{ "train": true, "venue": "mt5", "mt5_account_id": "", "mt5_password": "", "mt5_server": "", "telegram_bot_token": "", "telegram_chat_id": "", "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 } }