bbgo_origin/config/driftBTC.yaml

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---
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: 15m
window: 1
stoploss: 1.2%
source: close
predictOffset: 2
noTrailingStopLoss: false
trailingStopLossType: kline
# stddev on high/low-source
hlVarianceMultiplier: 0.1
hlRangeWindow: 5
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smootherWindow: 1
fisherTransformWindow: 34
window1m: 58
smootherWindow1m: 118
fisherTransformWindow1m: 319
atrWindow: 14
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# orders not been traded will be canceled after `pendingMinutes` minutes
pendingMinutes: 10
noRebalance: true
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trendWindow: 576
rebalanceFilter: 0
driftFilterPos: 1.8
driftFilterNeg: -1.8
ddriftFilterPos: 0.5
ddriftFilterNeg: -0.5 #-1.6
# ActivationRatio should be increasing order
# when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
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#trailingActivationRatio: [0.01, 0.016, 0.05]
#trailingActivationRatio: [0.001, 0.0081, 0.022]
trailingActivationRatio: [0.0029, 0.028]
#trailingActivationRatio: []
#trailingCallbackRate: []
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#trailingCallbackRate: [0.002, 0.01, 0.1]
#trailingCallbackRate: [0.0004, 0.0009, 0.018]
trailingCallbackRate: [0.0005, 0.0149]
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: "2022-08-01"
endTime: "2022-08-31"
symbols:
- BTCUSDT
sessions: [binance]
accounts:
binance:
makerFeeRate: 0.000
#takerFeeRate: 0.000
balances:
BTC: 0
USDT: 21