Renamd volatilityFilter to RangeStabilityFilter

config_full.json.example

@@ -69,8 +69,8 @@
         {"method": "PriceFilter", "low_price_ratio": 0.01, "min_price": 0.00000010},
         {"method": "SpreadFilter", "max_spread_ratio": 0.005},
         {
-            "method": "VolatilityFilter",
+            "method": "RangeStabilityFilter",
-            "volatility_over_days": 10,
+            "lookback_days": 10,
             "min_volatility": 0.01,
             "refresh_period": 1440
         }

docs/includes/pairlists.md

@@ -19,7 +19,7 @@ Inactive markets are always removed from the resulting pairlist. Explicitly blac
 * [`PriceFilter`](#pricefilter)
 * [`ShuffleFilter`](#shufflefilter)
 * [`SpreadFilter`](#spreadfilter)
-* [`VolatilityFilter`](#volatilityfilter)
+* [`RangeStabilityFilter`](#rangestabilityfilter)
 
 !!! 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.
@@ -119,26 +119,26 @@ 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
+#### RangeStabilityFilter
 
-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`.
+Removes pairs where the difference between lowest low and highest high over `lookback_days` days is below `min_rate_of_change`. 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.
+If the trading range over the last 10 days is <1%, remove the pair from the whitelist.
 
 ```json
 "pairlists": [
     {
-        "method": "VolatilityFilter",
+        "method": "RangeStabilityFilter",
-        "volatility_over_days": 10,
+        "lookback_days": 10,
-        "min_volatility": 0.01,
+        "min_rate_of_change": 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 difficult to trade with profit.
+    This Filter can be used to automatically remove stable coin pairs, which have a very low trading range, and are therefore extremely difficult to trade with profit.
 
 ### Full example of Pairlist Handlers
 
@@ -160,9 +160,9 @@ The below example blacklists `BNB/BTC`, uses `VolumePairList` with `20` assets,
     {"method": "PriceFilter", "low_price_ratio": 0.01},
     {"method": "SpreadFilter", "max_spread_ratio": 0.005},
     {
-        "method": "VolatilityFilter",
+        "method": "RangeStabilityFilter",
-        "volatility_over_days": 10,
+        "lookback_days": 10,
-        "min_volatility": 0.01,
+        "min_rate_of_change": 0.01,
         "refresh_period": 1440
     },
     {"method": "ShuffleFilter", "seed": 42}

freqtrade/constants.py

@@ -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'

freqtrade/pairlist/rangestabilityfilter.py

@@ -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._days = pairlistconfig.get('lookback_days', 10)
-        self._min_volatility = pairlistconfig.get('min_volatility', 0.01)
+        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} "
+        return (f"{self.name} - Filtering pairs with rate of change below "
-                f"over the last {plural(self._days, 'day')}.")
+                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
 

tests/pairlist/test_pairlist.py

@@ -341,8 +341,8 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
       {"method": "PriceFilter", "low_price_ratio": 0.02}],
         "USDT", ['ETH/USDT', 'NANO/USDT']),
     ([{"method": "StaticPairList"},
-      {"method": "VolatilityFilter", "volatility_over_days": 10,
+      {"method": "RangeStabilityFilter", "lookback_days": 10,
-       "min_volatility": 0.01, "refresh_period": 1440}],
+       "min_rate_of_change": 0.01, "refresh_period": 1440}],
      "BTC", ['ETH/BTC', 'TKN/BTC', 'HOT/BTC']),
 ])
 def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, tickers,
@@ -586,9 +586,9 @@ def test_agefilter_caching(mocker, markets, whitelist_conf_agefilter, tickers, o
     assert freqtrade.exchange.get_historic_ohlcv.call_count == previous_call_count
 
 
-def test_volatilityfilter_checks(mocker, default_conf, markets, tickers):
+def test_rangestabilityfilter_checks(mocker, default_conf, markets, tickers):
     default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
-                                 {'method': 'VolatilityFilter', 'volatility_over_days': 99999}]
+                                 {'method': 'RangeStabilityFilter', 'lookback_days': 99999}]
 
     mocker.patch.multiple('freqtrade.exchange.Exchange',
                           markets=PropertyMock(return_value=markets),
@@ -597,27 +597,27 @@ def test_volatilityfilter_checks(mocker, default_conf, markets, tickers):
                           )
 
     with pytest.raises(OperationalException,
-                       match=r'VolatilityFilter requires volatility_over_days to not exceed '
+                       match=r'RangeStabilityFilter requires lookback_days to not exceed '
                              r'exchange max request size \([0-9]+\)'):
         get_patched_freqtradebot(mocker, default_conf)
 
     default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
-                                 {'method': 'VolatilityFilter', 'volatility_over_days': 0}]
+                                 {'method': 'RangeStabilityFilter', 'lookback_days': 0}]
 
     with pytest.raises(OperationalException,
-                       match='VolatilityFilter requires volatility_over_days to be >= 1'):
+                       match='RangeStabilityFilter requires lookback_days to be >= 1'):
         get_patched_freqtradebot(mocker, default_conf)
 
 
-@pytest.mark.parametrize('min_volatility,expected_length', [
+@pytest.mark.parametrize('min_rate_of_change,expected_length', [
     (0.01, 5),
-    (0.05, 0),  # Setting volatility to 5% removes all pairs from the whitelist.
+    (0.05, 0),  # Setting rate_of_change to 5% removes all pairs from the whitelist.
 ])
-def test_volatilityfilter_caching(mocker, markets, default_conf, tickers, ohlcv_history_list,
+def test_rangestabilityfilter_caching(mocker, markets, default_conf, tickers, ohlcv_history_list,
-                                  min_volatility, expected_length):
+                                      min_rate_of_change, expected_length):
     default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10},
-                                 {'method': 'VolatilityFilter', 'volatility_over_days': 2,
+                                 {'method': 'RangeStabilityFilter', 'lookback_days': 2,
-                                  'min_volatility': min_volatility}]
+                                  'min_rate_of_change': min_rate_of_change}]
 
     mocker.patch.multiple('freqtrade.exchange.Exchange',
                           markets=PropertyMock(return_value=markets),
@@ -677,9 +677,9 @@ def test_volatilityfilter_caching(mocker, markets, default_conf, tickers, ohlcv_
      None,
      "PriceFilter requires max_price to be >= 0"
      ),  # OperationalException expected
-    ({"method": "VolatilityFilter", "volatility_over_days": 10, "min_volatility": 0.01},
+    ({"method": "RangeStabilityFilter", "lookback_days": 10, "min_rate_of_change": 0.01},
-     "[{'VolatilityFilter': 'VolatilityFilter - Filtering pairs with volatility below 0.01 "
+     "[{'RangeStabilityFilter': 'RangeStabilityFilter - Filtering pairs with rate of change below "
-     "over the last days.'}]",
+     "0.01 over the last days.'}]",
         None
      ),
 ])