mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-25 16:25:16 +00:00
106 lines
2.4 KiB
YAML
106 lines
2.4 KiB
YAML
---
|
|
persistence:
|
|
redis:
|
|
host: 127.0.0.1
|
|
port: 6379
|
|
db: 0
|
|
|
|
sessions:
|
|
binance:
|
|
exchange: binance
|
|
futures: false
|
|
envVarPrefix: binance
|
|
heikinAshi: false
|
|
|
|
# Drift strategy intends to place buy/sell orders as much value mas it could be. To exchanges that requires to
|
|
# calculate fees before placing limit orders (e.g. FTX Pro), make sure the fee rate is configured correctly and
|
|
# enable modifyOrderAmountForFee to prevent order rejection.
|
|
makerFeeRate: 0.0002
|
|
takerFeeRate: 0.0007
|
|
modifyOrderAmountForFee: false
|
|
|
|
exchangeStrategies:
|
|
|
|
- on: binance
|
|
drift:
|
|
canvasPath: "./output.png"
|
|
symbol: ETHBUSD
|
|
# kline interval for indicators
|
|
interval: 15m
|
|
window: 2
|
|
stoploss: 4.3%
|
|
source: close
|
|
predictOffset: 2
|
|
noTrailingStopLoss: true
|
|
trailingStopLossType: kline
|
|
# stddev on high/low-source
|
|
hlVarianceMultiplier: 0.1
|
|
hlRangeWindow: 5
|
|
window1m: 49
|
|
smootherWindow1m: 80
|
|
fisherTransformWindow1m: 74
|
|
smootherWindow: 3
|
|
fisherTransformWindow: 160
|
|
atrWindow: 14
|
|
# orders not been traded will be canceled after `pendingMinutes` minutes
|
|
pendingMinutes: 10
|
|
noRebalance: true
|
|
trendWindow: 12
|
|
rebalanceFilter: 1.5
|
|
|
|
trailingActivationRatio: [0.003]
|
|
trailingCallbackRate: [0.0006]
|
|
driftFilterPos: 1.2
|
|
driftFilterNeg: -1.2
|
|
ddriftFilterPos: 0.4
|
|
ddriftFilterNeg: -0.4
|
|
|
|
generateGraph: true
|
|
graphPNLDeductFee: true
|
|
graphPNLPath: "./pnl.png"
|
|
graphCumPNLPath: "./cumpnl.png"
|
|
#exits:
|
|
#- roiStopLoss:
|
|
# percentage: 0.8%
|
|
#- roiTakeProfit:
|
|
# percentage: 35%
|
|
#- protectiveStopLoss:
|
|
# activationRatio: 0.6%
|
|
# stopLossRatio: 0.1%
|
|
# placeStopOrder: false
|
|
#- 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:
|
|
- ETHBUSD
|
|
|
|
backtest:
|
|
startTime: "2022-01-01"
|
|
endTime: "2022-08-30"
|
|
symbols:
|
|
- ETHBUSD
|
|
sessions: [binance]
|
|
accounts:
|
|
binance:
|
|
makerFeeRate: 0.0000
|
|
#takerFeeRate: 0.00001
|
|
balances:
|
|
ETH: 10
|
|
BUSD: 5000.0
|