ~= 0.037` which is `> 0.005` and this pair will be filtered out. +#### VolatilityFilter + +Removes pairs where the difference between lowest low and highest high over `volatility_over_days` days is below `min_volatility`. Since this is a filter that requires additional data, the results are cached for `refresh_period`. + +In the below example: +If volatility over the last 10 days is <1%, remove the pair from the whitelist. + +```json +"pairlists": [ + { + "method": "VolatilityFilter", + "volatility_over_days": 10, + "min_volatility": 0.01, + "refresh_period": 1440 + } +] +``` + +!!! Tip + This Filter can be used to automatically remove stable coin pairs, which have a very low volatility, and are therefore extremely hard to trade with profit. + ### Full example of Pairlist Handlers The below example blacklists `BNB/BTC`, uses `VolumePairList` with `20` assets, sorting pairs by `quoteVolume` and applies both [`PrecisionFilter`](#precisionfilter) and [`PriceFilter`](#price-filter), filtering all assets where 1 price unit is > 1%. Then the `SpreadFilter` is applied and pairs are finally shuffled with the random seed set to some predefined value. @@ -137,6 +159,12 @@ The below example blacklists `BNB/BTC`, uses `VolumePairList` with `20` assets, {"method": "PrecisionFilter"}, {"method": "PriceFilter", "low_price_ratio": 0.01}, {"method": "SpreadFilter", "max_spread_ratio": 0.005}, + { + "method": "VolatilityFilter", + "volatility_over_days": 10, + "min_volatility": 0.01, + "refresh_period": 1440 + }, {"method": "ShuffleFilter", "seed": 42} ], ```