bbgo_origin/config/driftBTC.yaml
2022-10-03 14:00:18 +09:00

140 lines
3.8 KiB
YAML

---
persistence:
redis:
host: 127.0.0.1
port: 6379
db: 0
sessions:
binance:
exchange: binance
#futures: true
#margin: true
#isolatedMargin: true
#isolatedMarginSymbol: BTCUSDT
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:
limitOrder: true
#quantity: 0.0012
canvasPath: "./output.png"
symbol: BTCUSDT
# kline interval for indicators
interval: 1m
window: 6
useAtr: true
useStopLoss: true
stoploss: 0.05%
source: hl2
predictOffset: 2
noTrailingStopLoss: false
trailingStopLossType: kline
# stddev on high/low-source
hlVarianceMultiplier: 0.14
hlRangeWindow: 4
smootherWindow: 3
fisherTransformWindow: 125
#fisherTransformWindow: 117
atrWindow: 24
# orders not been traded will be canceled after `pendingMinutes` minutes
pendingMinutes: 10
noRebalance: true
trendWindow: 15
rebalanceFilter: -0.1
# ActivationRatio should be increasing order
# when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
#trailingActivationRatio: [0.01, 0.016, 0.05]
#trailingActivationRatio: [0.001, 0.0081, 0.022]
trailingActivationRatio: [0.0008, 0.002, 0.01]
#trailingActivationRatio: []
#trailingCallbackRate: []
#trailingCallbackRate: [0.002, 0.01, 0.1]
#trailingCallbackRate: [0.0004, 0.0009, 0.018]
trailingCallbackRate: [0.00014, 0.0003, 0.0016]
generateGraph: true
graphPNLDeductFee: false
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: "2022-09-25"
endTime: "2022-10-30"
symbols:
- BTCUSDT
sessions: [binance]
accounts:
binance:
makerFeeRate: 0.000
takerFeeRate: 0.000
balances:
BTC: 0
USDT: 49