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Add documentation and log to PerformanceFilter

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This commit is contained in:
Matthias 2021-10-14 19:33:32 +02:00
parent 07750518c3
commit c02a538187
3 changed files with 17 additions and 5 deletions
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9
docs/includes/pairlists.md
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@ -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

6
freqtrade/plugins/pairlist/PerformanceFilter.py
View File

@ -70,7 +70,13 @@ class PerformanceFilter(IPairList):
.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

7
tests/plugins/test_pairlist.py
View File

@ -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")