bbgo_origin/config/driftBTC.yaml

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

sessions:
  binance:
    exchange: binance
    futures: false
    envVarPrefix: binance
    heikinAshi: false

    # Drift strategy intends to place buy/sell orders as much value mas it could be. To exchanges that requires to
    # calculate fees before placing limit orders (e.g. FTX Pro), make sure the fee rate is configured correctly and
    # enable modifyOrderAmountForFee to prevent order rejection.
    makerFeeRate: 0.0002
    takerFeeRate: 0.0007
    modifyOrderAmountForFee: false

exchangeStrategies:
 
- on: binance
  drift:
    canvasPath: "./output.png"
    symbol: BTCUSDT
    # kline interval for indicators
    interval: 4m
    window: 1
    stoploss: 0.22%
    source: hl2
    predictOffset: 2
    noTrailingStopLoss: false
    trailingStopLossType: realtime
    # stddev on high/low-source
    hlVarianceMultiplier: 0.01
    hlRangeWindow: 5
    smootherWindow: 2
    fisherTransformWindow: 27
    window1m: 58
    smootherWindow1m: 118
    fisherTransformWindow1m: 319
    atrWindow: 14
    # orders not been traded will be canceled after `pendingMinutes` minutes
    pendingMinutes: 2
    noRebalance: true
    trendWindow: 576
    rebalanceFilter: 0
    driftFilterPos: 0.6
    driftFilterNeg: -0.6
    ddriftFilterPos: 0.00008
    ddriftFilterNeg: -0.00008
    
    # ActivationRatio should be increasing order
    # when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
    #trailingActivationRatio: [0.01, 0.016, 0.05]
    #trailingActivationRatio: [0.001, 0.0081, 0.022]
    trailingActivationRatio: [0.0012, 0.0016, 0.01]
    #trailingActivationRatio: []
    #trailingCallbackRate: []
    #trailingCallbackRate: [0.002, 0.01, 0.1]
    #trailingCallbackRate: [0.0004, 0.0009, 0.018]
    trailingCallbackRate: [0.0003, 0.0006, 0.0019]

    generateGraph: true
    graphPNLDeductFee: false
    graphPNLPath: "./pnl.png"
    graphCumPNLPath: "./cumpnl.png"
    #exits:
    #   - roiStopLoss:
    #           percentage: 0.35%
       #- roiTakeProfit:
       #        percentage: 0.7%
       #- protectiveStopLoss:
       #  activationRatio: 0.5%
       #  stopLossRatio: 0.2%
       #  placeStopOrder: false
    #- trailingStop:
    #    callbackRate: 0.3%
        # 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: 0.7%
        # minProfit uses the position ROI to calculate the profit ratio
    
    #    minProfit: 1.5%
    #    interval: 1m
    #    side: sell
    #    closePosition: 100%

    #- trailingStop:
    #    callbackRate: 0.3%
        # 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: 0.7%
        # minProfit uses the position ROI to calculate the profit ratio
    
    #    minProfit: 1.5%
    #    interval: 1m
    #    side: buy
    #    closePosition: 100%
    #- protectiveStopLoss:
    #   activationRatio: 5%
    #   stopLossRatio: 1%
    #   placeStopOrder: false
    #- cumulatedVolumeTakeProfit:
    #   interval: 5m
    #   window: 2
    #   minQuoteVolume: 200_000_000
    #- protectiveStopLoss:
    #    activationRatio: 2%
    #    stopLossRatio: 1%
    #    placeStopOrder: false

sync:
  userDataStream:
    trades: true
    filledOrders: true
  sessions:
    - binance
  symbols:
    - BTCUSDT

backtest:
  startTime: "2022-09-01"
  endTime: "2022-09-30"
  symbols:
    - BTCUSDT
  sessions: [binance]
  accounts:
    binance:
      makerFeeRate: 0.000
      takerFeeRate: 0.000
      balances:
        BTC: 0
        USDT: 21