bbgo/config/pivotshort.yaml

---
sessions:
  binance:
    exchange: binance
    envVarPrefix: binance

    # uncomment this to enable cross margin
    margin: true

    # uncomment this to enable isolated margin
    # isolatedMargin: true
    # isolatedMarginSymbol: ETHUSDT

exchangeStrategies:
- on: binance
  pivotshort:
    symbol: ETHUSDT

    # interval is the main pivot interval
    interval: 5m

    # window is the main pivot window
    window: 200

    quantity: 10.0

    # when quantity is not given, leverage will be used.
    # leverage: 10.0

    # breakLow settings are used for shorting when the current price break the previous low
    breakLow:
      # ratio is how much the price breaks the previous low to trigger the short.
      ratio: 0%

      # quantity is used for submitting the sell order
      # if quantity is not set, all base balance will be used for selling the short.
      quantity: 10.0

      # marketOrder submits the market sell order when the closed price is lower than the previous pivot low.
      # by default we will use market order
      marketOrder: true

      # limitOrder place limit order to open the short position instead of using market order
      # this is useful when your quantity or leverage is quiet large.
      limitOrder: false

      # limitOrderTakerRatio is the price ratio to adjust your limit order as a taker order. e.g., 0.1%
      # for sell order, 0.1% ratio means your final price = price * (1 - 0.1%)
      # for buy order, 0.1% ratio means your final price = price * (1 + 0.1%)
      # this is only enabled when the limitOrder option set to true
      limitOrderTakerRatio: 0

      # bounceRatio is used for calculating the price of the limit sell order.
      # it's ratio of pivot low bounce when a new pivot low is detected.
      # Sometimes when the price breaks the previous low, the price might be pulled back to a higher price.
      # The bounceRatio is useful for such case, however, you might also miss the chance to short at the price if there is no pull back.
      # Notice: When marketOrder is set, bounceRatio will not be used.
      # bounceRatio: 0.1%

      # stopEMA is the price range we allow short.
      # Short-allowed price range = [current price] > [EMA] * (1 - [stopEMARange])
      # Higher the stopEMARange than higher the chance to open a short
      stopEMA:
        interval: 1h
        window: 99
        range: 2%

      trendEMA:
        interval: 1d
        window: 7

    resistanceShort:
      enabled: true
      interval: 5m
      window: 80

      quantity: 10.0

      # minDistance is used to ignore the place that is too near to the current price
      minDistance: 5%
      groupDistance: 1%

      # ratio is the ratio of the resistance price,
      # higher the ratio, higher the sell price
      # first_layer_price = resistance_price * (1 + ratio)
      # second_layer_price = (resistance_price * (1 + ratio)) * (2 * layerSpread)
      ratio: 1.5%
      numOfLayers: 3
      layerSpread: 0.4%

    exits:
    # (0) roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
    - roiStopLoss:
        percentage: 0.8%

    # (1) roiTakeProfit is used to force taking profit by percentage of the position ROI (currently the price change)
    # force to take the profit ROI exceeded the percentage.
    - roiTakeProfit:
        percentage: 35%

    # (2) protective stop loss -- short term
    - protectiveStopLoss:
        activationRatio: 0.6%
        stopLossRatio: 0.1%
        placeStopOrder: false

    # (3) protective stop loss -- long term
    - protectiveStopLoss:
        activationRatio: 5%
        stopLossRatio: 1%
        placeStopOrder: false

    # (4) lowerShadowTakeProfit is used to taking profit when the (lower shadow height / low price) > lowerShadowRatio
    # you can grab a simple stats by the following SQL:
    # SELECT ((close - low) / close) AS shadow_ratio FROM binance_klines WHERE symbol = 'ETHUSDT' AND `interval` = '5m' AND start_time > '2022-01-01' ORDER BY shadow_ratio DESC LIMIT 20;
    - lowerShadowTakeProfit:
        interval: 30m
        window: 99
        ratio: 3%

    # (5) cumulatedVolumeTakeProfit is used to take profit when the cumulated quote volume from the klines exceeded a threshold
    - cumulatedVolumeTakeProfit:
        interval: 5m
        window: 2
        minQuoteVolume: 200_000_000

    - trailingStop:
        callbackRate: 3%

        # activationRatio is relative to the average cost,
        # when side is buy, 1% means lower 1% than the average cost.
        # when side is sell, 1% means higher 1% than the average cost.
        activationRatio: 40%

        # minProfit uses the position ROI to calculate the profit ratio
        # minProfit: 1%

        interval: 1m
        side: buy
        closePosition: 100%

backtest:
  sessions:
  - binance
  startTime: "2022-01-01"
  endTime: "2022-06-18"
  symbols:
  - ETHUSDT
  accounts:
    binance:
      balances:
        ETH: 10.0
        USDT: 5000.0