168 lines
7.2 KiB
JSON
168 lines
7.2 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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"description": "BTCUSDT 1min",
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"freq": "1min", // pandas frequency
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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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{"column_prefix": "", "generator": "common.my_feature_example:my_feature_example", "feature_prefix": "", "config": {"columns": "close", "function": "add", "parameter": 2.0, "names": "close_add"}}
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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": 120, "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": 120, "names": ["low_20"]}}
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],
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// === TRAIN ===
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"label_horizon": 120, // Batch/offline: do not use these last rows because their labels might not be correct
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"train_length": 525600, // Batch/offline: Uses this number of rows for training (if not additionally limited by the algorithm)
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"train_feature_sets": [
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{
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"generator": "train_features", "config": {
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// Use values from the attributes: train_features, labels, algorithms
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}}
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],
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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": ["high_20", "low_20"],
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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", // Algorithm type is used to choose the train/predict function
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"params": {"is_scale": true, "length": 0},
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"train": {"penalty": "l2", "C": 1.0, "class_weight": null, "solver": "sag", "max_iter": 100}
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}
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],
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"features_horizon": 2880, // Online/stream: Minimum data length for computing features. Take it from feature generator parameters
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"features_last_rows": 5, // Online/stream: Last values which are really needed and have to be computed. All older values are not needed
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// === GENERATE SIGNALS ===
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"signal_sets": [
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{
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// Combine two unsigned scores into one signed score
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"generator": "combine", "config": {
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"columns": ["high_20_lc", "low_20_lc"], // 2 columns: with grow score and fall score
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"names": "trade_score", // Output column name: positive values - buy, negative values - sell
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"combine": "difference", // "no_combine" (or empty), "relative", "difference"
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"coefficient": 1.0, "constant": 0.0 // Normalize
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}},
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{
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// Generate boolean buy-sell column depending on thresholds
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"generator": "threshold_rule", "config": {
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"columns": "trade_score",
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"names": ["buy_signal_column", "sell_signal_column"], // Output boolean columns
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"parameters": {
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"buy_signal_threshold": 0.015,
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"sell_signal_threshold": -0.015
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}
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}}
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],
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// === OUTPUTS ===
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"output_sets": [
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{"generator": "score_notification_model", "config": {
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"score_notification": true,
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"score_column_names": ["trade_score"],
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"notify_band_up": true,
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"notify_band_dn": true,
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"positive_bands": [
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{"edge": 0.015, "frequency": 2, "sign": "〉〉〉📈", "bold": true, "text": "BUY ZONE"},
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{"edge": 0.01, "frequency": 5, "sign": "〉〉", "bold": false, "text": "strong"},
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{"edge": 0.005, "frequency": 10, "sign": "〉", "text": "weak"}
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],
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"negative_bands": [
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{"edge": -0.005, "frequency": 10, "sign": "〈", "text": "weak"},
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{"edge": -0.01, "frequency": 5, "sign": "〈〈", "bold": false, "text": "strong"},
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{"edge": -0.015, "frequency": 2, "sign": "〈〈〈📉", "bold": true, "text": "SELL ZONE"}
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]
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}},
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{"generator": "diagram_notification_model", "config": {
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// Regularly sending historic data with prices, scores and buy-sell trade decisions
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"diagram_notification": true,
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"notification_freq": "1D",
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"score_column_names": "trade_score",
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"score_thresholds":[-0.015, 0.015],
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// 5 minutes aggregation and this number of 5 minute intervals
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"resampling_freq": "5min", "nrows": 288
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}},
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{"generator": "trader_simulation", "config": {
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"buy_signal_column":"buy_signal_column",
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"sell_signal_column": "sell_signal_column"
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}}
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//{"generator": "trader_binance", "config": {
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// "buy_signal_column":"buy_signal_column",
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// "sell_signal_column": "sell_signal_column"
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//"no_trades_only_data_processing": false,
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//"test_order_before_submit": false,
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//"simulate_order_execution": false,
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//"percentage_used_for_trade": 99.0, // How much should be used in orders
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//"limit_price_adjustment": 0.001, // Limit order price relative to the latest close price
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//}}
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],
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// === FINDING BEST TRADE PARAMETERS ===
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"simulate_model": {
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"data_start": 0,
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"data_end": null,
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"direction": "long",
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"topn_to_store": 10,
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"signal_generator": "threshold_rule", // generator in the signal_sets section
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"buy_sell_equal": false,
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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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