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Renamd volatilityFilter to RangeStabilityFilter

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This commit is contained in:
Matthias
2020-11-22 19:47:27 +01:00
parent 29c6a9263d
commit 8f1d2ff070
5 changed files with 41 additions and 41 deletions
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2
freqtrade/constants.py
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@@ -25,7 +25,7 @@ HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily']
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
'AgeFilter', 'PrecisionFilter', 'PriceFilter',
'ShuffleFilter', 'SpreadFilter', 'VolatilityFilter']
'RangeStabilityFilter', 'ShuffleFilter', 'SpreadFilter']
AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5']
DRY_RUN_WALLET = 1000
DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S'

22
freqtrade/pairlist/volatilityfilter.py → freqtrade/pairlist/rangestabilityfilter.py
View File

@@ -15,23 +15,23 @@ from freqtrade.pairlist.IPairList import IPairList
logger = logging.getLogger(__name__)
class VolatilityFilter(IPairList):
class RangeStabilityFilter(IPairList):
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('volatility_over_days', 10)
self._min_volatility = pairlistconfig.get('min_volatility', 0.01)
self._days = pairlistconfig.get('lookback_days', 10)
self._min_rate_of_change = pairlistconfig.get('min_rate_of_change', 0.01)
self._refresh_period = pairlistconfig.get('refresh_period', 1440)
self._pair_cache: TTLCache = TTLCache(maxsize=100, ttl=self._refresh_period)
if self._days < 1:
raise OperationalException("VolatilityFilter requires volatility_over_days to be >= 1")
raise OperationalException("RangeStabilityFilter requires lookback_days to be >= 1")
if self._days > exchange.ohlcv_candle_limit:
raise OperationalException("VolatilityFilter requires volatility_over_days to not "
raise OperationalException("RangeStabilityFilter requires lookback_days to not "
"exceed exchange max request size "
f"({exchange.ohlcv_candle_limit})")
@@ -48,12 +48,12 @@ class VolatilityFilter(IPairList):
"""
Short whitelist method description - used for startup-messages
"""
return (f"{self.name} - Filtering pairs with volatility below {self._min_volatility} "
f"over the last {plural(self._days, 'day')}.")
return (f"{self.name} - Filtering pairs with rate of change below "
f"{self._min_rate_of_change} over the last {plural(self._days, 'day')}.")
def _validate_pair(self, ticker: Dict) -> bool:
"""
Validate volatility
Validate trading range
:param ticker: ticker dict as returned from ccxt.load_markets()
:return: True if the pair can stay, False if it should be removed
"""
@@ -75,14 +75,14 @@ class VolatilityFilter(IPairList):
highest_high = daily_candles['high'].max()
lowest_low = daily_candles['low'].min()
pct_change = ((highest_high - lowest_low) / lowest_low) if lowest_low > 0 else 0
if pct_change >= self._min_volatility:
if pct_change >= self._min_rate_of_change:
result = True
else:
self.log_on_refresh(logger.info,
f"Removed {pair} from whitelist, "
f"because volatility over {plural(self._days, 'day')} is "
f"because rate of change over {plural(self._days, 'day')} is "
f"{pct_change:.3f}, which is below the "
f"threshold of {self._min_volatility}.")
f"threshold of {self._min_rate_of_change}.")
result = False
self._pair_cache[pair] = result