bbgo_origin/config/supertrend.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: "2022-05-01"
  endTime: "2022-10-31"
  symbols:
  - BTCUSDT
  accounts:
    binance:
      makerCommission: 10  # 0.15%
      takerCommission: 15  # 0.15%
      balances:
        BTC: 50.0
        USDT: 10000.0

exchangeStrategies:
- on: binance
  supertrend:
    symbol: BTCUSDT

    # interval is how long do you want to update your order price and quantity
    interval: 1m

    # ATR window used by Supertrend
    window: 220
    # ATR Multiplier for calculating super trend prices, the higher, the stronger the trends are
    supertrendMultiplier: 10

    # leverage uses the account net value to calculate the order qty
    leverage: 1.0
    # quantity sets the fixed order qty, takes precedence over Leverage
    #quantity: 0.5

    # fastDEMAWindow and slowDEMAWindow are for filtering super trend noise
    fastDEMAWindow: 28
    slowDEMAWindow: 170

    # Use linear regression as trend confirmation
    linearRegression:
      interval: 1m
      window: 18

    # TP according to ATR multiple, 0 to disable this
    TakeProfitAtrMultiplier: 0

    # Set SL price to the low of the triggering Kline
    stopLossByTriggeringK: false

    # TP/SL by reversed supertrend signal
    stopByReversedSupertrend: false

    # TP/SL by reversed DEMA signal
    stopByReversedDema: false

    # TP/SL by reversed linear regression signal
    stopByReversedLinGre: false

    # Draw pnl
    drawGraph: true
    graphPNLPath: "./pnl.png"
    graphCumPNLPath: "./cumpnl.png"

    exits:
      # roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
      - roiStopLoss:
          percentage: 2%
      - trailingStop:
          callbackRate: 2%
          #activationRatio: 20%
          minProfit: 10%
          interval: 1m
          side: both
          closePosition: 100%
      - higherHighLowerLowStopLoss:
          # interval is the kline interval used by this exit
          interval: 15m
          # window is used as the range to determining higher highs and lower lows
          window: 5
          # highLowWindow is the range to calculate the number of higher highs and lower lows
          highLowWindow: 12
          # If the number of higher highs or lower lows with in HighLowWindow is less than MinHighLow, the exit is
          # triggered. 0 disables this parameter. Either one of MaxHighLow and MinHighLow must be larger than 0
          minHighLow: 2
          # If the number of higher highs or lower lows with in HighLowWindow is more than MaxHighLow, the exit is
          # triggered. 0 disables this parameter. Either one of MaxHighLow and MinHighLow must be larger than 0
          maxHighLow: 0
          # ActivationRatio is the trigger condition
          # When the price goes higher (lower for short position) than this ratio, the stop will be activated.
          # You can use this to combine several exits
          activationRatio: 0.5%
          # DeactivationRatio is the kill condition
          #	When the price goes higher (lower for short position) than this ratio, the stop will be deactivated.
          #	You can use this to combine several exits
          deactivationRatio: 10%
          # If true, looking for lower lows in long position and higher highs in short position. If false, looking for
          # higher highs in long position and lower lows in short position
          oppositeDirectionAsPosition: false

    profitTracker:
      interval: 1d
      window: 30
      accumulatedProfitReport:
        profitMAWindow: 60
        shortTermProfitWindow: 14
        tsvReportPath: res.tsv