mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
140 lines
3.8 KiB
YAML
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
|