129 lines
4.3 KiB
JSON
129 lines
4.3 KiB
JSON
{
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"api_key": "<binance-key>",
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"api_secret": "<binance-secret>",
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"telegram_bot_token": "<token>",
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"telegram_chat_id": "<chat-id-to-publish-messages>",
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"data_folder": "C:/DATA_ITB",
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// === DOWNLOAD AND MERGE ===
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"symbol": "BTCUSDT",
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"data_sources": [
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{"folder": "BTCUSDT", "file": "klines", "column_prefix": ""}
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],
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// === GENERATE FEATURES ===
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"feature_sets": [
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{"column_prefix": "", "generator": "talib", "feature_prefix": "", "config": {"columns": ["close"], "functions": ["SMA"], "windows": [1, 5, 10, 15, 60]}},
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{"column_prefix": "", "generator": "talib", "feature_prefix": "", "config": {"columns": ["close"], "functions": ["LINEARREG_SLOPE"], "windows": [5, 10, 15, 60]}},
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{"column_prefix": "", "generator": "talib", "feature_prefix": "", "config": {"columns": ["close"], "functions": ["STDDEV"], "windows": [5, 10, 15, 60]}}
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],
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// === LABELS ===
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"label_sets": [
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{"column_prefix": "", "generator": "highlow2", "feature_prefix": "", "config": {"columns": ["close", "high", "low"], "function": "high", "thresholds": [2.0], "tolerance": 0.2, "horizon": 60, "names": ["high_20"]}},
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{"column_prefix": "", "generator": "highlow2", "feature_prefix": "", "config": {"columns": ["close", "high", "low"], "function": "low", "thresholds": [2.0], "tolerance": 0.2, "horizon": 60, "names": ["low_20"]}}
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],
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// === TRAIN ===
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"label_horizon": 60,
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"train_length": 525600,
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"train_features": [
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"close_SMA_1", "close_SMA_5", "close_SMA_10", "close_SMA_15", "close_SMA_60",
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"close_LINEARREG_SLOPE_5", "close_LINEARREG_SLOPE_10", "close_LINEARREG_SLOPE_15", "close_LINEARREG_SLOPE_60",
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"close_STDDEV_5", "close_STDDEV_10", "close_STDDEV_15", "close_STDDEV_60"
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],
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"labels": [
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"high_20",
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"low_20"
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],
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"algorithms": [
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{
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"name": "lc", // Unique name will be used as a column suffix
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"algo": "lc", // Altorithm type is used to choose the train/predict function
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"params": {"penalty": "l2", "C": 1.0, "class_weight": null, "solver": "sag", "max_iter": 100},
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"train": {"is_scale": true, "length": 1000000, "shifts": []},
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"predict": {"length": 1440}
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}
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],
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"features_horizon": 100, // Minimum data length for computing features (in online mode). Take it from feature generator parameters
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// === AGGREGATION AND POST-PROCESSING ===
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"score_aggregation_sets": [
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{
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"column": "trade_score", // Output column name: positive values - buy, negative values - sell
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"buy_labels": ["high_20_lc"],
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"sell_labels": ["low_20_lc"],
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"parameters": {
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"point_threshold": null, // Produce boolean column (optional)
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"window": 3, // Aggregate in time
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"combine": "difference", // "no_combine" (or empty), "relative", "difference"
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"coefficient": 1.0,
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"constant": 0.0
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}
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}
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],
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// === SIGNAL RULES FOR TRADING ===
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"signal_model": {
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"rule_name": "",
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"signal_columns": ["buy_signal_column", "sell_signal_column"],
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"parameters": {
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"buy_signal_threshold": 0.05,
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"sell_signal_threshold": -0.05
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},
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"notification": {
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"buy_notify_threshold": 0.02,
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"sell_notify_threshold": -0.02,
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"trade_icon_step": 0.05,
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"notify_frequency_minutes": 1,
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"notify_signal": true,
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"notify_transaction": true,
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"notify_diagram": false
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}
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},
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"train_signal_model": {
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"data_start": 0,
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"data_end": null,
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"buy_sell_equal": false,
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"direction": "long",
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"topn_to_store": 10,
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"grid": {
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"buy_signal_threshold": [0.02, 0.03, 0.04, 0.05, 0.1, 0.15],
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"sell_signal_threshold": [-0.02, -0.03, -0.04, -0.05, -0.1, -0.15]
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}
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},
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"rolling_predict": {
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// int, null or string with date which will be resolved using time_column and removed from source data
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"data_start": "2020-02-01 00:00:00",
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"data_end": null,
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// One of these 3 parameters can be null and will be computed from the other two
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"prediction_start": null, // First row for starting predictions, for example, "2022-02-01 00:00:00"
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"prediction_size": 10080, // How many predictions, for example, 1 week 7*1440
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"prediction_steps": 4, // How many train-prediction steps
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"use_multiprocessing": false,
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"max_workers": 8
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}
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}
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