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

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strategy/supertrend: update supertrend config
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Yo-An Lin 2022-11-24 16:57:08 +08:00 committed by GitHub
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1 changed files with 16 additions and 16 deletions
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config/supertrend.yaml
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@ -18,8 +18,8 @@ backtest:
# for testing max draw down (MDD) at 03-12 # for testing max draw down (MDD) at 03-12
# see here for more details # see here for more details
# https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp # https://www.investopedia.com/terms/m/maximum-drawdown-mdd.asp
startTime: "2022-01-01" startTime: "2022-05-01"
endTime: "2022-06-30" endTime: "2022-10-31"
symbols: symbols:
- BTCUSDT - BTCUSDT
accounts: accounts:
@ -27,7 +27,7 @@ backtest:
makerCommission: 10 # 0.15% makerCommission: 10 # 0.15%
takerCommission: 15 # 0.15% takerCommission: 15 # 0.15%
balances: balances:
BTC: 1.0 BTC: 50.0
USDT: 10000.0 USDT: 10000.0
exchangeStrategies: exchangeStrategies:
@ -39,9 +39,9 @@ exchangeStrategies:
interval: 1m interval: 1m
# ATR window used by Supertrend # ATR window used by Supertrend
window: 34 window: 220
# ATR Multiplier for calculating super trend prices, the higher, the stronger the trends are # 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 uses the account net value to calculate the order qty
leverage: 1.0 leverage: 1.0
@ -49,13 +49,13 @@ exchangeStrategies:
#quantity: 0.5 #quantity: 0.5
# fastDEMAWindow and slowDEMAWindow are for filtering super trend noise # fastDEMAWindow and slowDEMAWindow are for filtering super trend noise
fastDEMAWindow: 40 fastDEMAWindow: 28
slowDEMAWindow: 49 slowDEMAWindow: 170
# Use linear regression as trend confirmation # Use linear regression as trend confirmation
linearRegression: linearRegression:
interval: 1m interval: 1m
window: 74 window: 18
# TP according to ATR multiple, 0 to disable this # TP according to ATR multiple, 0 to disable this
TakeProfitAtrMultiplier: 0 TakeProfitAtrMultiplier: 0
@ -80,19 +80,19 @@ exchangeStrategies:
exits: exits:
# roiStopLoss is the stop loss percentage of the position ROI (currently the price change) # roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
- roiStopLoss: - roiStopLoss:
percentage: 4.5% percentage: 4.6%
- protectiveStopLoss: - protectiveStopLoss:
activationRatio: 3% activationRatio: 3.5%
stopLossRatio: 2.5% stopLossRatio: 2.9%
placeStopOrder: false placeStopOrder: false
- protectiveStopLoss: - protectiveStopLoss:
activationRatio: 7% activationRatio: 11.1%
stopLossRatio: 3.5% stopLossRatio: 9.5%
placeStopOrder: false placeStopOrder: false
- trailingStop: - trailingStop:
callbackRate: 4.5% callbackRate: 1.1%
#activationRatio: 40% #activationRatio: 20%
minProfit: 9.5% minProfit: 19.5%
interval: 1m interval: 1m
side: both side: both
closePosition: 100% closePosition: 100%