Bollinger Bands
Last updated
Last updated
This page describes how margin trading on Bitmex works with the Bollinger Bands strategy. The triggers for trades are slightly different than in the same strategy for regular trading.
Expected behavior for margin trading
Gunbot will open one position, either long or short, and close this position when the target is reached. When the stop is hit before profitably closing a trade, Gunbot will place a stop order at loss. After closing a position, Gunbot will again look to open a new long or short position. Gunbot will not add to existing open positions.
Please don't manually add to or reduce positions opened by Gunbot, unless you stop running Gunbot on this trading pair until you've closed this position.
Using bb (margin) is only meaningful with MEAN_REVERSION enabled.
The info below assumes you have set this.
The examples below show how the basic triggers for bb work. Additionally, you can use confirming indicators and settings like ROE trailing.
A long position is opened when the ask price is below LOW_BB and LONG_LEVEL. In the example above LOW_BB would be set to 0, which represents the actual lower Bollinger Band. With different values you could set a target above (positive value) or below (negative value) the lower band.
Position is closed when the desired ROE (return on equity) is reached. This is a percentage from the entry point, not taking leverage into consideration. Regardless what leverage is used, 1% price difference from your entry equals ROE: 1.
A position is closed at loss when STOP_BUY is reached. This is a percentage from the entry point in the opposite direction of your profit target, not taking leverage into consideration. Regardless what leverage is used, 1% price difference from your entry equals STOP_BUY: 1.
A short position is opened when the bid price is above HIGH_BB and SHORT_LEVEL. In the example above HIGH_BB would be set to 0, which represents the actual upper Bollinger Band. With different values you could set a target below (positive value) or above (negative value) the upper band.
Position is closed when the desired ROE (return on equity) is reached. This is a percentage from the entry point, not taking leverage into consideration. Regardless what leverage is used, 1% price difference from your entry equals ROE: 1.
A position is closed at loss when STOP_SELL is reached. This is a percentage from the entry point in the opposite direction of your profit target, not taking leverage into consideration. Regardless what leverage is used, 1% price difference from your entry equals STOP_SELL: 1.
Following settings options are available for bb and can be set in the strategy configurator of the GUI or the strategies section of the config.js file.
These settings are global and apply to all pairs running this strategy. When you want a specific parameter to be different for one or more pairs, use an override at the pair level.
Using the BUY_METHOD and SELL_METHOD parameters you can combine different methods for buying and selling. This strategy page assumes both BUY_METHOD and SELL_METHOD are set to bb. Accepted values are all strategy names as listed here.
Margin settings control settings like leverage and the target for ROE. These parameters are relevant when using bb as buy and/or sell method.
This sets the target for opening a long position at a percentage above the highest EMA.
When you set this to 1, buy orders will only be placed when the current price is at least 1% above the currently highest EMA.
Values: numerical – represent a percentage.
Default value: 1
Parameter name in config.js: LONG_LEVEL
This sets the target for opening a short position at a percentage below the lowest EMA.
When you set this to 1, sell orders will only be placed when the current price is at least 1% below the currently lowest EMA.
Values: numerical – represent a percentage.
Default value: 1
Parameter name in config.js: SHORT_LEVEL
This sets the target for closing a position.
ROE is the Return On Equity for a position, the percentage profit and loss on your invested margin. This value is calculated in a similar way to how Bitmex calculates it, it does include leverage and does not include fees.
Examples:
Long position, 1x leverage. When price moves 1% above the average entry price, 1% ROE is reached.
Long position, 100x leverage (or cross leverage). When price moves 1% above the average entry price, 100% ROE is reached.
Short position, 20x leverage When price moves 1% below the average entry price, 20% ROE is reached.
Values: numerical – represent a percentage.
Default value: 1
Parameter name in config.js: ROE
Sets the leverage for opening any position. Setting 0 places the order with cross margin.
Values: numerical
Default value: 0
Parameter name in config.js: LEVERAGE
Places a market stop order for a long position, at the same time as the position is opened.
When set to 1 and a long order is opened at a price of 100, a stop market order will be placed at 99.
Values: numerical - represents a percentage.
Default value: 0
Parameter name in config.js: STOP_BUY
Places a market stop order for a short position, at the same time as the position is opened.
When set to 1 and a short order is opened at a price of 100, a stop market order will be placed at 101.
Values: numerical - represents a percentage.
Default value: 0
Parameter name in config.js: STOP_SELL
Use this to enable tssl-style trailing for ROE.
Values: true or false
Default value: false
Parameter name in config.js: ROE_TRAILING
This sets the range for ROE trailing.
Setting a range of 5% at a ROE target of 1 would set an initial range between 0.95 and 1.05.
As long as ROE keeps increasing, the range moves along with ROE. As soon as ROE start decreasing, the lower range gets frozen. A close order is placed when ROE crosses the lower limit.
Values: numerical – represent a percentage of ROE.
Default value: 1
Parameter name in config.js: ROE_LIMIT
When set to true, limit orders will placed at a configurable rate beyond the best bid/ask price to get ahead of the order book.
Values: true or false
Default value: false
Parameter name in config.js: PRE_ORDER
Sets the gap between the best bid/ask price in the orderbook and the rate at which a limit order gets placed. Long orders are placed at ask + gap. Short orders are placed at bid - gap.
It is possible to use negative values, this will increase the chance of receiving maker fees.
Example when set to 1 and a buy signal occurs at an ask price of 100: a limit order gets placed at a rate of 101. When set to -1 and a buy signal occurs at an ask price of 100: a limit order gets placed at a rate of 99.
Don't use a negative gap together with STOP_BUY and/or STOP_SELL, as these stops do not combine well with position that do not always fill. Instead use STOP_LIMIT.
Values: numerical - represents a percentage.
Default value: 0
Parameter name in config.js: PRE_ORDER_GAP
When set to true, the strategy follows a mean reversion way of trading, instead of trend following.
This setting must be enabled to use bb as buy or sell method. When set to false, this strategy reverts to the same behavior as the gain strategy.
Long and short levels are reversed in this mode, long level is placed below EMA, short level is placed above EMA.
Values: true or false
Default value: false
Parameter name in config.js: MEAN_REVERSION
Buy settings are the primary trigger for opening long positions. These parameters control the execution of buy orders when using bb as buy method.
Set this to false to prevent Gunbot from placing buy orders.
Values: true or false
Default value: true
Parameter name in config.js: BUY_ENABLED
"Never Buy Above". Use this to only allow buy orders below the last sell rate.
This sets the minimum percentage difference between the last sell order and the next buy. The default setting of 0 disables this option.
When set to 1, Gunbot will only place a buy order when the strategy buy criteria meet and price is at least 1% below the last sell price.
Values: numerical, represents a percentage.
Default value: 0
Parameter name in config.js: NBA
Sell settings are the primary trigger for opening short positions. These parameters control the execution of sell orders when using bb as sell method.
Set this to false to prevent Gunbot from placing sell orders.
Values: true or false
Default value: true
Parameter name in config.js: SELL_ENABLED
Relevant indicators for trading with bb.
These settings have a direct effect on trading with bb, this is where you configure how Bollinger Bands are calculated and at which distance from them orders should be placed. Additionally, long and short level are dependent on EMA.
This sets the candlestick period used for trading, this affects all indicators within the strategy.
Only use supported values.
Setting a short period allows you to trade on shorter trends, but be aware that these will be noisier than longer periods.
Values: numerical– represents candlestick size in minutes.
Default value: 15
Parameter name in config.js: PERIOD
This sets the target for buying. Negative values are allowed.
The bot will buy when price hits the set percentage from the lower Bollinger Band and the price is below the entry point as defined by BUY_LEVEL.
When set to 0, the lower Bollinger Band is the target. When set to 30, the target is 30% above the lower Bollinger Band - the upper band is at 100% from the lower band. Negative values are allowed.
Values: numerical – represent a percentage.
Default value: 0
Parameter name in config.js: LOW_BB
This sets the target for selling. Negative values are allowed.
The bot will sell when price hits the set percentage from the upper Bollinger Band and GAIN is reached.
When set to 0, the upper Bollinger Band is the target (well, almost). When set to 30, the target is 30% under the upper Bollinger Band - the lower band is at 100% from the upper band. Negative values are allowed.
Values: numerical – represent a percentage.
Default value: 0
Parameter name in config.js: HIGH_BB
This defines the number of periods used for calculating Bollinger Bands.
Values: numerical – represents a number of candlesticks.
Default value: 50
Parameter name in config.js: SMAPERIOD
This value defines the multiplier used for calculating Bollinger Bands.
Values: numerical (recommended: between 1.9 and 2.1) - represents a multiplier value used in the bollinger bands calculation.
Default value: 2
Parameter name in config.js: STDV
Set this to the amount of candlesticks you want to use for your slow EMA. The closing price for each candle is used in the slow EMA calculation.
For example: when you set PERIOD to 5, and want to use 2h for slow EMA – you need to set EMA1 to 24 (24 * 5 mins).
Values: numerical – represents a number of candlesticks.
Default value: 16
Parameter name in config.js: EMA1
Set this to the amount of candlesticks you want to use for your fast EMA. The closing price for each candle is used in the fast EMA calculation.
For example: when you set PERIOD to 5, and want to use 1h for fast EMA – you need to set EMA2 to 12 (12 * 5 mins).
Values: numerical – represents a number of candlesticks.
Default value: 8
Parameter name in config.js: EMA2
DCA is not intented to be used for margin trading.
RT is not intented to be used for margin trading.
With margin trading, additional trailing only works when MEAN_REVERSION is enabled.
Parameters to configure additional trailing for various types of orders. Trailing works just like it does for the TSSL strategy, the difference being the starting point of trailing.
Orders resulting from trailing are only placed when the main strategy criteria are met, and confirming indicators (if any) allow the order. All these conditions must occur in the same cycle.
The following parameters in config.js have no function for this strategy and act as placeholder.
