Revert "resolves freqtrade/freqtrade#4650"
This reverts commit 142690c930.
This commit is contained in:
gbojen
parent
142690c930
commit
6f02acdbbd
99
config_binance.json.example
Normal file
99
config_binance.json.example
Normal file
@ -0,0 +1,99 @@
|
||||
{
|
||||
"max_open_trades": 3,
|
||||
"stake_currency": "BTC",
|
||||
"stake_amount": 0.05,
|
||||
"tradable_balance_ratio": 0.99,
|
||||
"fiat_display_currency": "USD",
|
||||
"timeframe": "5m",
|
||||
"dry_run": true,
|
||||
"cancel_open_orders_on_exit": false,
|
||||
"unfilledtimeout": {
|
||||
"buy": 10,
|
||||
"sell": 30
|
||||
},
|
||||
"bid_strategy": {
|
||||
"ask_last_balance": 0.0,
|
||||
"use_order_book": false,
|
||||
"order_book_top": 1,
|
||||
"check_depth_of_market": {
|
||||
"enabled": false,
|
||||
"bids_to_ask_delta": 1
|
||||
}
|
||||
},
|
||||
"ask_strategy": {
|
||||
"use_order_book": false,
|
||||
"order_book_min": 1,
|
||||
"order_book_max": 1,
|
||||
"use_sell_signal": true,
|
||||
"sell_profit_only": false,
|
||||
"ignore_roi_if_buy_signal": false
|
||||
},
|
||||
"exchange": {
|
||||
"name": "binance",
|
||||
"key": "your_exchange_key",
|
||||
"secret": "your_exchange_secret",
|
||||
"ccxt_config": {"enableRateLimit": true},
|
||||
"ccxt_async_config": {
|
||||
"enableRateLimit": true,
|
||||
"rateLimit": 200
|
||||
},
|
||||
"pair_whitelist": [
|
||||
"ALGO/BTC",
|
||||
"ATOM/BTC",
|
||||
"BAT/BTC",
|
||||
"BCH/BTC",
|
||||
"BRD/BTC",
|
||||
"EOS/BTC",
|
||||
"ETH/BTC",
|
||||
"IOTA/BTC",
|
||||
"LINK/BTC",
|
||||
"LTC/BTC",
|
||||
"NEO/BTC",
|
||||
"NXS/BTC",
|
||||
"XMR/BTC",
|
||||
"XRP/BTC",
|
||||
"XTZ/BTC"
|
||||
],
|
||||
"pair_blacklist": [
|
||||
"BNB/BTC"
|
||||
]
|
||||
},
|
||||
"pairlists": [
|
||||
{"method": "StaticPairList"}
|
||||
],
|
||||
"edge": {
|
||||
"enabled": false,
|
||||
"process_throttle_secs": 3600,
|
||||
"calculate_since_number_of_days": 7,
|
||||
"allowed_risk": 0.01,
|
||||
"stoploss_range_min": -0.01,
|
||||
"stoploss_range_max": -0.1,
|
||||
"stoploss_range_step": -0.01,
|
||||
"minimum_winrate": 0.60,
|
||||
"minimum_expectancy": 0.20,
|
||||
"min_trade_number": 10,
|
||||
"max_trade_duration_minute": 1440,
|
||||
"remove_pumps": false
|
||||
},
|
||||
"telegram": {
|
||||
"enabled": false,
|
||||
"token": "your_telegram_token",
|
||||
"chat_id": "your_telegram_chat_id"
|
||||
},
|
||||
"api_server": {
|
||||
"enabled": false,
|
||||
"listen_ip_address": "127.0.0.1",
|
||||
"listen_port": 8080,
|
||||
"verbosity": "error",
|
||||
"jwt_secret_key": "somethingrandom",
|
||||
"CORS_origins": [],
|
||||
"username": "freqtrader",
|
||||
"password": "SuperSecurePassword"
|
||||
},
|
||||
"bot_name": "freqtrade",
|
||||
"initial_state": "running",
|
||||
"forcebuy_enable": false,
|
||||
"internals": {
|
||||
"process_throttle_secs": 5
|
||||
}
|
||||
}
|
||||
@ -25,4 +25,4 @@ services:
|
||||
--logfile /freqtrade/user_data/logs/freqtrade.log
|
||||
--db-url sqlite:////freqtrade/user_data/tradesv3.sqlite
|
||||
--config /freqtrade/user_data/config.json
|
||||
--strategy BinHV45.py
|
||||
--strategy SampleStrategy
|
||||
|
||||
@ -26,7 +26,7 @@ HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
|
||||
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
|
||||
'AgeFilter', 'PerformanceFilter', 'PrecisionFilter',
|
||||
'PriceFilter', 'RangeStabilityFilter', 'ShuffleFilter',
|
||||
'SpreadFilter', 'VolatilityFilter']
|
||||
'SpreadFilter']
|
||||
AVAILABLE_PROTECTIONS = ['CooldownPeriod', 'LowProfitPairs', 'MaxDrawdown', 'StoplossGuard']
|
||||
AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5']
|
||||
DRY_RUN_WALLET = 1000
|
||||
@ -416,4 +416,4 @@ PairWithTimeframe = Tuple[str, str]
|
||||
ListPairsWithTimeframes = List[PairWithTimeframe]
|
||||
|
||||
# Type for trades list
|
||||
TradeList = List[List]
|
||||
TradeList = List[List]
|
||||
|
||||
@ -1,120 +0,0 @@
|
||||
"""
|
||||
Rate of change pairlist filter
|
||||
"""
|
||||
import logging
|
||||
from copy import deepcopy
|
||||
from typing import Any, Dict, List, Optional
|
||||
|
||||
import sys
|
||||
import arrow
|
||||
from cachetools.ttl import TTLCache
|
||||
from pandas import DataFrame
|
||||
import numpy as np
|
||||
|
||||
from freqtrade.exceptions import OperationalException
|
||||
from freqtrade.misc import plural
|
||||
from freqtrade.plugins.pairlist.IPairList import IPairList
|
||||
|
||||
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
class VolatilityFilter(IPairList):
|
||||
'''
|
||||
Filters pairs by volatility
|
||||
'''
|
||||
|
||||
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._min_volatility = pairlistconfig.get('min_volatility', 0)
|
||||
self._max_volatility = pairlistconfig.get('max_volatility', sys.maxsize)
|
||||
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("VolatilityFilter requires lookback_days to be >= 1")
|
||||
if self._days > exchange.ohlcv_candle_limit('1d'):
|
||||
raise OperationalException("VolatilityFilter 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 volatility range "
|
||||
f"{self._min_volatility}-{self._max_volatility} the last {self._days} {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, '1h') 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, '1h')] if (p, '1h') 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
|
||||
if pair in self._pair_cache:
|
||||
return self._pair_cache[pair]
|
||||
|
||||
result = False
|
||||
if daily_candles is not None and not daily_candles.empty:
|
||||
returns = (np.log(daily_candles.close / daily_candles.close.shift(-1)))
|
||||
returns.fillna(0, inplace=True)
|
||||
|
||||
volatility_series = returns.rolling(window=self._days*24).std()*np.sqrt(self._days*24)
|
||||
volatility_avg = volatility_series.mean()
|
||||
|
||||
if self._min_volatility <= volatility_avg <= self._max_volatility:
|
||||
result = True
|
||||
else:
|
||||
self.log_once(f"Removed {pair} from whitelist, because volatility "
|
||||
f"over {self._days} {plural(self._days, 'day')} "
|
||||
f"is: {volatility_avg:.3f} "
|
||||
f"which is not in the configured range of "
|
||||
f"{self._min_volatility}-{self._max_volatility}.",
|
||||
logger.info)
|
||||
result = False
|
||||
self._pair_cache[pair] = result
|
||||
|
||||
return result
|
||||
Loading…
Reference in New Issue
Block a user