bbgo_origin/config/pivotshort.yaml
2022-07-13 11:09:57 +08:00

130 lines
4.1 KiB
YAML

---
sessions:
binance:
exchange: binance
envVarPrefix: binance
margin: true
# isolatedMargin: true
# isolatedMarginSymbol: ETHUSDT
exchangeStrategies:
- on: binance
pivotshort:
symbol: ETHUSDT
# interval is the main pivot interval
interval: 5m
# window is the main pivot window
window: 200
# breakLow settings are used for shorting when the current price break the previous low
breakLow:
# ratio is how much the price breaks the previous low to trigger the short.
ratio: 0%
# quantity is used for submitting the sell order
# if quantity is not set, all base balance will be used for selling the short.
quantity: 10.0
# marketOrder submits the market sell order when the closed price is lower than the previous pivot low.
marketOrder: true
# bounceRatio is used for calculating the price of the limit sell order.
# it's ratio of pivot low bounce when a new pivot low is detected.
# Sometimes when the price breaks the previous low, the price might be pulled back to a higher price.
# 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.
# Notice: When marketOrder is set, bounceRatio will not be used.
# bounceRatio: 0.1%
# stopEMARange is the price range we allow short.
# Short-allowed price range = [current price] > [EMA] * (1 - [stopEMARange])
# Higher the stopEMARange than higher the chance to open a short
stopEMARange: 2%
stopEMA:
interval: 1h
window: 99
resistanceShort:
enabled: true
interval: 5m
window: 80
quantity: 10.0
# minDistance is used to ignore the place that is too near to the current price
minDistance: 5%
groupDistance: 1%
# ratio is the ratio of the resistance price,
# higher the ratio, higher the sell price
# first_layer_price = resistance_price * (1 + ratio)
# second_layer_price = (resistance_price * (1 + ratio)) * (2 * layerSpread)
ratio: 1.5%
numOfLayers: 3
layerSpread: 0.4%
exits:
# (0) roiStopLoss is the stop loss percentage of the position ROI (currently the price change)
- roiStopLoss:
percentage: 0.8%
# (1) 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: 35%
# (2) protective stop loss -- short term
- protectiveStopLoss:
activationRatio: 0.6%
stopLossRatio: 0.1%
placeStopOrder: false
# (3) protective stop loss -- long term
- protectiveStopLoss:
activationRatio: 5%
stopLossRatio: 1%
placeStopOrder: false
# (4) 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:
interval: 30m
window: 99
ratio: 3%
# (5) cumulatedVolumeTakeProfit is used to take profit when the cumulated quote volume from the klines exceeded a threshold
- cumulatedVolumeTakeProfit:
interval: 5m
window: 2
minQuoteVolume: 200_000_000
- trailingStop:
callbackRate: 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: 40%
# minProfit uses the position ROI to calculate the profit ratio
# minProfit: 1%
interval: 1m
side: buy
closePosition: 100%
backtest:
sessions:
- binance
startTime: "2022-01-01"
endTime: "2022-06-18"
symbols:
- ETHUSDT
accounts:
binance:
balances:
ETH: 10.0
USDT: 5000.0