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Merge branch 'freqtrade:develop' into dca

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Reigo Reinmets 2021-12-13 02:10:13 +02:00 committed by GitHub
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4
docs/includes/pairlists.md
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@ -196,7 +196,7 @@ 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). 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. 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. The optional `min_profit` (as ratio -> a setting of `0.01` corresponds to 1%) parameter defines the minimum profit a pair must have to be considered.
Pairs below this level will be filtered out. 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 a way to recover. Using this parameter without `minutes` is highly discouraged, as it can lead to an empty pairlist without a way to recover.
@ -206,7 +206,7 @@ Using this parameter without `minutes` is highly discouraged, as it can lead to
{ {
"method": "PerformanceFilter", "method": "PerformanceFilter",
"minutes": 1440, // rolling 24h "minutes": 1440, // rolling 24h
"min_profit": 0.01 "min_profit": 0.01 // minimal profit 1%
} }
], ],
``` ```

8
freqtrade/plugins/pairlist/PerformanceFilter.py
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@ -68,14 +68,14 @@ class PerformanceFilter(IPairList):
# - then pair name alphametically # - then pair name alphametically
sorted_df = list_df.merge(performance, on='pair', how='left')\ sorted_df = list_df.merge(performance, on='pair', how='left')\
.fillna(0).sort_values(by=['count', 'pair'], ascending=True)\ .fillna(0).sort_values(by=['count', 'pair'], ascending=True)\
.sort_values(by=['profit'], ascending=False) .sort_values(by=['profit_ratio'], ascending=False)
if self._min_profit is not None: if self._min_profit is not None:
removed = sorted_df[sorted_df['profit'] < self._min_profit] removed = sorted_df[sorted_df['profit_ratio'] < self._min_profit]
for _, row in removed.iterrows(): for _, row in removed.iterrows():
self.log_once( self.log_once(
f"Removing pair {row['pair']} since {row['profit']} is " f"Removing pair {row['pair']} since {row['profit_ratio']} is "
f"below {self._min_profit}", logger.info) f"below {self._min_profit}", logger.info)
sorted_df = sorted_df[sorted_df['profit'] >= self._min_profit] sorted_df = sorted_df[sorted_df['profit_ratio'] >= self._min_profit]
pairlist = sorted_df['pair'].tolist() pairlist = sorted_df['pair'].tolist()

23
tests/plugins/test_pairlist.py
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@ -1106,33 +1106,34 @@ def test_pairlistmanager_no_pairlist(mocker, whitelist_conf):
# Happy path: Descending order, all values filled # Happy path: Descending order, all values filled
([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}], ([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
['ETH/BTC', 'TKN/BTC'], ['ETH/BTC', 'TKN/BTC'],
[{'pair': 'TKN/BTC', 'profit': 5, 'count': 3}, {'pair': 'ETH/BTC', 'profit': 4, 'count': 2}], [{'pair': 'TKN/BTC', 'profit_ratio': 0.05, 'count': 3},
{'pair': 'ETH/BTC', 'profit_ratio': 0.04, 'count': 2}],
['TKN/BTC', 'ETH/BTC']), ['TKN/BTC', 'ETH/BTC']),
# Performance data outside allow list ignored # Performance data outside allow list ignored
([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}], ([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
['ETH/BTC', 'TKN/BTC'], ['ETH/BTC', 'TKN/BTC'],
[{'pair': 'OTHER/BTC', 'profit': 5, 'count': 3}, [{'pair': 'OTHER/BTC', 'profit_ratio': 0.05, 'count': 3},
{'pair': 'ETH/BTC', 'profit': 4, 'count': 2}], {'pair': 'ETH/BTC', 'profit_ratio': 0.04, 'count': 2}],
['ETH/BTC', 'TKN/BTC']), ['ETH/BTC', 'TKN/BTC']),
# Partial performance data missing and sorted between positive and negative profit # Partial performance data missing and sorted between positive and negative profit
([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}], ([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
['ETH/BTC', 'TKN/BTC', 'LTC/BTC'], ['ETH/BTC', 'TKN/BTC', 'LTC/BTC'],
[{'pair': 'ETH/BTC', 'profit': -5, 'count': 100}, [{'pair': 'ETH/BTC', 'profit_ratio': -0.05, 'count': 100},
{'pair': 'TKN/BTC', 'profit': 4, 'count': 2}], {'pair': 'TKN/BTC', 'profit_ratio': 0.04, 'count': 2}],
['TKN/BTC', 'LTC/BTC', 'ETH/BTC']), ['TKN/BTC', 'LTC/BTC', 'ETH/BTC']),
# Tie in performance data broken by count (ascending) # Tie in performance data broken by count (ascending)
([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}], ([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
['ETH/BTC', 'TKN/BTC', 'LTC/BTC'], ['ETH/BTC', 'TKN/BTC', 'LTC/BTC'],
[{'pair': 'LTC/BTC', 'profit': -5.01, 'count': 101}, [{'pair': 'LTC/BTC', 'profit_ratio': -0.0501, 'count': 101},
{'pair': 'TKN/BTC', 'profit': -5.01, 'count': 2}, {'pair': 'TKN/BTC', 'profit_ratio': -0.0501, 'count': 2},
{'pair': 'ETH/BTC', 'profit': -5.01, 'count': 100}], {'pair': 'ETH/BTC', 'profit_ratio': -0.0501, 'count': 100}],
['TKN/BTC', 'ETH/BTC', 'LTC/BTC']), ['TKN/BTC', 'ETH/BTC', 'LTC/BTC']),
# Tie in performance and count, broken by alphabetical sort # Tie in performance and count, broken by alphabetical sort
([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}], ([{"method": "StaticPairList"}, {"method": "PerformanceFilter"}],
['ETH/BTC', 'TKN/BTC', 'LTC/BTC'], ['ETH/BTC', 'TKN/BTC', 'LTC/BTC'],
[{'pair': 'LTC/BTC', 'profit': -5.01, 'count': 1}, [{'pair': 'LTC/BTC', 'profit_ratio': -0.0501, 'count': 1},
{'pair': 'TKN/BTC', 'profit': -5.01, 'count': 1}, {'pair': 'TKN/BTC', 'profit_ratio': -0.0501, 'count': 1},
{'pair': 'ETH/BTC', 'profit': -5.01, 'count': 1}], {'pair': 'ETH/BTC', 'profit_ratio': -0.0501, 'count': 1}],
['ETH/BTC', 'LTC/BTC', 'TKN/BTC']), ['ETH/BTC', 'LTC/BTC', 'TKN/BTC']),
]) ])
def test_performance_filter(mocker, whitelist_conf, pairlists, pair_allowlist, overall_performance, def test_performance_filter(mocker, whitelist_conf, pairlists, pair_allowlist, overall_performance,