mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
124 lines
3.2 KiB
YAML
124 lines
3.2 KiB
YAML
---
|
|
persistence:
|
|
redis:
|
|
host: 127.0.0.1
|
|
port: 6379
|
|
db: 0
|
|
|
|
sessions:
|
|
binance:
|
|
exchange: binance
|
|
futures: false
|
|
envVarPrefix: binance
|
|
heikinAshi: false
|
|
|
|
exchangeStrategies:
|
|
|
|
- on: binance
|
|
drift:
|
|
canvasPath: "./output.png"
|
|
symbol: BTCUSDT
|
|
# kline interval for indicators
|
|
interval: 15m
|
|
window: 2
|
|
stoploss: 0.2%
|
|
source: close
|
|
predictOffset: 2
|
|
noTrailingStopLoss: false
|
|
trailingStopLossType: kline
|
|
# stddev on high/low-source
|
|
hlVarianceMultiplier: 0.23
|
|
hlRangeWindow: 5
|
|
smootherWindow: 1
|
|
fisherTransformWindow: 9
|
|
# the init value of takeProfitFactor Series, the coefficient of ATR as TP
|
|
takeProfitFactor: 1.2
|
|
profitFactorWindow: 5
|
|
atrWindow: 12
|
|
# orders not been traded will be canceled after `pendingMinutes` minutes
|
|
pendingMinutes: 3
|
|
noRebalance: true
|
|
trendWindow: 12
|
|
rebalanceFilter: 3
|
|
|
|
# ActivationRatio should be increasing order
|
|
# when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
|
|
#trailingActivationRatio: [0.007, 0.015, 0.02, 0.05]
|
|
trailingActivationRatio: [0.007, 0.011]
|
|
#trailingCallbackRate: [0.005, 0.003, 0.002, 0.001]
|
|
trailingCallbackRate: [0.002, 0.001]
|
|
|
|
generateGraph: true
|
|
graphPNLDeductFee: true
|
|
graphPNLPath: "./pnl.png"
|
|
graphCumPNLPath: "./cumpnl.png"
|
|
#exits:
|
|
#- roiStopLoss:
|
|
# percentage: 0.35%
|
|
#- roiTakeProfit:
|
|
#percentage: 0.7%
|
|
#- protectiveStopLoss:
|
|
# activationRatio: 0.5%
|
|
# stopLossRatio: 0.2%
|
|
# placeStopOrder: false
|
|
#- trailingStop:
|
|
# callbackRate: 0.3%
|
|
# activationRatio is relative to the average cost,
|
|
# when side is buy, 1% means lower 1% than the average cost.
|
|
# when side is sell, 1% means higher 1% than the average cost.
|
|
# activationRatio: 0.7%
|
|
# minProfit uses the position ROI to calculate the profit ratio
|
|
|
|
# minProfit: 1.5%
|
|
# interval: 1m
|
|
# side: sell
|
|
# closePosition: 100%
|
|
|
|
#- trailingStop:
|
|
# callbackRate: 0.3%
|
|
# activationRatio is relative to the average cost,
|
|
# when side is buy, 1% means lower 1% than the average cost.
|
|
# when side is sell, 1% means higher 1% than the average cost.
|
|
# activationRatio: 0.7%
|
|
# minProfit uses the position ROI to calculate the profit ratio
|
|
|
|
# minProfit: 1.5%
|
|
# interval: 1m
|
|
# side: buy
|
|
# closePosition: 100%
|
|
#- protectiveStopLoss:
|
|
# activationRatio: 5%
|
|
# stopLossRatio: 1%
|
|
# placeStopOrder: false
|
|
#- cumulatedVolumeTakeProfit:
|
|
# interval: 5m
|
|
# window: 2
|
|
# minQuoteVolume: 200_000_000
|
|
#- protectiveStopLoss:
|
|
# activationRatio: 2%
|
|
# stopLossRatio: 1%
|
|
# placeStopOrder: false
|
|
|
|
sync:
|
|
userDataStream:
|
|
trades: true
|
|
filledOrders: true
|
|
sessions:
|
|
- binance
|
|
symbols:
|
|
- BTCUSDT
|
|
|
|
backtest:
|
|
startTime: "2022-01-01"
|
|
endTime: "2022-07-26"
|
|
symbols:
|
|
- BTCUSDT
|
|
sessions: [binance]
|
|
accounts:
|
|
binance:
|
|
makerFeeRate: 0.000
|
|
takerFeeRate: 0.00075
|
|
balances:
|
|
BTC: 1
|
|
USDT: 5000.0
|