mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-14 02:53:50 +00:00
64 lines
1.7 KiB
YAML
64 lines
1.7 KiB
YAML
---
|
|
sessions:
|
|
binance:
|
|
exchange: binance
|
|
envVarPrefix: binance
|
|
margin: true
|
|
isolatedMargin: true
|
|
isolatedMarginSymbol: GMTBUSD
|
|
# futures: true
|
|
|
|
exchangeStrategies:
|
|
- on: binance
|
|
pivotshort:
|
|
symbol: GMTBUSD
|
|
interval: 5m
|
|
window: 120
|
|
|
|
entry:
|
|
immediate: true
|
|
catBounceRatio: 1%
|
|
quantity: 20
|
|
numLayers: 3
|
|
marginOrderSideEffect: borrow
|
|
|
|
exits:
|
|
# roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
|
|
- roiStopLoss:
|
|
percentage: 2%
|
|
|
|
# roiTakeProfit is used to force taking profit by percentage of the position ROI (currently the price change)
|
|
# force to take the profit ROI exceeded the percentage.
|
|
- roiTakeProfit:
|
|
percentage: 30%
|
|
|
|
- protectiveStopLoss:
|
|
activationRatio: 1%
|
|
stopLossRatio: 0.2%
|
|
placeStopOrder: true
|
|
|
|
# lowerShadowTakeProfit is used to taking profit when the (lower shadow height / low price) > lowerShadowRatio
|
|
# you can grab a simple stats by the following SQL:
|
|
# 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;
|
|
- lowerShadowTakeProfit:
|
|
ratio: 3%
|
|
|
|
# cumulatedVolumeTakeProfit is used to take profit when the cumulated quote volume from the klines exceeded a threshold
|
|
- cumulatedVolumeTakeProfit:
|
|
minQuoteVolume: 90_000_000
|
|
window: 5
|
|
|
|
|
|
backtest:
|
|
sessions:
|
|
- binance
|
|
startTime: "2022-05-25"
|
|
endTime: "2022-06-03"
|
|
symbols:
|
|
- GMTBUSD
|
|
accounts:
|
|
binance:
|
|
balances:
|
|
GMT: 3_000.0
|
|
USDT: 3_000.0
|