Merge pull request #5670 from sergeykhliustin/develop

Added min_profit param to PerformanceFilter

docs/includes/pairlists.md

@@ -194,17 +194,22 @@ Trade count is used as a tie breaker.
 You can use the `minutes` parameter to only consider performance of the past X minutes (rolling window).
 Not defining this parameter (or setting it to 0) will use all-time performance.
 
+The optional `min_profit` parameter defines the minimum profit a pair must have to be considered.
+Pairs below this level will be filtered out.
+Using this parameter without `minutes` is highly discouraged, as it can lead to an empty pairlist without without a way to recover.
+
 ```json
 "pairlists": [
     // ...
     {
         "method": "PerformanceFilter",
-        "minutes": 1440  // rolling 24h
+        "minutes": 1440,  // rolling 24h
+        "min_profit": 0.01
     }
 ],
 ```
 
-!!! Note
+!!! Warning "Backtesting"
     `PerformanceFilter` does not support backtesting mode.
 
 #### PrecisionFilter

freqtrade/plugins/pairlist/PerformanceFilter.py

@@ -21,6 +21,7 @@ class PerformanceFilter(IPairList):
         super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
 
         self._minutes = pairlistconfig.get('minutes', 0)
+        self._min_profit = pairlistconfig.get('min_profit', None)
 
     @property
     def needstickers(self) -> bool:
@@ -68,6 +69,14 @@ class PerformanceFilter(IPairList):
         sorted_df = list_df.merge(performance, on='pair', how='left')\
             .fillna(0).sort_values(by=['count', 'pair'], ascending=True)\
             .sort_values(by=['profit'], ascending=False)
+        if self._min_profit is not None:
+            removed = sorted_df[sorted_df['profit'] < self._min_profit]
+            for _, row in removed.iterrows():
+                self.log_once(
+                    f"Removing pair {row['pair']} since {row['profit']} is "
+                    f"below {self._min_profit}", logger.info)
+            sorted_df = sorted_df[sorted_df['profit'] >= self._min_profit]
+
         pairlist = sorted_df['pair'].tolist()
 
         return pairlist

tests/plugins/test_pairlist.py

@@ -665,11 +665,11 @@ def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None:
 
 
 @pytest.mark.usefixtures("init_persistence")
-def test_PerformanceFilter_lookback(mocker, whitelist_conf, fee) -> None:
+def test_PerformanceFilter_lookback(mocker, whitelist_conf, fee, caplog) -> None:
     whitelist_conf['exchange']['pair_whitelist'].append('XRP/BTC')
     whitelist_conf['pairlists'] = [
         {"method": "StaticPairList"},
-        {"method": "PerformanceFilter", "minutes": 60}
+        {"method": "PerformanceFilter", "minutes": 60, "min_profit": 0.01}
     ]
     mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
     exchange = get_patched_exchange(mocker, whitelist_conf)
@@ -681,7 +681,8 @@ def test_PerformanceFilter_lookback(mocker, whitelist_conf, fee) -> None:
     with time_machine.travel("2021-09-01 05:00:00 +00:00") as t:
         create_mock_trades(fee)
         pm.refresh_pairlist()
-        assert pm.whitelist == ['XRP/BTC', 'ETH/BTC', 'TKN/BTC']
+        assert pm.whitelist == ['XRP/BTC']
+        assert log_has_re(r'Removing pair .* since .* is below .*', caplog)
 
         # Move to "outside" of lookback window, so original sorting is restored.
         t.move_to("2021-09-01 07:00:00 +00:00")