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150 lines
4.8 KiB
YAML
150 lines
4.8 KiB
YAML
---
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sessions:
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binance:
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exchange: binance
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envVarPrefix: binance
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margin: true
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isolatedMargin: true
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isolatedMarginSymbol: ETHUSDT
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exchangeStrategies:
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- on: binance
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pivotshort:
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symbol: ETHUSDT
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# interval is the main pivot interval
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interval: 5m
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# window is the main pivot window
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window: 200
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quantity: 10.0
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# when quantity is not given, leverage will be used.
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# leverage: 10.0
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# breakLow settings are used for shorting when the current price break the previous low
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breakLow:
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# ratio is how much the price breaks the previous low to trigger the short.
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ratio: 0%
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# quantity is used for submitting the sell order
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# if quantity is not set, all base balance will be used for selling the short.
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quantity: 10.0
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# marketOrder submits the market sell order when the closed price is lower than the previous pivot low.
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# by default we will use market order
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marketOrder: true
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# limitOrder place limit order to open the short position instead of using market order
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# this is useful when your quantity or leverage is quiet large.
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limitOrder: false
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# limitOrderTakerRatio is the price ratio to adjust your limit order as a taker order. e.g., 0.1%
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# for sell order, 0.1% ratio means your final price = price * (1 - 0.1%)
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# for buy order, 0.1% ratio means your final price = price * (1 + 0.1%)
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# this is only enabled when the limitOrder option set to true
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limitOrderTakerRatio: 0
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# bounceRatio is used for calculating the price of the limit sell order.
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# it's ratio of pivot low bounce when a new pivot low is detected.
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# Sometimes when the price breaks the previous low, the price might be pulled back to a higher price.
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# The bounceRatio is useful for such case, however, you might also miss the chance to short at the price if there is no pull back.
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# Notice: When marketOrder is set, bounceRatio will not be used.
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# bounceRatio: 0.1%
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# stopEMA is the price range we allow short.
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# Short-allowed price range = [current price] > [EMA] * (1 - [stopEMARange])
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# Higher the stopEMARange than higher the chance to open a short
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stopEMA:
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interval: 1h
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window: 99
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range: 2%
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trendEMA:
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interval: 1d
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window: 7
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resistanceShort:
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enabled: true
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interval: 5m
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window: 80
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quantity: 10.0
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# minDistance is used to ignore the place that is too near to the current price
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minDistance: 5%
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groupDistance: 1%
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# ratio is the ratio of the resistance price,
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# higher the ratio, higher the sell price
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# first_layer_price = resistance_price * (1 + ratio)
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# second_layer_price = (resistance_price * (1 + ratio)) * (2 * layerSpread)
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ratio: 1.5%
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numOfLayers: 3
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layerSpread: 0.4%
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exits:
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# (0) roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
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- roiStopLoss:
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percentage: 0.8%
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# (1) roiTakeProfit is used to force taking profit by percentage of the position ROI (currently the price change)
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# force to take the profit ROI exceeded the percentage.
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- roiTakeProfit:
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percentage: 35%
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# (2) protective stop loss -- short term
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- protectiveStopLoss:
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activationRatio: 0.6%
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stopLossRatio: 0.1%
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placeStopOrder: false
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# (3) protective stop loss -- long term
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- protectiveStopLoss:
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activationRatio: 5%
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stopLossRatio: 1%
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placeStopOrder: false
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# (4) lowerShadowTakeProfit is used to taking profit when the (lower shadow height / low price) > lowerShadowRatio
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# you can grab a simple stats by the following SQL:
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# 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;
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- lowerShadowTakeProfit:
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interval: 30m
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window: 99
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ratio: 3%
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# (5) cumulatedVolumeTakeProfit is used to take profit when the cumulated quote volume from the klines exceeded a threshold
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- cumulatedVolumeTakeProfit:
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interval: 5m
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window: 2
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minQuoteVolume: 200_000_000
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- trailingStop:
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callbackRate: 3%
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# activationRatio is relative to the average cost,
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# when side is buy, 1% means lower 1% than the average cost.
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# when side is sell, 1% means higher 1% than the average cost.
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activationRatio: 40%
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# minProfit uses the position ROI to calculate the profit ratio
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# minProfit: 1%
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interval: 1m
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side: buy
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closePosition: 100%
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backtest:
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sessions:
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- binance
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startTime: "2022-01-01"
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endTime: "2022-06-18"
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symbols:
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- ETHUSDT
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accounts:
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binance:
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balances:
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ETH: 10.0
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USDT: 5000.0
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