mirror of
https://github.com/c9s/bbgo.git
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106 lines
2.4 KiB
YAML
106 lines
2.4 KiB
YAML
---
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persistence:
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sessions:
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binance:
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exchange: binance
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futures: false
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envVarPrefix: binance
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heikinAshi: false
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# Drift strategy intends to place buy/sell orders as much value mas it could be. To exchanges that requires to
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# calculate fees before placing limit orders (e.g. FTX Pro), make sure the fee rate is configured correctly and
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# enable modifyOrderAmountForFee to prevent order rejection.
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makerFeeRate: 0.0002
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takerFeeRate: 0.0007
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modifyOrderAmountForFee: false
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exchangeStrategies:
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- on: binance
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drift:
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canvasPath: "./output.png"
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symbol: ETHBUSD
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# kline interval for indicators
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interval: 15m
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window: 2
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stoploss: 4.3%
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source: close
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predictOffset: 2
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noTrailingStopLoss: true
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trailingStopLossType: kline
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# stddev on high/low-source
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hlVarianceMultiplier: 0.1
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hlRangeWindow: 5
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window1m: 49
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smootherWindow1m: 80
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fisherTransformWindow1m: 74
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smootherWindow: 3
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fisherTransformWindow: 160
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atrWindow: 14
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# orders not been traded will be canceled after `pendingMinutes` minutes
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pendingMinutes: 10
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noRebalance: true
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trendWindow: 12
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rebalanceFilter: 1.5
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trailingActivationRatio: [0.003]
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trailingCallbackRate: [0.0006]
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driftFilterPos: 1.2
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driftFilterNeg: -1.2
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ddriftFilterPos: 0.4
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ddriftFilterNeg: -0.4
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generateGraph: true
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graphPNLDeductFee: true
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graphPNLPath: "./pnl.png"
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graphCumPNLPath: "./cumpnl.png"
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#exits:
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#- roiStopLoss:
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# percentage: 0.8%
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#- roiTakeProfit:
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# percentage: 35%
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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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#- protectiveStopLoss:
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# activationRatio: 5%
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# stopLossRatio: 1%
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# placeStopOrder: false
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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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#- protectiveStopLoss:
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# activationRatio: 2%
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# stopLossRatio: 1%
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# placeStopOrder: false
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sync:
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userDataStream:
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trades: true
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filledOrders: true
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sessions:
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- binance
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symbols:
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- ETHBUSD
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backtest:
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startTime: "2022-01-01"
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endTime: "2022-08-30"
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symbols:
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- ETHBUSD
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sessions: [binance]
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accounts:
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binance:
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makerFeeRate: 0.0000
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#takerFeeRate: 0.00001
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balances:
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ETH: 10
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BUSD: 5000.0
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