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Properly cache volatility-average

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Matthias
2024-02-24 13:54:52 +01:00
parent 7af46628f8
commit 3677953d90
2 changed files with 21 additions and 22 deletions
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1
docs/includes/pairlists.md
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@@ -478,7 +478,6 @@ If the volatility over the last 10 days is not in the range of 0.05-0.50, remove
```
Adding `"sort_direction": "asc"` or `"sort_direction": "desc"` enables sorting mode for this pairlist.
When sorting, caching will be applied at the candle level - ignoring `refresh_period` (the candle's won't change anyway).
### Full example of Pairlist Handlers

42
freqtrade/plugins/pairlist/VolatilityFilter.py
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@@ -119,16 +119,14 @@ class VolatilityFilter(IPairList):
resulting_pairlist: List[str] = []
volatilitys: Dict[str, float] = {}
for p in pairlist:
daily_candles = candles[(p, '1d', self._def_candletype)] if (
p, '1d', self._def_candletype) in candles else None
daily_candles = candles.get((p, '1d', self._def_candletype), None)
if daily_candles is not None and not daily_candles.empty:
volatility_avg = self._calculate_volatility(deepcopy(daily_candles))
volatility_avg = self._calculate_volatility(p, daily_candles)
if self._validate_pair_loc(p, volatility_avg):
resulting_pairlist.append(p)
if self._sort_direction:
volatilitys[p] = volatility_avg if not np.isnan(volatility_avg) else 0
if volatility_avg is not None and self._validate_pair_loc(p, volatility_avg):
resulting_pairlist.append(p)
if self._sort_direction:
volatilitys[p] = volatility_avg if not np.isnan(volatility_avg) else 0
if self._sort_direction:
resulting_pairlist = sorted(resulting_pairlist,
@@ -136,13 +134,22 @@ class VolatilityFilter(IPairList):
reverse=self._sort_direction == 'desc')
return resulting_pairlist
def _calculate_volatility(self, daily_candles: DataFrame) -> float:
returns = (np.log(daily_candles["close"].shift(1) / daily_candles["close"]))
returns.fillna(0, inplace=True)
def _calculate_volatility(self, pair: str, daily_candles: DataFrame) -> float:
# Check symbol in cache
if (volatility_avg := self._pair_cache.get(pair, None)) is not None:
return volatility_avg
volatility_series = returns.rolling(window=self._days).std() * np.sqrt(self._days)
volatility_avg = volatility_series.mean()
return volatility_avg
if daily_candles is not None and not daily_candles.empty:
returns = (np.log(daily_candles["close"].shift(1) / daily_candles["close"]))
returns.fillna(0, inplace=True)
volatility_series = returns.rolling(window=self._days).std() * np.sqrt(self._days)
volatility_avg = volatility_series.mean()
self._pair_cache[pair] = volatility_avg
return volatility_avg
else:
return None
def _validate_pair_loc(self, pair: str, volatility_avg: float) -> bool:
"""
@@ -151,11 +158,6 @@ class VolatilityFilter(IPairList):
:param volatility_avg: Average volatility
:return: True if the pair can stay, false if it should be removed
"""
# Check symbol in cache
if (cached_res := self._pair_cache.get(pair, None)) is not None:
return cached_res
result = False
if self._min_volatility <= volatility_avg <= self._max_volatility:
result = True
@@ -167,6 +169,4 @@ class VolatilityFilter(IPairList):
f"{self._min_volatility}-{self._max_volatility}.",
logger.info)
result = False
self._pair_cache[pair] = result
return result