bbgo/config/linregmaker.yaml

---
persistence:
  redis:
    host: 127.0.0.1
    port: 6379
    db: 0

sessions:
  binance:
    exchange: binance
    envVarPrefix: binance
    margin: true
    isolatedMargin: true
    isolatedMarginSymbol: BTCUSDT

backtest:
  sessions: [binance]
  # for testing max draw down (MDD) at 03-12
  # see here for more details
  # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
  startTime: "2022-05-01"
  endTime: "2022-10-31"
  symbols:
  - BTCUSDT
  accounts:
    binance:
      makerCommission: 10  # 0.15%
      takerCommission: 15  # 0.15%
      balances:
        BTC: 2.0
        USDT: 10000.0

exchangeStrategies:
- on: binance
  linregmaker:
    symbol: BTCUSDT

    # interval is how long do you want to update your order price and quantity
    interval: 1m

    # leverage uses the account net value to calculate the allowed margin
    leverage: 1

    # reverseEMA is used to determine the long-term trend.
    # Above the ReverseEMA is the long trend and vise versa.
    # All the opposite trend position will be closed upon the trend change
    reverseEMA:
      interval: 1d
      window: 60

    # reverseInterval is the interval to check trend reverse against ReverseEMA. Close price of this interval crossing
    # the ReverseEMA triggers main trend change.
    reverseInterval: 4h

    # fastLinReg is to determine the short-term trend.
    # Buy/sell orders are placed if the FastLinReg and the ReverseEMA trend are in the same direction, and only orders
    # that reduce position are placed if the FastLinReg and the ReverseEMA trend are in different directions.
    fastLinReg:
      interval: 1m
      window: 30

    # slowLinReg is to determine the midterm trend.
    # When the SlowLinReg and the ReverseEMA trend are in different directions, creation of opposite position is
    # allowed.
    slowLinReg:
      interval: 1m
      window: 120

    # allowOppositePosition if true, the creation of opposite position is allowed when both fast and slow LinReg are in
    # the opposite direction to main trend
    allowOppositePosition: true

    # fasterDecreaseRatio the quantity of decreasing position orders are multiplied by this ratio when both fast and
    # slow LinReg are in the opposite direction to main trend
    fasterDecreaseRatio: 2

    # neutralBollinger is the smaller range of the bollinger band
    # If price is in this band, it usually means the price is oscillating.
    # If price goes out of this band, we tend to not place sell orders or buy orders
    neutralBollinger:
      interval: "15m"
      window: 21
      bandWidth: 2.0

    # tradeInBand: when tradeInBand is set, you will only place orders in the bollinger band.
    tradeInBand: true

    # spread is the price spread from the middle price.
    # For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
    # For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
    # Spread can be set by percentage or floating number. e.g., 0.1% or 0.001
    spread: 0.1%
    # dynamicSpread enables the automatic adjustment to bid and ask spread.
    # Overrides Spread, BidSpread, and AskSpread
    dynamicSpread:
      amplitude: # delete other scaling strategy if this is defined
        # window is the window of the SMAs of spreads
        window: 1
        interval: "1m"
        askSpreadScale:
          byPercentage:
            # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
            exp:
              # from down to up
              domain: [ 0.0001, 0.005 ]
              # the spread range
              range: [ 0.001, 0.002 ]
        bidSpreadScale:
          byPercentage:
            # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
            exp:
              # from down to up
              domain: [ 0.0001, 0.005 ]
              # the spread range
              range: [ 0.001, 0.002 ]

    # maxExposurePosition is the maximum position you can hold
    # 10 means you can hold 10 ETH long/short position by maximum
    #maxExposurePosition: 10
    # dynamicExposure is used to define the exposure position range with the given percentage.
    # When DynamicExposure is set, your MaxExposurePosition will be calculated dynamically
    dynamicExposure:
      bollBandExposure:
        interval: "1h"
        window: 21
        bandWidth: 2.0
        dynamicExposurePositionScale:
          byPercentage:
            # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
            exp:
              # from lower band -100% (-1) to upper band 100% (+1)
              domain: [ -1, 1 ]
              # when in down band, holds 0.1 by maximum
              # when in up band, holds 1 by maximum
              range: [ 0.1, 1 ]

    # quantity is the base order quantity for your buy/sell order.
    quantity: 0.001
    # amount: fixed amount instead of qty
    #amount: 10
    # useDynamicQuantityAsAmount calculates amount instead of quantity
    useDynamicQuantityAsAmount: false
    # dynamicQuantityIncrease calculates the increase position order quantity dynamically
    dynamicQuantityIncrease:
      - linRegDynamicQuantity:
          quantityLinReg:
            interval: 1m
            window: 20
          dynamicQuantityLinRegScale:
            byPercentage:
              linear:
                domain: [ -0.0001, 0.00005 ]
                range: [ 0, 0.02 ]
    # dynamicQuantityDecrease calculates the decrease position order quantity dynamically
    dynamicQuantityDecrease:
      - linRegDynamicQuantity:
          quantityLinReg:
            interval: 1m
            window: 20
          dynamicQuantityLinRegScale:
            byPercentage:
              linear:
                domain: [ -0.00005, 0.0001 ]
                range: [ 0.02, 0 ]

    # minProfitSpread is the minimal order price spread from the current average cost.
    # For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
    # For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
    minProfitSpread: 0.1%

    # minProfitActivationRate activates MinProfitSpread when position RoI higher than the specified percentage
    minProfitActivationRate: -10%

    exits:
      # roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
      - roiStopLoss:
          percentage: 30%

    profitStatsTracker:
      interval: 1d
      window: 30
      accumulatedProfitReport:
        profitMAWindow: 60
        shortTermProfitWindow: 14
        tsvReportPath: res.tsv
    trackParameters: false