bbgo_origin/config/pivotshort.yaml

---
sessions:
  binance:
    exchange: binance
    envVarPrefix: binance
#    margin: true
#    isolatedMargin: true
#    isolatedMarginSymbol: GMTUSDT
#    futures: true

exchangeStrategies:
- on: binance
  pivotshort:
    symbol: GMTUSDT
    interval: 5m

    window: 120

    # breakLow settings are used for shorting when the current price break the previous low
    breakLow:
      ratio: 0.1%
      quantity: 10.0
      stopEMARange: 5%
      stopEMA:
        interval: 1h
        window: 99

    exits:
    # roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
    - roiStopLoss:
        percentage: 2%

    # roiTakeProfit is used to force taking profit by percentage of the position ROI (currently the price change)
    # force to take the profit ROI exceeded the percentage.
    - roiTakeProfit:
        percentage: 30%

    - protectionStopLoss:
        activationRatio: 1%
        stopLossRatio: 0.2%
        placeStopOrder: true

    # lowerShadowTakeProfit is used to taking profit when the (lower shadow height / low price) > lowerShadowRatio
    # you can grab a simple stats by the following SQL:
    #
    # SELECT ((close - low) / close) AS shadow_ratio FROM binance_klines WHERE symbol = 'ETHUSDT' AND `interval` = '5m' AND start_time > '2022-01-01' ORDER BY shadow_ratio DESC LIMIT 20;
    - lowerShadowTakeProfit:
        ratio: 3%

    # cumulatedVolumeTakeProfit is used to take profit when the cumulated quote volume from the klines exceeded a threshold
    - cumulatedVolumeTakeProfit:
        minQuoteVolume: 90_000_000
        window: 5

backtest:
  sessions:
  - binance
  startTime: "2022-05-01"
  endTime: "2022-06-03"
  symbols:
  - GMTUSDT
  accounts:
    binance:
      balances:
        GMT: 3010.0
        USDT: 1000.0
add websocket log prefix 2022-06-03 16:39:24 +00:00			`---`
WIP: strategy: pivot: pivot low shorting strategy 2022-05-09 21:11:22 +00:00			`sessions:`
			`binance:`
			`exchange: binance`
			`envVarPrefix: binance`
pivotshort: improve market sell when breaks previous pivot low only pivotshort: improve market sell when breaks previous pivot low only 2022-06-05 23:29:25 +00:00			`# margin: true`
			`# isolatedMargin: true`
			`# isolatedMarginSymbol: GMTUSDT`
			`# futures: true`
WIP: strategy: pivot: pivot low shorting strategy 2022-05-09 21:11:22 +00:00
			`exchangeStrategies:`
			`- on: binance`
pivotshort: rename strategy & fix pivot indicator 2022-05-10 09:11:24 +00:00			`pivotshort:`
pivotshort: improve post order & add margin 2022-06-02 13:34:26 +00:00			`symbol: GMTUSDT`
pivot: fix futures & spot clean up pivot: clean up 2022-05-11 12:55:11 +00:00			`interval: 5m`
pivotshort: improve post order & add margin 2022-06-02 13:34:26 +00:00
pivotshort: rename pivotLength to window and update indicator manually 2022-06-10 07:34:57 +00:00			`window: 120`
WIP: strategy: pivot: pivot low shorting strategy 2022-05-09 21:11:22 +00:00
update pivotshort config 2022-06-09 17:24:15 +00:00			`# breakLow settings are used for shorting when the current price break the previous low`
			`breakLow:`
			`ratio: 0.1%`
			`quantity: 10.0`
			`stopEMARange: 5%`
			`stopEMA:`
			`interval: 1h`
			`window: 99`
pivotshort: clean up 2022-06-03 08:38:06 +00:00
update config structure 2022-06-26 11:20:08 +00:00			`exits:`
			`# roiStopLoss is the stop loss percentage of the position ROI (currently the price change)`
			`- roiStopLoss:`
			`percentage: 2%`
update pivotshort config 2022-06-09 17:24:15 +00:00
update config structure 2022-06-26 11:20:08 +00:00			`# roiTakeProfit is used to force taking profit by percentage of the position ROI (currently the price change)`
			`# force to take the profit ROI exceeded the percentage.`
			`- roiTakeProfit:`
			`percentage: 30%`
update pivotshort config 2022-06-09 17:24:15 +00:00
update config structure 2022-06-26 11:20:08 +00:00			`- protectionStopLoss:`
			`activationRatio: 1%`
			`stopLossRatio: 0.2%`
			`placeStopOrder: true`
pivotshort: rename pivotLength to window and update indicator manually 2022-06-10 07:34:57 +00:00
update config structure 2022-06-26 11:20:08 +00:00			`# lowerShadowTakeProfit is used to taking profit when the (lower shadow height / low price) > lowerShadowRatio`
			`# you can grab a simple stats by the following SQL:`
			`#`
			# SELECT ((close - low) / close) AS shadow_ratio FROM binance_klines WHERE symbol = 'ETHUSDT' AND `interval` = '5m' AND start_time > '2022-01-01' ORDER BY shadow_ratio DESC LIMIT 20;
			`- lowerShadowTakeProfit:`
			`ratio: 3%`
update pivotshort config 2022-06-09 17:24:15 +00:00
update config structure 2022-06-26 11:20:08 +00:00			`# cumulatedVolumeTakeProfit is used to take profit when the cumulated quote volume from the klines exceeded a threshold`
			`- cumulatedVolumeTakeProfit:`
pivotshort: rename pivotLength to window and update indicator manually 2022-06-10 07:34:57 +00:00			`minQuoteVolume: 90_000_000`
update pivotshort config 2022-06-09 17:24:15 +00:00			`window: 5`

WIP: strategy: pivot: pivot low shorting strategy 2022-05-09 21:11:22 +00:00			`backtest:`
			`sessions:`
add optimizer for pivotshort 2022-06-09 05:20:51 +00:00			`- binance`
pivotshort: improve market sell when breaks previous pivot low only pivotshort: improve market sell when breaks previous pivot low only 2022-06-05 23:29:25 +00:00			`startTime: "2022-05-01"`
pivotshort: improve post order & add margin 2022-06-02 13:34:26 +00:00			`endTime: "2022-06-03"`
WIP: strategy: pivot: pivot low shorting strategy 2022-05-09 21:11:22 +00:00			`symbols:`
add optimizer for pivotshort 2022-06-09 05:20:51 +00:00			`- GMTUSDT`
			`accounts:`
WIP: strategy: pivot: pivot low shorting strategy 2022-05-09 21:11:22 +00:00			`binance:`
			`balances:`
pivotshort: improve market sell when breaks previous pivot low only pivotshort: improve market sell when breaks previous pivot low only 2022-06-05 23:29:25 +00:00			`GMT: 3010.0`
			`USDT: 1000.0`