bbgo_origin/config/pivotshort-ETHUSDT.yaml

---
sessions:
  binance:
    exchange: binance
    envVarPrefix: binance
    margin: true
    # isolatedMargin: true
    # isolatedMarginSymbol: ETHUSDT

exchangeStrategies:
- on: binance
  pivotshort:
    symbol: ETHUSDT

    # interval is the main pivot interval
    interval: 5m

    # window is the main pivot window
    window: 200

    # breakLow settings are used for shorting when the current price break the previous low
    breakLow:
      # ratio is how much the price breaks the previous low to trigger the short.
      ratio: 0.1%

      # quantity is used for submitting the sell order
      # if quantity is not set, all base balance will be used for selling the short.
      quantity: 10.0

      # marketOrder submits the market sell order when the closed price is lower than the previous pivot low.
      marketOrder: true

      # bounceRatio is used for calculating the price of the limit sell order.
      # it's ratio of pivot low bounce when a new pivot low is detected.
      # Sometimes when the price breaks the previous low, the price might be pulled back to a higher price.
      # The bounceRatio is useful for such case, however, you might also miss the chance to short at the price if there is no pull back.
      # Notice: When marketOrder is set, bounceRatio will not be used.
      # bounceRatio: 0.1%

      # stopEMARange is the price range we allow short.
      # Short-allowed price range = [current price] > [EMA] * (1 - [stopEMARange])
      stopEMARange: 0%
      stopEMA:
        interval: 1h
        window: 99

    bounceShort:
      enabled: false
      interval: 1h
      window: 10
      quantity: 10.0
      minDistance: 3%
      # stopLossPercentage: 1%

      # ratio is the ratio of the resistance price,
      # higher the ratio, lower the price
      # first_layer_price = resistance_price * (1 - ratio)
      # second_layer_price = (resistance_price * (1 - ratio)) * (2 * layerSpread)
      ratio: 0%
      numOfLayers: 1
      layerSpread: 0.1%

    exit:
      # roiStopLossPercentage is the stop loss percentage of the position ROI (currently the price change)
      roiStopLossPercentage: 2%

      # roiTakeProfitPercentage 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.
      roiTakeProfitPercentage: 30%

      # roiMinTakeProfitPercentage applies to lowerShadowRatio and cumulatedVolume exit options
      roiMinTakeProfitPercentage: 10%

      # lowerShadowRatio 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;
      lowerShadowRatio: 3%

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

      marginOrderSideEffect: repay

backtest:
  sessions:
  - binance
  startTime: "2022-01-01"
  endTime: "2022-06-08"
  symbols:
  - ETHUSDT
  accounts:
    binance:
      balances:
        ETH: 10.0
        USDT: 3000.0