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

    exit:
      # roiStopLossPercentage is the stop loss percentage of the position ROI (currently the price change)
      roiStopLossPercentage: 1%

      # roiTakeProfitPercentage is the take profit percentage of the position ROI (currently the price change)
      # force to take the profit ROI exceeded the percentage.
      roiTakeProfitPercentage: 25%

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

      # lowerShadowRatio is used to force 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: false
        minQuoteVolume: 90_000_000
        window: 5

      marginOrderSideEffect: repay


backtest:
  sessions:
  - binance
  startTime: "2022-05-01"
  endTime: "2022-06-03"
  symbols:
  - GMTUSDT
  accounts:
    binance:
      balances:
        GMT: 3010.0
        USDT: 1000.0