Merge pull request #1011 from andycheng123/strategy/supertrend-config

strategy/supertrend: update supertrend config

config/supertrend.yaml

@@ -18,8 +18,8 @@ backtest:
   # 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: "2022-01-01"
-  endTime: "2022-06-30"
+  startTime: "2022-05-01"
+  endTime: "2022-10-31"
   symbols:
   - BTCUSDT
   accounts:
@@ -27,7 +27,7 @@ backtest:
       makerCommission: 10  # 0.15%
       takerCommission: 15  # 0.15%
       balances:
-        BTC: 1.0
+        BTC: 50.0
         USDT: 10000.0
 
 exchangeStrategies:
@@ -39,9 +39,9 @@ exchangeStrategies:
     interval: 1m
 
     # ATR window used by Supertrend
-    window: 34
+    window: 220
     # ATR Multiplier for calculating super trend prices, the higher, the stronger the trends are
-    supertrendMultiplier: 4
+    supertrendMultiplier: 10
 
     # leverage uses the account net value to calculate the order qty
     leverage: 1.0
@@ -49,13 +49,13 @@ exchangeStrategies:
     #quantity: 0.5
 
     # fastDEMAWindow and slowDEMAWindow are for filtering super trend noise
-    fastDEMAWindow: 40
-    slowDEMAWindow: 49
+    fastDEMAWindow: 28
+    slowDEMAWindow: 170
 
     # Use linear regression as trend confirmation
     linearRegression:
       interval: 1m
-      window: 74
+      window: 18
 
     # TP according to ATR multiple, 0 to disable this
     TakeProfitAtrMultiplier: 0
@@ -80,19 +80,19 @@ exchangeStrategies:
     exits:
       # roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
       - roiStopLoss:
-          percentage: 4.5%
+          percentage: 4.6%
       - protectiveStopLoss:
-          activationRatio: 3%
-          stopLossRatio: 2.5%
+          activationRatio: 3.5%
+          stopLossRatio: 2.9%
           placeStopOrder: false
       - protectiveStopLoss:
-          activationRatio: 7%
-          stopLossRatio: 3.5%
+          activationRatio: 11.1%
+          stopLossRatio: 9.5%
           placeStopOrder: false
       - trailingStop:
-          callbackRate: 4.5%
-          #activationRatio: 40%
-          minProfit: 9.5%
+          callbackRate: 1.1%
+          #activationRatio: 20%
+          minProfit: 19.5%
           interval: 1m
           side: both
           closePosition: 100%