Vol-Bot-Backtest/config.py at main · debpramanik/Vol-Bot-Backtest · GitHub

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"""
Configuration for Crypto Backtesting Bot
=========================================
Data Source: Coinalyze API (free, aggregated across 10+ exchanges)
Fallback: Bybit API for exchange-specific data
"""
import os
from dotenv import load_dotenv

load_dotenv()

# ─────────────────────────────────────────────
# API KEYS
# ─────────────────────────────────────────────
# Get your free key: https://coinalyze.net/account/api-key/
COINALYZE_API_KEY = os.getenv("COINALYZE_API_KEY", "YOUR_API_KEY_HERE")

# Bybit (no key needed for public market data)
BYBIT_BASE_URL = "https://api.bybit.com"

# ─────────────────────────────────────────────
# COINALYZE API CONFIG
# ─────────────────────────────────────────────
COINALYZE_BASE_URL = "https://api.coinalyze.net/v1"

# Symbol format: {BASE}{QUOTE}_PERP.{EXCHANGE_CODE}
# .A = Aggregated across ALL exchanges (Binance, Bybit, OKX, Deribit, BitMEX, etc.)
# .6 = Bybit only
# Exchange codes: 0=BitMEX, 1=Binance, 2=Bitfinex, 4=Deribit, 6=Bybit, 7=Huobi, B=OKX
EXCHANGE_SUFFIX = ".A"  # Aggregated (recommended)

# ─────────────────────────────────────────────
# SYMBOLS TO BACKTEST
# ─────────────────────────────────────────────
# Major coins - perps (USDT-margined) aggregated
SYMBOLS = {
    "BTC": {
        "perp": f"BTCUSDT_PERP{EXCHANGE_SUFFIX}",
        "spot": "BTCUSDT.C",  # Coinbase spot (for CVD divergence)
    },
    "ETH": {
        "perp": f"ETHUSDT_PERP{EXCHANGE_SUFFIX}",
        "spot": "ETHUSDT.C",
    },
    "SOL": {
        "perp": f"SOLUSDT_PERP{EXCHANGE_SUFFIX}",
        "spot": "SOLUSDT.C",
    },
}

# Default symbol for quick testing
DEFAULT_SYMBOL = "BTC"

# ─────────────────────────────────────────────
# DATA SETTINGS
# ─────────────────────────────────────────────
# Intervals: 1min, 5min, 15min, 30min, 1hour, 2hour, 4hour, 6hour, 12hour, daily
DEFAULT_INTERVAL = "1hour"
DEFAULT_LOOKBACK_DAYS = 62  # How many days of history to fetch

# NOTE: Coinalyze keeps ~1500-2000 bars for intraday. Daily data is unlimited.
# For 4h candles: ~1500 bars ≈ 250 days
# For 1h candles: ~1500 bars ≈ 62 days
# For daily candles: unlimited history

# ─────────────────────────────────────────────
# STRATEGY PARAMETERS
# ─────────────────────────────────────────────
STRATEGY_PARAMS = {
    # ── OI Signal ──
    "oi_change_period": 6,         # Bars to measure OI % change
    "oi_spike_threshold": 0.05,    # 5% OI increase = significant
    "oi_drop_threshold": -0.03,    # 3% OI decrease = significant

    # ── CVD Signal ──
    "cvd_lookback": 12,            # Bars for CVD trend
    "cvd_divergence_bars": 6,      # Bars to check price vs CVD divergence

    # ── Long/Short Ratio Signal ──
    "ls_extreme_long": 0.65,       # Above this = crowded long (bearish)
    "ls_extreme_short": 0.35,      # Below this = crowded short (bullish)
    "ls_lookback": 6,              # Bars for L/S ratio smoothing

    # ── Funding Rate Signal ──
    "funding_extreme_pos": 0.0005, # Very positive = overheated longs
    "funding_extreme_neg": -0.0003,# Very negative = overheated shorts

    # ── Liquidation Signal ──
    "liq_spike_multiplier": 2.0,   # Liq volume > 2x avg = spike

    # ── Composite Score ──
    "signal_weights": {
        "oi": 0.25,
        "cvd": 0.25,
        "long_short": 0.20,
        "funding": 0.15,
        "liquidation": 0.15,
    },
    "entry_threshold": 0.15,        # Score > 0.15 → entry signal
    "exit_threshold": 0.0,         # Score crosses 0 → exit

    # ── Risk Management ──
    "stop_loss_pct": 0.01,         # 1% stop loss
    "take_profit_pct": 0.05,       # 3% take profit (3:1 R:R)
    "position_size_pct": 1,      # 100% of equity → 1% * 100% = 1% risk
    "max_positions": 1,            # Max simultaneous positions per symbol
}

# ─────────────────────────────────────────────
# BACKTESTING SETTINGS
# ─────────────────────────────────────────────
INITIAL_CAPITAL = 10_000  # Starting capital in USD
COMMISSION_PCT = 0.0006   # 0.06% taker fee (Bybit perps)
SLIPPAGE_PCT = 0    # 0.02% slippage estimate

# ─────────────────────────────────────────────
# OUTPUT SETTINGS
# ─────────────────────────────────────────────
DATA_DIR = "data"         # Cached data directory
RESULTS_DIR = "results"   # Backtest results output