Merge pull request #472 from enarjord/v7.1.0

V7.1.0 optimize coin filter params

README.md

@@ -4,7 +4,7 @@
 
 :warning: **Used at one's own risk** :warning:
 
-v7.0.9
+v7.1.0
 
 
 ## Overview

configs/template.json

@@ -20,6 +20,8 @@
                   "entry_trailing_grid_ratio": -0.28,
                   "entry_trailing_retracement_pct": 0.0024735,
                   "entry_trailing_threshold_pct": -0.062799,
+                  "filter_relative_volume_clip_pct": 0.5,
+                  "filter_rolling_window": 60.0,
                   "n_positions": 10.776,
                   "total_wallet_exposure_limit": 0.97499,
                   "unstuck_close_pct": 0.049666,
@@ -43,6 +45,8 @@
                    "entry_trailing_grid_ratio": -0.3633,
                    "entry_trailing_retracement_pct": 0.06044,
                    "entry_trailing_threshold_pct": -0.084207,
+                   "filter_relative_volume_clip_pct": 0.5,
+                   "filter_rolling_window": 60.0,
                    "n_positions": 7.6679,
                    "total_wallet_exposure_limit": 0.0,
                    "unstuck_close_pct": 0.052781,
@@ -61,10 +65,8 @@
           "max_n_cancellations_per_batch": 5,
           "max_n_creations_per_batch": 3,
           "minimum_coin_age_days": 30.0,
-          "ohlcv_rolling_window": 60,
           "pnls_max_lookback_days": 30.0,
           "price_distance_threshold": 0.002,
-          "relative_volume_filter_clip_pct": 0.5,
           "time_in_force": "good_till_cancelled",
           "user": "bybit_01"},
  "optimize": {"bounds": {"long_close_grid_markup_range": [0.0, 0.03],
@@ -84,6 +86,8 @@
                          "long_entry_trailing_grid_ratio": [-1.0, 1.0],
                          "long_entry_trailing_retracement_pct": [0.0, 0.1],
                          "long_entry_trailing_threshold_pct": [-0.1, 0.1],
+                         "long_filter_relative_volume_clip_pct": [0.0, 1.0],
+                         "long_filter_rolling_window": [10.0, 1440.0],
                          "long_n_positions": [1.0, 20.0],
                          "long_total_wallet_exposure_limit": [0.0, 5.0],
                          "long_unstuck_close_pct": [0.001, 0.1],
@@ -107,6 +111,8 @@
                          "short_entry_trailing_grid_ratio": [-1.0, 1.0],
                          "short_entry_trailing_retracement_pct": [0.0, 0.1],
                          "short_entry_trailing_threshold_pct": [-0.1, 0.1],
+                         "short_filter_relative_volume_clip_pct": [0.0, 1.0],
+                         "short_filter_rolling_window": [10.0, 1440.0],
                          "short_n_positions": [1.0, 20.0],
                          "short_total_wallet_exposure_limit": [0.0, 5.0],
                          "short_unstuck_close_pct": [0.001, 0.1],

docs/configuration.md

@@ -108,7 +108,16 @@ If a position is stuck, bot will use profits made on other positions to realize
 - `unstuck_threshold`:
 	- if a position is bigger than a threshold, consider it stuck and activate unstucking.
 	- `if wallet_exposure / wallet_exposure_limit > unstuck_threshold: unstucking enabled`
-	- e.g. if a position size is $500 and max allowed position size is $1000, then position is 50% full. If unstuck_threshold==0.45, then unstuck the position until its size is $450.
+	- e.g. if a position size is $500 and max allowed position size is $1000, then position is 50% full. If unstuck_threshold==0.45, then unstuck the position until its size is $450.  
+
+### Filter Parameters
+
+Coins selected for trading are filtered by volume and noisiness. First, filter coins by volume, dropping x% of the lowest volume coins, then sort the eligible coins by noisiness and select the top noisiest coins for trading.  
+
+- `filter_relative_volume_clip_pct`: Volume filter: disapprove the lowest relative volume coins. E.g. `filter_relative_volume_clip_pct=0.1`: drop 10% lowest volume coins. Set to zero to allow all.
+- `filter_rolling_window`: number of minutes to look into the past to compute volume and noisiness, used for dynamic coin selection in forager mode.
+	- noisiness is normalized relative range of 1m ohlcvs: `mean((high - low) / close)`
+	- in forager mode, bot will select coins with highest noisiness for opening positions
 
 ## Live Trading Settings
 - `approved_coins`: list of coins approved for trading. If empty, all coins are approved.
@@ -136,12 +145,8 @@ If a position is stuck, bot will use profits made on other positions to realize
 - `max_n_cancellations_per_batch`: will cancel n open orders per execution
 - `max_n_creations_per_batch`: will create n new orders per execution
 - `minimum_coin_age_days`: disallow coins younger than a given number of days
-- `ohlcv_rolling_window`: number of minutes to look into the past to compute volume and noisiness, used for dynamic coin selection in forager mode.
-	- noisiness is normalized relative range of 1m ohlcvs: `mean((high - low) / close)`
-	- in forager mode, bot will select coins with highest noisiness for opening positions
 - `pnls_max_lookback_days`: how far into the past to fetch pnl history
 - `price_distance_threshold`: minimum distance to current price action required for EMA based limit orders
-- `relative_volume_filter_clip_pct`: Volume filter: disapprove the lowest relative volume coins. Default 0.1 == 10%. Set to zero to allow all.
 - `time_in_force`: default is good-till-cancelled
 - `user`: fetch API key/secret from api-keys.json
 

notebooks/notes_backtest.ipynb

@@ -28,13 +28,26 @@
    "cell_type": "code",
    "execution_count": null,
    "id": "97f846a3-874c-48f4-93d8-829edc0b4bce",
-   "metadata": {},
+   "metadata": {
+    "scrolled": true
+   },
    "outputs": [],
    "source": [
     "config = load_config('configs/template.json')\n",
     "{k: config[k] for k in ['backtest', 'bot', 'live']}"
    ]
   },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "60155aa0-a1d3-4763-b314-5e015643b527",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#config['backtest']['symbols'] = config['backtest']['symbols'][::10]\n",
+    "config['backtest']['start_date'] = '2024-03-01'\n"
+   ]
+  },
   {
    "cell_type": "code",
    "execution_count": null,
@@ -43,18 +56,19 @@
    "outputs": [],
    "source": [
     "symbols = config['backtest']['symbols']\n",
-    "symbols, hlcvs, mss, results_path = await prepare_hlcvs_mss(config)\n",
-    "hlcs = hlcvs[:,:,:3]"
+    "symbols, hlcvs, mss, results_path = await prepare_hlcvs_mss(config)"
    ]
   },
   {
    "cell_type": "code",
    "execution_count": null,
-   "id": "896e5b9f-e71f-4abb-b33d-085065fbd3eb",
+   "id": "2f473002-2ba5-41e3-9f06-ff56aaea2318",
    "metadata": {},
    "outputs": [],
    "source": [
-    "preferred_coins = calc_preferred_coins(hlcvs, config)"
+    "#config['bot']['long']['n_positions'] = 3\n",
+    "#config['bot']['long']['filter_rolling_window'] = 1440\n",
+    "#config['bot']['long']['filter_relative_volume_clip_pct'] = 0.5"
    ]
   },
   {
@@ -64,13 +78,13 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "fills, equities, analysis = run_backtest(hlcs, preferred_coins, mss, config)"
+    "fills, equities, analysis = run_backtest(hlcvs, mss, config)"
    ]
   },
   {
    "cell_type": "code",
    "execution_count": null,
-   "id": "b3ce4490-63ad-4e1f-8477-d188cc058fa4",
+   "id": "b0a86c90-e834-4016-abfa-8158e2d227cb",
    "metadata": {},
    "outputs": [],
    "source": [
@@ -79,7 +93,7 @@
     "print(f'elapsed {utc_ms() - sts}')\n",
     "sts = utc_ms()\n",
     "equities = pd.Series(equities)\n",
-    "analysis_py, balance_and_equity = analyze_fills_forager(config['backtest']['symbols'], hlcs, fdf, equities)\n",
+    "analysis_py, balance_and_equity = analyze_fills_forager(config['backtest']['symbols'], hlcvs, fdf, equities)\n",
     "for k in analysis_py:\n",
     "    if k not in analysis:\n",
     "        analysis[k] = analysis_py[k]\n",
@@ -88,6 +102,14 @@
     "balance_and_equity.plot()"
    ]
   },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "e4be85e1-6a27-4864-8e5f-cd78d23abf52",
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  },
   {
    "cell_type": "code",
    "execution_count": null,

passivbot-rust/Cargo.toml

@@ -11,3 +11,4 @@ crate-type = ["cdylib"]
 pyo3 = { version = "0.21.2", features = ["extension-module"] }
 ndarray = "0.15.6"
 numpy = "0.21.0"
+memmap = "0.7.0"