-
Notifications
You must be signed in to change notification settings - Fork 442
Included live configs are found in configs/live/name.json
config_name
arbitrary name given to config
logging_level
set to 0, no logging. set to 1, logs positions, open orders, order creations, order cancellations to logs/{exchange}/{config_name}.log
min_span/max_span/n_spans
Bot uses exponential moving averages EMAs to limit entries and stop losses.
EMAs are not based on OHLCVs, but on raw trades, or "ticks"
EMA is defined as
ema = prev_ema * (1 - alpha) + tick_price * alpha
where
alpha = 2 / (span + 1)
Fastest EMA is given by min_span, slowest EMA is given by max_span, and n_spans gives how many EMAs.
long/shrt
Config parameters for long and short are separated.
enabled
Set to false to disable long/shrt
all MAr_coeffs
Selected parameters may be modified by ratios between EMAs of different spans.
More details may come later.
iqty_const
Initial quantity percentage of balance.
Initial entry quantity is defined as balance_ito_contracts * iqty_const
E.g. if balance is $200 and iqty_const = 0.03, cost of initial entry will be at least 200 * 0.03 == $6
iprc_const
An upper and a lower band of EMAs are made by taking min(EMAs) and max(EMAs), respectively.
Initial long entry price is lower_EMA_band * iprc_const and initial shrt entry price is upper_EMA_band * iprc_const
For example, if EMAs = [33.4, 32.1, 32.9], upper band is 33.4 and lower band is 32.1.
If shrt_iprc_const = 1.005, shrt_entry_price = 33.4 * 1.005 == 33.567
rqty_const
Reentry quantity is initial entry quantity plus position size times rqty_const
rprc_const
Long reentry price is min(initial_long_entry_price, long_position_price * long_rprc_const)
Short reentry price is max(initial_shrt_entry_price, shrt_position_price * shrt_rprc_const)
markup_const
Bot closes entire position at static position_price * markup_const
pbr_limit
pbr is position_cost / balance, where position_cost is position_size / position_price if inverse, otherwise position_size * position_price
A position's cost may not be greater than pbr_limit + pbr_stop_loss.
pbr_stop_loss
Specifies how much a position's cost may overstep its pbr_limit.
Bot will partially close position at a loss if position_cost / balance is greater than pbr_limit.
exchange
binance or bybit
user
set your account name here, needed to fetch ticks
symbol
symbol to backtest. note differences between USDT margined symbols (ends with USDT) and inverse symbols (ends with USD). also note difference between binance inverse perpetual and inverse futures (e.g. ETHUSD_PERP or ETHUSD_210625)
latency_simulation_ms
simulate latency between bot and exchange
starting_balance
starting balance in margin token (USDT in linear markets, coin in inverse markets)
start_date/end_date
timeframe to backtest
pso options
particle swarm optimization options
iters: n backtests
num_cpus: max n cpus for parallel testing
options: c1, c2, w. pso specific options, see for example https://pymoo.org/algorithms/pso.html for more info
n_particles: n particles, see above link for more info
minimum_bankruptcy_distance
optimizer will penalize configs whose bankruptcy in backtests came closer than given threshold
minimum_equity_balance_ratio
optimizer will penalize configs whose equity / balance ratio in backtests came closer than given threshold
minimum_slice_adg
more info may be added
max_n_hours_between_fills
optimizer will penalize configs whose max duration between consecutive fills in backtest was higher than given threshold
ranges
search space for each tunable parameter. if min and max are equal, parameter is fixed and not tuned.