intelligent-trading-bot/configs/config-mt5-sample-1h.jsonc

{
    "train": true,

    "venue": "mt5",
    
    "mt5_account_id": "<mt5-account-id>",
    "mt5_password": "<mt5-password>",
    "mt5_server": "<mt5-server>",

    "telegram_bot_token": "<token>",
    "telegram_chat_id": "<chat-id-to-publish-messages>",

    "data_folder": "C:/DATA_ITB",

    "symbol": "BTCUSD",

    "description": "BTCUSD 1h",

    "freq": "1h", // pandas frequency

    "label_horizon": 24,  // Batch/offline: do not use these last rows because their labels might not be correct
    "features_horizon": 672, // Online/stream: Minimum data length for computing features (lookback). Take it from feature generator parameters
    "train_length": 0,  // Batch/offline: Uses this number of rows for training (if not additionally limited by the algorithm)
    "predict_length": 168,  // These records must be kept up-to-date (in contrast to those in feature horizon)
    "append_overlap_records": 5,  // Online/stream: These records will be requested and then re-computed on each iteration

    // === DOWNLOAD AND MERGE ===

    "data_sources": [
        {"folder": "BTCUSD", "file": "klines", "column_prefix": ""},
        {"folder": "BTCUSD", "file": "ticks", "column_prefix": "", "chunk_size": 10}, // you can also specify the chunk size, tick data not working yet, maybe it has something to do with the CHUNK SIZE
        {"folder": "EURUSD", "file": "klines", "column_prefix": ""},
        {"folder": "GBPUSD", "file": "klines", "column_prefix": ""}
    ],

    // === GENERATE FEATURES ===

    "feature_sets": [
        {"column_prefix": "", "generator": "talib", "feature_prefix": "", "config":  {"columns": ["close"], "functions": ["SMA"], "windows": [1, 3, 6, 12, 24, 168, 672]}},
        {"column_prefix": "", "generator": "talib", "feature_prefix": "", "config":  {"columns": ["close"], "functions": ["LINEARREG_SLOPE"], "windows": [3, 6, 12, 24, 168, 672]}},
        {"column_prefix": "", "generator": "talib", "feature_prefix": "", "config":  {"columns": ["close"], "functions": ["STDDEV"], "windows": [3, 6, 12, 24, 168, 672]}}
    ],

    // === LABELS ===

    "label_sets": [
        {"column_prefix": "", "generator": "highlow2", "feature_prefix": "", "config":  {"columns": ["close", "high", "low"], "function": "high", "thresholds": [3.0], "tolerance": 0.2, "horizon": 24, "names": ["high_30"]}},
        {"column_prefix": "", "generator": "highlow2", "feature_prefix": "", "config":  {"columns": ["close", "high", "low"], "function": "low", "thresholds": [3.0], "tolerance": 0.2, "horizon": 24, "names": ["low_30"]}}
    ],

    // === TRAIN ===

    "train_features": [
        "close_SMA_1", "close_SMA_3", "close_SMA_6", "close_SMA_12", "close_SMA_24", "close_SMA_168",
        "close_LINEARREG_SLOPE_3", "close_LINEARREG_SLOPE_6", "close_LINEARREG_SLOPE_12", "close_LINEARREG_SLOPE_24", "close_LINEARREG_SLOPE_168",
        "close_STDDEV_3", "close_STDDEV_6", "close_STDDEV_12", "close_STDDEV_24", "close_STDDEV_168"
    ],

    "labels": ["high_30", "low_30"],

    "train_feature_sets": [
    {
        "generator": "train_features", "config": {
        // Use values from the attributes: train_features, labels, algorithms
    }}
    ],

    "algorithms": [
        {
          "name": "svc",
          "algo": "svc",
          "params": {"is_scale": true, "length": 26280}, // 3 years 26280 hours, 5 years 43800 hours
          "train": {"C": 1.0}
        }
    ],

    // === GENERATE SIGNALS ===

    "signal_sets": [
        {
            // Combine two unsigned scores into one signed score
            "generator": "combine", "config": {
                "columns": ["high_30_svc", "low_30_svc"],  // 2 columns: with grow score and fall score
                "names": "trade_score",  // Output column name: positive values - buy, negative values - sell
                "combine": "difference", // "no_combine" (or empty), "relative", "difference"
                "coefficient": 1.0, "constant": 0.0  // Normalize
        }},
        {
            // Generate boolean buy-sell column depending on thresholds
            "generator": "threshold_rule", "config": {
                "columns": "trade_score",
                "names": ["buy_signal_column", "sell_signal_column"],  // Output boolean columns
                "parameters": {
                    "buy_signal_threshold": 0.08,
                    "sell_signal_threshold": -0.08
                }
        }}
    ],

    // === OUTPUTS ===

    "output_sets": [
        {"generator": "score_notification_model", "config": {
            "score_notification": true,
            "score_column_names": ["trade_score"],
            "notify_band_up": true,
            "notify_band_dn": true,
            "positive_bands": [
                {"edge": 0.08, "frequency": null, "sign": "〉〉〉📈", "bold": true, "text": "BUY ZONE"},
                {"edge": 0.04, "frequency": null, "sign": "〉〉", "bold": false, "text": "strong"},
                {"edge": 0.02, "frequency": null, "sign": "〉", "text": "weak"}
            ],
            "negative_bands": [
                {"edge": -0.02, "frequency": null, "sign": "〈", "text": "weak"},
                {"edge": -0.04, "frequency": null, "sign": "〈〈", "bold": false, "text": "strong"},
                {"edge": -0.08, "frequency": null, "sign": "〈〈〈📉", "bold": true, "text": "SELL ZONE"}
            ]
        }},
        {"generator": "diagram_notification_model", "config": {
            // Regularly sending historic data with prices, scores and buy-sell trade decisions
            "diagram_notification": true,
            "notification_freq": "1D",

            "score_column_names": "trade_score",
            "score_thresholds":[-0.08, 0.08],

            // 5 minutes aggregation and this number of 5 minute intervals
            "resampling_freq": "1h", "nrows": 168
        }},
        {"generator": "trader_simulation", "config": {
            "buy_signal_column":"buy_signal_column",
            "sell_signal_column": "sell_signal_column"
        }}
    ],

    // === FINDING BEST TRADE PARAMETERS ===

    "simulate_model": {
        "data_start": 0,
        "data_end": null,

        "direction": "long",
        "topn_to_store": 10,

        "signal_generator": "threshold_rule",  // generator in the signal_sets section
        "buy_sell_equal": false,
        "grid": {
            "buy_signal_threshold": [0.01, 0.02, 0.03, 0.04, 0.05, 0.06, 0.07, 0.08, 0.09, 0.10],
            "sell_signal_threshold": [-0.01, -0.02, -0.03, -0.04, -0.05, -0.06, -0.07, -0.08, -0.09, -0.10]
        }
    },

    "rolling_predict": {
        // int, null or string with date which will be resolved using time_column and removed from source data
        "data_start": "2020-02-01 00:00:00",
        "data_end": null,

        // One of these 3 parameters can be null and will be computed from the other two
        "prediction_start": null,  // First row for starting predictions, for example, "2022-02-01 00:00:00"
        "prediction_size": 10080, // How many predictions, for example, 1 week 7*1440
        "prediction_steps": 4, // How many train-prediction steps

        "use_multiprocessing": false,
        "max_workers": 8
    }
}