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config: optimize and update pivotshort config
Signed-off-by: c9s <yoanlin93@gmail.com>
This commit is contained in:
c9s
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@ -1,100 +0,0 @@
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---
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sessions:
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binance:
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exchange: binance
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envVarPrefix: binance
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margin: true
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# isolatedMargin: true
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# isolatedMarginSymbol: ETHUSDT
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exchangeStrategies:
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- on: binance
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pivotshort:
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symbol: ETHUSDT
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# interval is the main pivot interval
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interval: 5m
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# window is the main pivot window
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window: 200
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# breakLow settings are used for shorting when the current price break the previous low
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breakLow:
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# ratio is how much the price breaks the previous low to trigger the short.
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ratio: -0.1%
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# quantity is used for submitting the sell order
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# if quantity is not set, all base balance will be used for selling the short.
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quantity: 10.0
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# marketOrder submits the market sell order when the closed price is lower than the previous pivot low.
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marketOrder: true
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# bounceRatio is used for calculating the price of the limit sell order.
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# it's ratio of pivot low bounce when a new pivot low is detected.
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# Sometimes when the price breaks the previous low, the price might be pulled back to a higher price.
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# The bounceRatio is useful for such case, however, you might also miss the chance to short at the price if there is no pull back.
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# Notice: When marketOrder is set, bounceRatio will not be used.
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# bounceRatio: 0.1%
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# stopEMARange is the price range we allow short.
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# Short-allowed price range = [current price] > [EMA] * (1 - [stopEMARange])
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stopEMARange: 0%
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stopEMA:
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interval: 1h
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window: 99
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bounceShort:
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enabled: false
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interval: 1h
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window: 10
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quantity: 10.0
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minDistance: 3%
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# stopLossPercentage: 1%
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# ratio is the ratio of the resistance price,
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# higher the ratio, lower the price
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# first_layer_price = resistance_price * (1 - ratio)
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# second_layer_price = (resistance_price * (1 - ratio)) * (2 * layerSpread)
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ratio: 0%
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numOfLayers: 1
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layerSpread: 0.1%
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exits:
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# roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
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- roiStopLoss:
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percentage: 2%
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# roiTakeProfit is used to force taking profit by percentage of the position ROI (currently the price change)
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# force to take the profit ROI exceeded the percentage.
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- roiTakeProfit:
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percentage: 30%
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- protectionStopLoss:
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activationRatio: 1%
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stopLossRatio: 0.2%
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placeStopOrder: true
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# lowerShadowTakeProfit is used to taking profit when the (lower shadow height / low price) > lowerShadowRatio
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# you can grab a simple stats by the following SQL:
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# 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;
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- lowerShadowTakeProfit:
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ratio: 3%
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# cumulatedVolumeTakeProfit is used to take profit when the cumulated quote volume from the klines exceeded a threshold
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- cumulatedVolumeTakeProfit:
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minQuoteVolume: 90_000_000
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window: 5
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backtest:
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sessions:
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- binance
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startTime: "2022-04-01"
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endTime: "2022-06-08"
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symbols:
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- ETHUSDT
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accounts:
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binance:
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balances:
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ETH: 10.0
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USDT: 3000.0
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@ -3,64 +3,105 @@ sessions:
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binance:
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exchange: binance
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envVarPrefix: binance
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# margin: true
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margin: true
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# isolatedMargin: true
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# isolatedMarginSymbol: GMTUSDT
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# futures: true
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# isolatedMarginSymbol: ETHUSDT
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exchangeStrategies:
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- on: binance
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pivotshort:
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symbol: GMTUSDT
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symbol: ETHUSDT
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# interval is the main pivot interval
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interval: 5m
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window: 120
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# window is the main pivot window
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window: 200
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# breakLow settings are used for shorting when the current price break the previous low
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breakLow:
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ratio: 0.1%
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# ratio is how much the price breaks the previous low to trigger the short.
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ratio: 0%
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# quantity is used for submitting the sell order
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# if quantity is not set, all base balance will be used for selling the short.
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quantity: 10.0
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stopEMARange: 5%
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# marketOrder submits the market sell order when the closed price is lower than the previous pivot low.
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marketOrder: true
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# bounceRatio is used for calculating the price of the limit sell order.
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# it's ratio of pivot low bounce when a new pivot low is detected.
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# Sometimes when the price breaks the previous low, the price might be pulled back to a higher price.
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# The bounceRatio is useful for such case, however, you might also miss the chance to short at the price if there is no pull back.
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# Notice: When marketOrder is set, bounceRatio will not be used.
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# bounceRatio: 0.1%
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# stopEMARange is the price range we allow short.
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# Short-allowed price range = [current price] > [EMA] * (1 - [stopEMARange])
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stopEMARange: 0%
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stopEMA:
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interval: 1h
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window: 99
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exits:
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# roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
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- roiStopLoss:
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percentage: 2%
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bounceShort:
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enabled: false
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interval: 1h
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window: 10
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quantity: 10.0
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minDistance: 3%
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# stopLossPercentage: 1%
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# roiTakeProfit is used to force taking profit by percentage of the position ROI (currently the price change)
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# ratio is the ratio of the resistance price,
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# higher the ratio, lower the price
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# first_layer_price = resistance_price * (1 - ratio)
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# second_layer_price = (resistance_price * (1 - ratio)) * (2 * layerSpread)
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ratio: 0%
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numOfLayers: 1
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layerSpread: 0.1%
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exits:
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# (0) roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
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- roiStopLoss:
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percentage: 0.8%
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# (1) roiTakeProfit is used to force taking profit by percentage of the position ROI (currently the price change)
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# force to take the profit ROI exceeded the percentage.
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- roiTakeProfit:
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percentage: 30%
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percentage: 35%
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# (2) protective stop loss -- short term
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- protectionStopLoss:
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activationRatio: 1%
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stopLossRatio: 0.2%
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placeStopOrder: true
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activationRatio: 0.6%
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stopLossRatio: 0.1%
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placeStopOrder: false
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# lowerShadowTakeProfit is used to taking profit when the (lower shadow height / low price) > lowerShadowRatio
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# (3) protective stop loss -- long term
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- protectionStopLoss:
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activationRatio: 5%
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stopLossRatio: 1%
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placeStopOrder: false
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# (4) lowerShadowTakeProfit is used to taking profit when the (lower shadow height / low price) > lowerShadowRatio
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# you can grab a simple stats by the following SQL:
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#
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# 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;
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- lowerShadowTakeProfit:
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ratio: 3%
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# cumulatedVolumeTakeProfit is used to take profit when the cumulated quote volume from the klines exceeded a threshold
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# (5) cumulatedVolumeTakeProfit is used to take profit when the cumulated quote volume from the klines exceeded a threshold
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- cumulatedVolumeTakeProfit:
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minQuoteVolume: 90_000_000
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minQuoteVolume: 50_000_000
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window: 5
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backtest:
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sessions:
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- binance
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startTime: "2022-05-01"
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endTime: "2022-06-03"
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startTime: "2022-04-01"
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endTime: "2022-06-18"
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symbols:
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- GMTUSDT
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- ETHUSDT
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accounts:
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binance:
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balances:
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GMT: 3010.0
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USDT: 1000.0
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ETH: 10.0
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USDT: 5000.0
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@ -1,6 +1,6 @@
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# usage:
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#
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# go run ./cmd/bbgo optimize --config config/pivotshort-ETHUSDT.yaml --optimizer-config config/pivotshort_optimizer.yaml --debug
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# go run ./cmd/bbgo optimize --config config/pivotshort.yaml --optimizer-config config/pivotshort_optimizer.yaml --debug
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#
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---
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executor:
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@ -22,31 +22,44 @@ matrix:
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max: 200.0
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step: 20.0
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# - type: range
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# path: '/exchangeStrategies/0/pivotshort/breakLow/stopEMARange'
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# label: stopEMARange
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# min: 0%
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# max: 10%
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# step: 1%
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- type: range
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path: '/exchangeStrategies/0/pivotshort/breakLow/stopEMARange'
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label: stopEMARange
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min: 0%
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max: 10%
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step: 1%
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# - type: range
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# path: '/exchangeStrategies/0/pivotshort/exit/roiStopLossPercentage'
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# label: roiStopLossPercentage
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# min: 0.5%
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# max: 2%
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# step: 0.5%
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#
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# - type: range
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# path: '/exchangeStrategies/0/pivotshort/exit/roiTakeProfitPercentage'
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# label: roiTakeProfitPercentage
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# min: 10%
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# max: 50%
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# step: 5%
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#
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# - type: range
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# path: '/exchangeStrategies/0/pivotshort/exit/roiMinTakeProfitPercentage'
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# label: roiMinTakeProfitPercentage
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# min: 3%
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# max: 10%
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# step: 1%
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#
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- type: range
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path: '/exchangeStrategies/0/pivotshort/exits/0/roiStopLoss/percentage'
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label: roiStopLossPercentage
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min: 0.5%
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max: 2%
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step: 0.1%
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- type: range
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path: '/exchangeStrategies/0/pivotshort/exits/1/roiTakeProfit/percentage'
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label: roiTakeProfit
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min: 10%
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max: 40%
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step: 5%
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- type: range
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path: '/exchangeStrategies/0/pivotshort/exits/2/protectionStopLoss/activationRatio'
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label: protectionStopLoss_activationRatio
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min: 0.5%
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max: 3%
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step: 0.1%
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- type: range
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path: '/exchangeStrategies/0/pivotshort/exits/4/lowerShadowTakeProfit/ratio'
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label: lowerShadowTakeProfit_ratio
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min: 1%
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max: 10%
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step: 1%
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- type: range
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path: '/exchangeStrategies/0/pivotshort/exits/5/cumulatedVolumeTakeProfit/minQuoteVolume'
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label: cumulatedVolumeTakeProfit_minQuoteVolume
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min: 30_000_000
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max: 200_000_000
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step: 10_000_000
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