--- 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: 2.0 USDT: 10000.0 exchangeStrategies: - on: binance linregmaker: symbol: BTCUSDT # interval is how long do you want to update your order price and quantity interval: 1m # leverage uses the account net value to calculate the allowed margin leverage: 1 # reverseEMA is used to determine the long-term trend. # Above the ReverseEMA is the long trend and vise versa. # All the opposite trend position will be closed upon the trend change reverseEMA: interval: 1d window: 60 # reverseInterval is the interval to check trend reverse against ReverseEMA. Close price of this interval crossing # the ReverseEMA triggers main trend change. reverseInterval: 4h # fastLinReg is to determine the short-term trend. # Buy/sell orders are placed if the FastLinReg and the ReverseEMA trend are in the same direction, and only orders # that reduce position are placed if the FastLinReg and the ReverseEMA trend are in different directions. fastLinReg: interval: 1m window: 30 # slowLinReg is to determine the midterm trend. # When the SlowLinReg and the ReverseEMA trend are in different directions, creation of opposite position is # allowed. slowLinReg: interval: 1m window: 120 # allowOppositePosition if true, the creation of opposite position is allowed when both fast and slow LinReg are in # the opposite direction to main trend allowOppositePosition: true # fasterDecreaseRatio the quantity of decreasing position orders are multiplied by this ratio when both fast and # slow LinReg are in the opposite direction to main trend fasterDecreaseRatio: 2 # neutralBollinger is the smaller range of the bollinger band # If price is in this band, it usually means the price is oscillating. # If price goes out of this band, we tend to not place sell orders or buy orders neutralBollinger: interval: "15m" window: 21 bandWidth: 2.0 # tradeInBand: when tradeInBand is set, you will only place orders in the bollinger band. tradeInBand: true # spread is the price spread from the middle price. # For ask orders, the ask price is ((bestAsk + bestBid) / 2 * (1.0 + spread)) # For bid orders, the bid price is ((bestAsk + bestBid) / 2 * (1.0 - spread)) # Spread can be set by percentage or floating number. e.g., 0.1% or 0.001 spread: 0.1% # dynamicSpread enables the automatic adjustment to bid and ask spread. # Overrides Spread, BidSpread, and AskSpread dynamicSpread: amplitude: # delete other scaling strategy if this is defined # window is the window of the SMAs of spreads window: 1 interval: "1m" askSpreadScale: byPercentage: # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale exp: # from down to up domain: [ 0.0001, 0.005 ] # the spread range range: [ 0.001, 0.002 ] bidSpreadScale: byPercentage: # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale exp: # from down to up domain: [ 0.0001, 0.005 ] # the spread range range: [ 0.001, 0.002 ] # maxExposurePosition is the maximum position you can hold # 10 means you can hold 10 ETH long/short position by maximum #maxExposurePosition: 10 # dynamicExposure is used to define the exposure position range with the given percentage. # When DynamicExposure is set, your MaxExposurePosition will be calculated dynamically dynamicExposure: bollBandExposure: interval: "1h" window: 21 bandWidth: 2.0 dynamicExposurePositionScale: byPercentage: # exp means we want to use exponential scale, you can replace "exp" with "linear" for linear scale exp: # from lower band -100% (-1) to upper band 100% (+1) domain: [ -1, 1 ] # when in down band, holds 0.1 by maximum # when in up band, holds 1 by maximum range: [ 0.1, 1 ] # quantity is the base order quantity for your buy/sell order. quantity: 0.001 # amount: fixed amount instead of qty #amount: 10 # useDynamicQuantityAsAmount calculates amount instead of quantity useDynamicQuantityAsAmount: false # dynamicQuantityIncrease calculates the increase position order quantity dynamically dynamicQuantityIncrease: - linRegDynamicQuantity: quantityLinReg: interval: 1m window: 20 dynamicQuantityLinRegScale: byPercentage: linear: domain: [ -0.0001, 0.00005 ] range: [ 0, 0.02 ] # dynamicQuantityDecrease calculates the decrease position order quantity dynamically dynamicQuantityDecrease: - linRegDynamicQuantity: quantityLinReg: interval: 1m window: 20 dynamicQuantityLinRegScale: byPercentage: linear: domain: [ -0.00005, 0.0001 ] range: [ 0.02, 0 ] # minProfitSpread is the minimal order price spread from the current average cost. # For long position, you will only place sell order above the price (= average cost * (1 + minProfitSpread)) # For short position, you will only place buy order below the price (= average cost * (1 - minProfitSpread)) minProfitSpread: 0.1% # minProfitActivationRate activates MinProfitSpread when position RoI higher than the specified percentage minProfitActivationRate: -10% exits: # roiStopLoss is the stop loss percentage of the position ROI (currently the price change) - roiStopLoss: percentage: 30%