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Document volatilityFilter

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Matthias 2020-11-21 15:43:29 +01:00
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docs/includes/pairlists.md
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@ -19,6 +19,7 @@ Inactive markets are always removed from the resulting pairlist. Explicitly blac
* [`PriceFilter`](#pricefilter) * [`PriceFilter`](#pricefilter)
* [`ShuffleFilter`](#shufflefilter) * [`ShuffleFilter`](#shufflefilter)
* [`SpreadFilter`](#spreadfilter) * [`SpreadFilter`](#spreadfilter)
* [`VolatilityFilter`](#volatilityfilter)
!!! Tip "Testing pairlists" !!! 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. 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. 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 ### 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. 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": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.01}, {"method": "PriceFilter", "low_price_ratio": 0.01},
{"method": "SpreadFilter", "max_spread_ratio": 0.005}, {"method": "SpreadFilter", "max_spread_ratio": 0.005},
{
"method": "VolatilityFilter",
"volatility_over_days": 10,
"min_volatility": 0.01,
"refresh_period": 1440
},
{"method": "ShuffleFilter", "seed": 42} {"method": "ShuffleFilter", "seed": 42}
], ],
``` ```