187 lines
6.6 KiB
YAML
187 lines
6.6 KiB
YAML
---
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persistence:
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sessions:
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binance:
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exchange: binance
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envVarPrefix: binance
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margin: true
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isolatedMargin: true
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isolatedMarginSymbol: BTCUSDT
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backtest:
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sessions: [binance]
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# for testing max draw down (MDD) at 03-12
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# see here for more details
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# https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
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startTime: "2022-05-01"
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endTime: "2022-10-31"
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symbols:
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- BTCUSDT
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accounts:
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binance:
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makerCommission: 10 # 0.15%
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takerCommission: 15 # 0.15%
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balances:
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BTC: 2.0
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USDT: 10000.0
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exchangeStrategies:
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- on: binance
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linregmaker:
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symbol: BTCUSDT
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# interval is how long do you want to update your order price and quantity
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interval: 1m
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# leverage uses the account net value to calculate the allowed margin
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leverage: 1
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# reverseEMA is used to determine the long-term trend.
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# Above the ReverseEMA is the long trend and vise versa.
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# All the opposite trend position will be closed upon the trend change
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reverseEMA:
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interval: 1d
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window: 60
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# reverseInterval is the interval to check trend reverse against ReverseEMA. Close price of this interval crossing
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# the ReverseEMA triggers main trend change.
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reverseInterval: 4h
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# fastLinReg is to determine the short-term trend.
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# Buy/sell orders are placed if the FastLinReg and the ReverseEMA trend are in the same direction, and only orders
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# that reduce position are placed if the FastLinReg and the ReverseEMA trend are in different directions.
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fastLinReg:
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interval: 1m
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window: 30
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# slowLinReg is to determine the midterm trend.
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# When the SlowLinReg and the ReverseEMA trend are in different directions, creation of opposite position is
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# allowed.
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slowLinReg:
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interval: 1m
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window: 120
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# allowOppositePosition if true, the creation of opposite position is allowed when both fast and slow LinReg are in
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# the opposite direction to main trend
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allowOppositePosition: true
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# fasterDecreaseRatio the quantity of decreasing position orders are multiplied by this ratio when both fast and
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# slow LinReg are in the opposite direction to main trend
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fasterDecreaseRatio: 2
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# neutralBollinger is the smaller range of the bollinger band
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# If price is in this band, it usually means the price is oscillating.
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# If price goes out of this band, we tend to not place sell orders or buy orders
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neutralBollinger:
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interval: "15m"
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window: 21
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bandWidth: 2.0
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# tradeInBand: when tradeInBand is set, you will only place orders in the bollinger band.
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tradeInBand: true
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# spread is the price spread from the middle price.
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# For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread))
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# For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread))
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# Spread can be set by percentage or floating number. e.g., 0.1% or 0.001
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spread: 0.1%
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# dynamicSpread enables the automatic adjustment to bid and ask spread.
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# Overrides Spread, BidSpread, and AskSpread
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dynamicSpread:
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amplitude: # delete other scaling strategy if this is defined
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# window is the window of the SMAs of spreads
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window: 1
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interval: "1m"
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askSpreadScale:
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byPercentage:
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# exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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exp:
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# from down to up
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domain: [ 0.0001, 0.005 ]
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# the spread range
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range: [ 0.001, 0.002 ]
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bidSpreadScale:
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byPercentage:
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# exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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exp:
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# from down to up
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domain: [ 0.0001, 0.005 ]
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# the spread range
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range: [ 0.001, 0.002 ]
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# maxExposurePosition is the maximum position you can hold
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# 10 means you can hold 10 ETH long/short position by maximum
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#maxExposurePosition: 10
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# dynamicExposure is used to define the exposure position range with the given percentage.
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# When DynamicExposure is set, your MaxExposurePosition will be calculated dynamically
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dynamicExposure:
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bollBandExposure:
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interval: "1h"
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window: 21
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bandWidth: 2.0
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dynamicExposurePositionScale:
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byPercentage:
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# exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale
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exp:
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# from lower band -100% (-1) to upper band 100% (+1)
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domain: [ -1, 1 ]
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# when in down band, holds 0.1 by maximum
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# when in up band, holds 1 by maximum
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range: [ 0.1, 1 ]
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# quantity is the base order quantity for your buy/sell order.
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quantity: 0.001
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# amount: fixed amount instead of qty
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#amount: 10
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# useDynamicQuantityAsAmount calculates amount instead of quantity
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useDynamicQuantityAsAmount: false
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# dynamicQuantityIncrease calculates the increase position order quantity dynamically
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dynamicQuantityIncrease:
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- linRegDynamicQuantity:
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quantityLinReg:
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interval: 1m
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window: 20
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dynamicQuantityLinRegScale:
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byPercentage:
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linear:
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domain: [ -0.0001, 0.00005 ]
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range: [ 0, 0.02 ]
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# dynamicQuantityDecrease calculates the decrease position order quantity dynamically
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dynamicQuantityDecrease:
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- linRegDynamicQuantity:
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quantityLinReg:
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interval: 1m
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window: 20
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dynamicQuantityLinRegScale:
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byPercentage:
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linear:
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domain: [ -0.00005, 0.0001 ]
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range: [ 0.02, 0 ]
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# minProfitSpread is the minimal order price spread from the current average cost.
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# For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread))
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# For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread))
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minProfitSpread: 0.1%
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# minProfitActivationRate activates MinProfitSpread when position RoI higher than the specified percentage
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minProfitActivationRate: -10%
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exits:
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# roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
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- roiStopLoss:
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percentage: 30%
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profitStatsTracker:
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interval: 1d
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window: 30
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accumulatedProfitReport:
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profitMAWindow: 60
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shortTermProfitWindow: 14
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tsvReportPath: res.tsv
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trackParameters: false
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