bbgo_origin/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: "2022-03-15"
  endTime: "2022-03-23"
  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

    # reverseEMA
    reverseEMA:
      interval: 1d
      window: 60

    # reverseInterval
    reverseInterval: 4h

    # fastLinReg
    fastLinReg:
      interval: 1m
      window: 30

    # slowLinReg
    slowLinReg:
      interval: 1m
      window: 120

    # allowOppositePosition
    allowOppositePosition: true

    # fasterDecreaseRatio
    fasterDecreaseRatio: 2

    # neutralBollinger
    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
    spread: 0.1%
    # dynamicSpread
    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 ]
              # when in down band, holds 1.0 by maximum
              # when in up band, holds 0.05 by maximum
              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 ]
              # when in down band, holds 1.0 by maximum
              # when in up band, holds 0.05 by maximum
              range: [ 0.001, 0.002 ]

    #maxExposurePosition: 10
    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 1.0 by maximum
              # when in up band, holds 0.05 by maximum
              range: [ 0.1, 10 ]

    # quantity is the base order quantity for your buy/sell order.
    quantity: 0.1
    dynamicQuantityIncrease:
      - linRegDynamicQuantity:
          quantityLinReg:
            interval: 1m
            window: 20
          dynamicQuantityLinRegScale:
            byPercentage:
              # log means we want to use log scale, you can replace "log" with "linear" for linear scale
              linear:
                # from lower band -100% (-1) to upper band 100% (+1)
                domain: [ -0.000002, 0.000002 ]
                # when in down band, holds 1.0 by maximum
                # when in up band, holds 0.05 by maximum
                range: [ 0, 0.001 ]
    dynamicQuantityDecrease:
      - linRegDynamicQuantity:
          quantityLinReg:
            interval: 1m
            window: 20
          dynamicQuantityLinRegScale:
            byPercentage:
              # log means we want to use log scale, you can replace "log" with "linear" for linear scale
              linear:
                # from lower band -100% (-1) to upper band 100% (+1)
                domain: [0.000002, -0.000002 ]
                # when in down band, holds 1.0 by maximum
                # when in up band, holds 0.05 by maximum
                range: [ 0, 0.001 ]

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