bbgo_origin/config/drift.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: ETHBUSD
    limitOrder: false
    # kline interval for indicators
    interval: 2m
    window: 6
    stoploss: 0.23%
    source: ohlc4
    predictOffset: 2
    noTrailingStopLoss: false
    trailingStopLossType: kline
    # stddev on high/low-source
    hlVarianceMultiplier: 0.03
    hlRangeWindow: 4
    smootherWindow: 3
    fisherTransformWindow: 117
    window1m: 42
    smootherWindow1m: 118
    fisherTransformWindow1m: 319
    atrWindow: 14
    # orders not been traded will be canceled after `pendingMinutes` minutes
    pendingMinutes: 3
    noRebalance: true
    trendWindow: 12
    rebalanceFilter: 2

    trailingActivationRatio: [0.0015, 0.002, 0.004, 0.01]
    trailingCallbackRate: [0.0001, 0.00012, 0.001, 0.002]
    #driftFilterPos: 0.4
    #driftFilterNeg: -0.42
    #ddriftFilterPos: 0
    #ddriftFilterNeg: 0

    generateGraph: true
    graphPNLDeductFee: true
    graphPNLPath: "./pnl.png"
    graphCumPNLPath: "./cumpnl.png"
    #exits:
    #- roiStopLoss:
    #   percentage: 0.8%
    #- roiTakeProfit:
    #   percentage: 35%
    #- protectiveStopLoss:
    #   activationRatio: 0.6%
    #   stopLossRatio: 0.1%
    #   placeStopOrder: false
    #- 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:
    - ETHBUSD

backtest:
  startTime: "2022-09-01"
  endTime: "2022-09-30"
  symbols:
    - ETHBUSD
  sessions: [binance]
  accounts:
    binance:
      makerFeeRate: 0.0000
      takerFeeRate: 0.0000
      balances:
        ETH: 0
        BUSD: 1000.0
feature: use drift indicator to create basic strategy for study 2022-07-01 10:38:25 +00:00			`---`
fix: drift exit condition, trade_stats serialization in redis 2022-07-20 10:49:56 +00:00			`persistence:`
			`redis:`
			`host: 127.0.0.1`
			`port: 6379`
			`db: 0`

feature: use drift indicator to create basic strategy for study 2022-07-01 10:38:25 +00:00			`sessions:`
			`binance:`
			`exchange: binance`
fix: drift exit condition, trade_stats serialization in redis 2022-07-20 10:49:56 +00:00			`futures: false`
feature: use drift indicator to create basic strategy for study 2022-07-01 10:38:25 +00:00			`envVarPrefix: binance`
			`heikinAshi: false`

config: add example for order fee-amount protection 2022-08-02 05:49:09 +00:00			`# 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`

feature: use drift indicator to create basic strategy for study 2022-07-01 10:38:25 +00:00			`exchangeStrategies:`

			`- on: binance`
			`drift:`
feature: export canvas path for drift strategy. fix exit/entry order and fix missing columns from json parsing 2022-07-13 08:08:57 +00:00			`canvasPath: "./output.png"`
feature: use ma for tp coefficient, rewrite trailing stop for drift, export all window param to yaml 2022-07-28 10:34:12 +00:00			`symbol: ETHBUSD`
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior 2022-09-22 04:01:26 +00:00			`limitOrder: false`
feature: use drift indicator to create basic strategy for study 2022-07-01 10:38:25 +00:00			`# kline interval for indicators`
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior 2022-09-22 04:01:26 +00:00			`interval: 2m`
			`window: 6`
			`stoploss: 0.23%`
			`source: ohlc4`
fix: panic on image drawing, reduce fee by smoothing the drift curve 2022-07-25 10:36:22 +00:00			`predictOffset: 2`
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior 2022-09-22 04:01:26 +00:00			`noTrailingStopLoss: false`
fix: date parsing in tradingview, feature: enforce trailingstop in drift, add rebalance prototype 2022-08-02 11:21:44 +00:00			`trailingStopLossType: kline`
feature: add omega ratio, print sharpe/omega/interval profit from trade_stats, use stdev for high/low diff for drift to estimate the variance and improve profit, add yaml marshal for dnum fixedpoint 2022-07-19 09:38:42 +00:00			`# stddev on high/low-source`
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior 2022-09-22 04:01:26 +00:00			`hlVarianceMultiplier: 0.03`
			`hlRangeWindow: 4`
feature: add gma, add wdrift, export drift filter, fix: LastPrice truncation 2022-08-23 08:22:45 +00:00			`smootherWindow: 3`
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior 2022-09-22 04:01:26 +00:00			`fisherTransformWindow: 117`
			`window1m: 42`
			`smootherWindow1m: 118`
			`fisherTransformWindow1m: 319`
feature: use ma for tp coefficient, rewrite trailing stop for drift, export all window param to yaml 2022-07-28 10:34:12 +00:00			`atrWindow: 14`
feature: add smart cancel to drift 2022-07-29 06:55:23 +00:00			# orders not been traded will be canceled after `pendingMinutes` minutes
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior 2022-09-22 04:01:26 +00:00			`pendingMinutes: 3`
fix: date parsing in tradingview, feature: enforce trailingstop in drift, add rebalance prototype 2022-08-02 11:21:44 +00:00			`noRebalance: true`
			`trendWindow: 12`
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior 2022-09-22 04:01:26 +00:00			`rebalanceFilter: 2`
fix: date parsing in tradingview, feature: enforce trailingstop in drift, add rebalance prototype 2022-08-02 11:21:44 +00:00
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior 2022-09-22 04:01:26 +00:00			`trailingActivationRatio: [0.0015, 0.002, 0.004, 0.01]`
			`trailingCallbackRate: [0.0001, 0.00012, 0.001, 0.002]`
			`#driftFilterPos: 0.4`
			`#driftFilterNeg: -0.42`
			`#ddriftFilterPos: 0`
			`#ddriftFilterNeg: 0`
feature: add pnl / cummulative pnl graph, add continuous graph 2022-07-15 10:59:37 +00:00
			`generateGraph: true`
feature: use ma for tp coefficient, rewrite trailing stop for drift, export all window param to yaml 2022-07-28 10:34:12 +00:00			`graphPNLDeductFee: true`
feature: add pnl / cummulative pnl graph, add continuous graph 2022-07-15 10:59:37 +00:00			`graphPNLPath: "./pnl.png"`
			`graphCumPNLPath: "./cumpnl.png"`
feature: add plot for series. add autocorrelation. add clone for indicators/series 2022-07-12 10:14:57 +00:00			`#exits:`
			`#- roiStopLoss:`
			`# percentage: 0.8%`
			`#- roiTakeProfit:`
			`# percentage: 35%`
			`#- protectiveStopLoss:`
			`# activationRatio: 0.6%`
			`# stopLossRatio: 0.1%`
			`# placeStopOrder: false`
			`#- protectiveStopLoss:`
			`# activationRatio: 5%`
			`# stopLossRatio: 1%`
			`# placeStopOrder: false`
			`#- cumulatedVolumeTakeProfit:`
			`# interval: 5m`
			`# window: 2`
			`# minQuoteVolume: 200_000_000`
add drift exit condition 2022-07-05 11:43:05 +00:00			`#- protectiveStopLoss:`
			`# activationRatio: 2%`
			`# stopLossRatio: 1%`
			`# placeStopOrder: false`
feature: use drift indicator to create basic strategy for study 2022-07-01 10:38:25 +00:00
			`sync:`
			`userDataStream:`
			`trades: true`
			`filledOrders: true`
			`sessions:`
			`- binance`
			`symbols:`
feature: use ma for tp coefficient, rewrite trailing stop for drift, export all window param to yaml 2022-07-28 10:34:12 +00:00			`- ETHBUSD`
feature: use drift indicator to create basic strategy for study 2022-07-01 10:38:25 +00:00
			`backtest:`
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior 2022-09-22 04:01:26 +00:00			`startTime: "2022-09-01"`
			`endTime: "2022-09-30"`
feature: use drift indicator to create basic strategy for study 2022-07-01 10:38:25 +00:00			`symbols:`
feature: use ma for tp coefficient, rewrite trailing stop for drift, export all window param to yaml 2022-07-28 10:34:12 +00:00			`- ETHBUSD`
feature: use drift indicator to create basic strategy for study 2022-07-01 10:38:25 +00:00			`sessions: [binance]`
			`accounts:`
			`binance:`
feature: use ma for tp coefficient, rewrite trailing stop for drift, export all window param to yaml 2022-07-28 10:34:12 +00:00			`makerFeeRate: 0.0000`
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior 2022-09-22 04:01:26 +00:00			`takerFeeRate: 0.0000`
feature: use drift indicator to create basic strategy for study 2022-07-01 10:38:25 +00:00			`balances:`
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior 2022-09-22 04:01:26 +00:00			`ETH: 0`
			`BUSD: 1000.0`