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Merge pull request #515 from enarjord/v7.3.14_flags
- replaces coin flags with coin overrides - adds coin overrides to backtest - adds safeguards to prevent bot making duplicate orders - up ccxt version to 4.4.96 - allow selecting subset of objectives for pareto front when using src/pareto.py - remove mimic_backtest_1m_delay feature from live bot - other fixes and improvements
2 parents 6f922e5 + a2b9e8b commit 8ea32fa

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+3077
-4113
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‎README.md‎

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:warning: **Used at one's own risk** :warning:
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v7.3.13
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v7.3.14
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## Overview

‎configs/approved_coins_top23mcap.json‎

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["BTC", "ETH", "XRP", "BNB", "SOL", "TRX", "DOGE", "ADA", "HYPE", "SUI", "BCH", "LINK", "AVAX", "XLM", "TON", "SHIB", "LTC", "HBAR", "XMR", "BGB", "DOT", "UNI", "AAVE"]

‎configs/examples/BTC_ETH_XRP_SOL_ADA_long.json‎

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"gap_tolerance_ohlcvs_minutes": 120,
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"start_date": "2020-04-01",
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"starting_balance": 100000,
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"use_btc_collateral": true},
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"bot": {"long": {"close_grid_markup_range": 0.004572,
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"close_grid_min_markup": 0.002637,
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"close_grid_qty_pct": 0.8017,
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"close_trailing_grid_ratio": -0.009137,
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"close_trailing_qty_pct": 0.716,
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"close_trailing_retracement_pct": 0.05841,
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"close_trailing_threshold_pct": 0.005497,
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"ema_span_0": 359.3,
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"ema_span_1": 1364,
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"use_btc_collateral": false},
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"bot": {"long": {"close_grid_markup_end": 0.001776,
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"close_grid_markup_start": 0.01173,
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"close_grid_qty_pct": 0.6822,
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"close_trailing_grid_ratio": -0.1943,
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"close_trailing_qty_pct": 0.8463,
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"close_trailing_retracement_pct": 0.03483,
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"close_trailing_threshold_pct": 0.0448,
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"ema_span_0": 1261,
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"ema_span_1": 245.4,
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"enforce_exposure_limit": true,
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"entry_grid_double_down_factor": 1.692,
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"entry_grid_spacing_pct": 0.02693,
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"entry_grid_spacing_weight": 0.3481,
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"entry_initial_ema_dist": -0.09506,
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"entry_initial_qty_pct": 0.006114,
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"entry_trailing_double_down_factor": 1.686,
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"entry_trailing_grid_ratio": -0.01071,
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"entry_trailing_retracement_pct": 0.09015,
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"entry_trailing_threshold_pct": 0.06711,
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"filter_noisiness_rolling_window": 10.0,
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"filter_volume_drop_pct": 0.5,
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"filter_volume_rolling_window": 360,
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"n_positions": 5,
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"total_wallet_exposure_limit": 2,
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"unstuck_close_pct": 0.007887,
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"unstuck_ema_dist": -0.07748,
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"unstuck_loss_allowance_pct": 0.01884,
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"unstuck_threshold": 0.4216},
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"short": {"close_grid_markup_range": 0,
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"close_grid_min_markup": 0.001,
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"entry_grid_double_down_factor": 2.036,
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"entry_grid_spacing_pct": 0.02686,
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"entry_grid_spacing_weight": 0.1112,
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"entry_initial_ema_dist": -0.09716,
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"entry_initial_qty_pct": 0.007674,
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"entry_trailing_double_down_factor": 1.543,
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"entry_trailing_grid_ratio": -0.02016,
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"entry_trailing_retracement_pct": 0.02493,
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"entry_trailing_threshold_pct": 0.04925,
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"filter_noisiness_rolling_window": 162.1,
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"filter_volume_drop_pct": 0.7968,
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"filter_volume_rolling_window": 2605,
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"n_positions": 4.528,
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"total_wallet_exposure_limit": 1.908,
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"unstuck_close_pct": 0.06182,
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"unstuck_ema_dist": -0.07028,
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"unstuck_loss_allowance_pct": 0.01812,
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"unstuck_threshold": 0.447},
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"short": {"close_grid_markup_end": 0.001,
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"close_grid_markup_start": 0.001,
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"close_grid_qty_pct": 0.05,
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"close_trailing_grid_ratio": 0,
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"close_trailing_grid_ratio": -1,
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"close_trailing_qty_pct": 0.05,
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"close_trailing_retracement_pct": 0.0001,
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"close_trailing_threshold_pct": 0,
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"close_trailing_threshold_pct": -0.01,
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"ema_span_0": 200,
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"ema_span_1": 200,
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"enforce_exposure_limit": true,
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"entry_grid_double_down_factor": 0.01,
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"entry_grid_spacing_pct": 0.001,
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"entry_grid_spacing_weight": 0,
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"entry_initial_ema_dist": 0,
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"entry_initial_ema_dist": -0.1,
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"entry_initial_qty_pct": 0.004,
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"entry_trailing_double_down_factor": 0.01,
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"entry_trailing_grid_ratio": 0,
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"entry_trailing_grid_ratio": -1,
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"entry_trailing_retracement_pct": 0.0001,
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"entry_trailing_threshold_pct": 0,
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"entry_trailing_threshold_pct": -0.01,
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"filter_noisiness_rolling_window": 10,
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"filter_volume_drop_pct": 0.5,
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"filter_volume_rolling_window": 360,
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"n_positions": 0,
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"total_wallet_exposure_limit": 0.01,
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"total_wallet_exposure_limit": 0,
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"unstuck_close_pct": 0.001,
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"unstuck_ema_dist": 0,
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"unstuck_ema_dist": -0.1,
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"unstuck_loss_allowance_pct": 0.001,
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"unstuck_threshold": 0.4}},
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"live": {"approved_coins": {"long": ["BTC", "ETH", "XRP", "ADA", "SOL"],
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"short": ["BTC", "ETH", "XRP", "ADA", "SOL"]},
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"live": {"approved_coins": {"long": ["ADA", "ETH", "BTC", "SOL", "XRP"],
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"short": ["ADA", "ETH", "BTC", "SOL", "XRP"]},
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"auto_gs": true,
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"coin_flags": {},
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"empty_means_all_approved": true,
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"max_n_cancellations_per_batch": 5,
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"max_n_creations_per_batch": 3,
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"max_n_restarts_per_day": 10,
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"minimum_coin_age_days": 450,
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"mimic_backtest_1m_delay": false,
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"minimum_coin_age_days": 365,
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"ohlcvs_1m_rolling_window_days": 4,
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"ohlcvs_1m_update_after_minutes": 10,
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"pnls_max_lookback_days": 30,
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"price_distance_threshold": 0.002,
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"time_in_force": "good_till_cancelled",
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"user": "bybit_01"},
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"optimize": {"bounds": {"long_close_grid_markup_range": [0, 0.03],
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"long_close_grid_min_markup": [0.001, 0.03],
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"optimize": {"bounds": {"long_close_grid_markup_end": [0.001, 0.03],
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"long_close_grid_markup_start": [0.001, 0.03],
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"long_close_grid_qty_pct": [0.05, 1],
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"long_close_trailing_grid_ratio": [-1, 1],
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"long_close_trailing_qty_pct": [0.05, 1],
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"long_close_trailing_retracement_pct": [0.0001, 0.1],
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"long_close_trailing_threshold_pct": [-0.01, 0.1],
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"long_ema_span_0": [200, 1440],
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"long_ema_span_1": [200, 1440],
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"long_entry_grid_double_down_factor": [0.01, 3],
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"long_entry_grid_double_down_factor": [0.01, 4],
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"long_entry_grid_spacing_pct": [0.001, 0.06],
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"long_entry_grid_spacing_weight": [0, 10],
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"long_entry_initial_ema_dist": [-0.1, 0.003],
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"long_entry_initial_qty_pct": [0.004, 0.02],
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"long_entry_trailing_double_down_factor": [0.01, 3],
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"long_entry_trailing_double_down_factor": [0.01, 4],
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"long_entry_trailing_grid_ratio": [-1, 1],
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"long_entry_trailing_retracement_pct": [0.0001, 0.1],
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"long_entry_trailing_threshold_pct": [-0.01, 0.1],
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"long_filter_noisiness_rolling_window": [10, 360],
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"long_filter_rolling_window": [10, 360],
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"long_filter_volume_drop_pct": [0.5, 1],
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"long_filter_volume_rolling_window": [360, 2880],
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"long_n_positions": [2, 5],
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"long_total_wallet_exposure_limit": [0.01, 2],
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"long_n_positions": [1, 5],
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"long_total_wallet_exposure_limit": [0.3, 2],
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"long_unstuck_close_pct": [0.001, 0.1],
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"long_unstuck_ema_dist": [-0.1, 0.01],
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"long_unstuck_loss_allowance_pct": [0.001, 0.05],
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"long_unstuck_threshold": [0.4, 0.95],
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"short_close_grid_markup_range": [0, 0.03],
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"short_close_grid_min_markup": [0.001, 0.03],
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"short_close_grid_markup_end": [0.001, 0.03],
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"short_close_grid_markup_start": [0.001, 0.03],
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"short_close_grid_qty_pct": [0.05, 1],
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"short_close_trailing_grid_ratio": [-1, 1],
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"short_close_trailing_qty_pct": [0.05, 1],
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"short_close_trailing_retracement_pct": [0.0001, 0.1],
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"short_close_trailing_threshold_pct": [-0.01, 0.1],
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"short_ema_span_0": [200, 1440],
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"short_ema_span_1": [200, 1440],
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"short_entry_grid_double_down_factor": [0.01, 3],
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"short_entry_grid_double_down_factor": [0.01, 4],
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"short_entry_grid_spacing_pct": [0.001, 0.06],
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"short_entry_grid_spacing_weight": [0, 10],
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"short_entry_initial_ema_dist": [-0.1, 0.003],
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"short_entry_initial_qty_pct": [0.004, 0.02],
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"short_entry_trailing_double_down_factor": [0.01, 3],
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"short_entry_trailing_double_down_factor": [0.01, 4],
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"short_entry_trailing_grid_ratio": [-1, 1],
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"short_entry_trailing_retracement_pct": [0.0001, 0.1],
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"short_entry_trailing_threshold_pct": [-0.01, 0.1],
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"short_filter_noisiness_rolling_window": [10, 360],
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"short_filter_rolling_window": [10, 360],
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"short_filter_volume_drop_pct": [0.5, 1],
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"short_filter_volume_rolling_window": [360, 2880],
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"short_n_positions": [0, 0],
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"short_total_wallet_exposure_limit": [0.01, 2],
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"short_total_wallet_exposure_limit": [0, 0],
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"short_unstuck_close_pct": [0.001, 0.1],
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"short_unstuck_ema_dist": [-0.1, 0.01],
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"short_unstuck_loss_allowance_pct": [0.001, 0.05],
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"short_unstuck_threshold": [0.4, 0.95]},
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"compress_results_file": true,
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"crossover_probability": 0.7,
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"crossover_probability": 0.64,
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"enable_overrides": [],
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"iters": 300000,
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"limits": {"drawdown_worst": 0.3333},
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"mutation_probability": 0.2,
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"limits": {"drawdown_worst": 0.4},
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"mutation_probability": 0.34,
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"n_cpus": 5,
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"population_size": 1000,
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"round_to_n_significant_digits": 4,
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"scoring": ["btc_adg_w", "btc_mdg_w", "btc_omega_ratio_w"],
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"write_all_results": true}}
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"scoring": ["adg_w",
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"mdg_w",
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"omega_ratio",
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"position_unchanged_hours_max",
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"sterling_ratio"],
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"write_all_results": false}}

‎configs/examples/btc_long.json‎

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"start_date": "2020-04-01",
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"starting_balance": 100000,
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"use_btc_collateral": true},
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"bot": {"long": {"close_grid_markup_end": 0.01754,
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"close_grid_markup_start": 0.01959,
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"close_grid_qty_pct": 0.4406,
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"close_trailing_grid_ratio": 0.9476,
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"close_trailing_qty_pct": 0.5662,
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"close_trailing_retracement_pct": 0.0003578,
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"close_trailing_threshold_pct": 0.002069,
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"ema_span_0": 206.3,
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"ema_span_1": 718.5,
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"bot": {"long": {"close_grid_markup_end": 0.001312,
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"close_grid_markup_start": 0.006145,
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"close_grid_qty_pct": 0.4778,
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"close_trailing_grid_ratio": -0.2575,
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"close_trailing_qty_pct": 0.6774,
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"close_trailing_retracement_pct": 0.07534,
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"close_trailing_threshold_pct": 0.01194,
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"ema_span_0": 1065,
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"ema_span_1": 813.7,
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"enforce_exposure_limit": true,
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"entry_grid_double_down_factor": 3.678,
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"entry_grid_spacing_pct": 0.01505,
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"entry_grid_spacing_weight": 4.019,
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"entry_initial_ema_dist": 0.00297,
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"entry_initial_qty_pct": 0.004931,
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"entry_trailing_double_down_factor": 0.4647,
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"entry_trailing_grid_ratio": -0.04499,
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"entry_trailing_retracement_pct": 0.001776,
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"entry_trailing_threshold_pct": 0.02659,
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"filter_noisiness_rolling_window": 133.5,
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"filter_volume_drop_pct": 0.7034,
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"filter_volume_rolling_window": 1628,
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"entry_grid_double_down_factor": 1.566,
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"entry_grid_spacing_pct": 0.0295,
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"entry_grid_spacing_weight": 0.04128,
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"entry_initial_ema_dist": -0.01057,
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"entry_initial_qty_pct": 0.01999,
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"entry_trailing_double_down_factor": 1.362,
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"entry_trailing_grid_ratio": -0.234,
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"entry_trailing_retracement_pct": 0.005083,
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"entry_trailing_threshold_pct": 0.009166,
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"filter_noisiness_rolling_window": 239.6,
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"filter_volume_drop_pct": 0,
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"filter_volume_rolling_window": 1226,
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"n_positions": 1,
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"total_wallet_exposure_limit": 8.735,
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"unstuck_close_pct": 0.002663,
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"unstuck_ema_dist": -0.06826,
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"unstuck_loss_allowance_pct": 0.00209,
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"unstuck_threshold": 0.5601},
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"total_wallet_exposure_limit": 6.409,
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"unstuck_close_pct": 0.03413,
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"unstuck_ema_dist": -0.0715,
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"unstuck_loss_allowance_pct": 0.01437,
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"unstuck_threshold": 0.5557},
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"short": {"close_grid_markup_end": 0.001,
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"close_grid_markup_start": 0.001,
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"close_grid_qty_pct": 0.05,
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"filter_volume_drop_pct": 0.5,
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"filter_volume_rolling_window": 360,
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"n_positions": 0,
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"total_wallet_exposure_limit": 0.01,
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"total_wallet_exposure_limit": 0,
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"unstuck_close_pct": 0.001,
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"unstuck_ema_dist": -0.1,
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"unstuck_loss_allowance_pct": 0.001,
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"unstuck_threshold": 0.4}},
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"coin_overrides": {},
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"live": {"approved_coins": {"long": ["BTC"], "short": ["BTC"]},
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"auto_gs": true,
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"coin_flags": {},
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"empty_means_all_approved": true,
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"execution_delay_seconds": 2,
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"filter_by_min_effective_cost": true,
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"max_n_cancellations_per_batch": 5,
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"max_n_creations_per_batch": 3,
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"max_n_restarts_per_day": 10,
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"mimic_backtest_1m_delay": false,
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"minimum_coin_age_days": 365,
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"ohlcvs_1m_rolling_window_days": 4,
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"ohlcvs_1m_update_after_minutes": 10,
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"long_entry_grid_spacing_pct": [0.001, 0.06],
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"long_entry_grid_spacing_weight": [0, 10],
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"long_entry_initial_ema_dist": [-0.1, 0.003],
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"long_entry_initial_qty_pct": [0.004, 0.02],
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"long_entry_initial_qty_pct": [0.01, 0.1],
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"long_entry_trailing_double_down_factor": [0.01, 4],
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"long_entry_trailing_grid_ratio": [-1, 1],
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"long_entry_trailing_retracement_pct": [0.0001, 0.1],
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"long_entry_trailing_threshold_pct": [-0.01, 0.1],
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"long_filter_noisiness_rolling_window": [10, 360],
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"long_filter_volume_drop_pct": [0.5, 1],
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"long_filter_volume_drop_pct": [0, 0],
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"long_filter_volume_rolling_window": [360, 2880],
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"long_n_positions": [1, 1],
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"long_total_wallet_exposure_limit": [0.5, 20],
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"long_total_wallet_exposure_limit": [2, 10],
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"long_unstuck_close_pct": [0.001, 0.1],
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"long_unstuck_ema_dist": [-0.1, 0.01],
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"long_unstuck_loss_allowance_pct": [0.001, 0.05],
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"short_filter_volume_drop_pct": [0.5, 1],
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"short_filter_volume_rolling_window": [360, 2880],
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"short_n_positions": [0, 0],
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"short_total_wallet_exposure_limit": [0.01, 2],
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"short_total_wallet_exposure_limit": [0, 0],
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"short_unstuck_close_pct": [0.001, 0.1],
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"short_unstuck_ema_dist": [-0.1, 0.01],
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"short_unstuck_loss_allowance_pct": [0.001, 0.05],
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"crossover_probability": 0.64,
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"enable_overrides": [],
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"iters": 300000,
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"limits": {"btc_drawdown_worst": 0.333,
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"loss_profit_ratio": 0.9,
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"position_unchanged_hours_max": 900},
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"limits": {"loss_profit_ratio": 0.65,
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"position_unchanged_hours_max": 336},
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"mutation_probability": 0.34,
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"n_cpus": 5,
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"population_size": 500,
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"round_to_n_significant_digits": 4,
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"scoring": ["btc_adg_w",
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"btc_mdg_w",
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"btc_sterling_ratio",
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"loss_profit_ratio"],
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"write_all_results": false}}
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"scoring": ["btc_adg_w", "btc_mdg", "btc_sterling_ratio"],
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"write_all_results": true}}

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