Input schema (JSON)
{
"type": "object",
"$defs": {
"Dip": {
"type": "object",
"title": "Dip",
"required": [
"type"
],
"properties": {
"type": {
"type": "string",
"const": "dip",
"title": "Type"
},
"params": {
"$ref": "#/$defs/DipParams",
"default": {
"days": 1,
"drop_pct": 0.15,
"trend_filter": "ma50",
"hard_stop_pct": 0.15,
"max_hold_days": 5,
"max_positions": 3
}
}
},
"additionalProperties": false
},
"MATrend": {
"type": "object",
"title": "MATrend",
"required": [
"type"
],
"properties": {
"type": {
"type": "string",
"const": "ma_trend",
"title": "Type"
},
"params": {
"$ref": "#/$defs/MATrendParams",
"default": {
"coins": [
"ETH-USD"
],
"ma_days": 50
}
}
},
"additionalProperties": false
},
"Breakout": {
"type": "object",
"title": "Breakout",
"required": [
"type"
],
"properties": {
"type": {
"type": "string",
"const": "breakout",
"title": "Type"
},
"params": {
"$ref": "#/$defs/BreakoutParams",
"default": {
"gate": "btc_ma50",
"atr_mult": 2,
"lookback": 20,
"max_stop_pct": 0.4,
"min_stop_pct": 0.06,
"max_positions": 3,
"risk_per_trade": 0.05,
"max_position_pct": 0.5
}
}
},
"additionalProperties": false
},
"Momentum": {
"type": "object",
"title": "Momentum",
"required": [
"type"
],
"properties": {
"type": {
"type": "string",
"const": "momentum",
"title": "Type"
},
"params": {
"$ref": "#/$defs/MomentumParams",
"default": {
"gate": "btc_ma50",
"top_n": 2,
"lookback": 14,
"trail_pct": null,
"rebalance_days": 7
}
}
},
"additionalProperties": false
},
"Universe": {
"type": "object",
"title": "Universe",
"properties": {
"mode": {
"enum": [
"point_in_time",
"current_top",
"fixed"
],
"type": "string",
"title": "Mode",
"default": "point_in_time",
"description": "point_in_time = top-N by trailing 20d $ volume AS OF each day (no survivorship bias); current_top = top-N as of the end date (biased, for comparison); fixed = your coin list"
},
"coins": {
"anyOf": [
{
"type": "array",
"items": {
"type": "string"
},
"maxItems": 200
},
{
"type": "null"
}
],
"title": "Coins",
"default": null
},
"top_n": {
"type": "integer",
"title": "Top N",
"default": 30,
"maximum": 200,
"minimum": 5
},
"min_age_days": {
"type": "integer",
"title": "Min Age Days",
"default": 35,
"maximum": 120,
"minimum": 0,
"description": "Days a coin must have traded before it is eligible"
},
"min_avg_dollar_volume": {
"type": "number",
"title": "Min Avg Dollar Volume",
"default": 1000000,
"minimum": 0,
"description": "Min 20-day avg Coinbase $ volume"
}
},
"additionalProperties": false
},
"DipParams": {
"type": "object",
"title": "DipParams",
"properties": {
"days": {
"type": "integer",
"title": "Days",
"default": 1,
"maximum": 10,
"minimum": 1
},
"drop_pct": {
"type": "number",
"title": "Drop Pct",
"default": 0.15,
"description": "Buy after a fall of at least this fraction over `days`",
"exclusiveMaximum": 0.9,
"exclusiveMinimum": 0.01
},
"trend_filter": {
"enum": [
"ma50",
"none"
],
"type": "string",
"title": "Trend Filter",
"default": "ma50"
},
"hard_stop_pct": {
"type": "number",
"title": "Hard Stop Pct",
"default": 0.15,
"exclusiveMaximum": 0.9,
"exclusiveMinimum": 0.01
},
"max_hold_days": {
"type": "integer",
"title": "Max Hold Days",
"default": 5,
"maximum": 60,
"minimum": 1
},
"max_positions": {
"type": "integer",
"title": "Max Positions",
"default": 3,
"maximum": 10,
"minimum": 1
}
},
"additionalProperties": false
},
"MATrendParams": {
"type": "object",
"title": "MATrendParams",
"properties": {
"coins": {
"type": "array",
"items": {
"type": "string"
},
"title": "Coins",
"default": [
"ETH-USD"
],
"maxItems": 10,
"minItems": 1,
"description": "Coinbase product ids, e.g. ETH-USD"
},
"ma_days": {
"type": "integer",
"title": "Ma Days",
"default": 50,
"maximum": 60,
"minimum": 5
}
},
"additionalProperties": false
},
"BreakoutParams": {
"type": "object",
"title": "BreakoutParams",
"properties": {
"gate": {
"enum": [
"none",
"btc_ma50",
"breadth50"
],
"type": "string",
"title": "Gate",
"default": "btc_ma50",
"description": "Only open trades when BTC > 50-day SMA (btc_ma50) or >=50% of universe above 20d SMA (breadth50)"
},
"atr_mult": {
"type": "number",
"title": "Atr Mult",
"default": 2,
"maximum": 6,
"minimum": 0.5,
"description": "Trailing stop = highest close - k*ATR14"
},
"lookback": {
"type": "integer",
"title": "Lookback",
"default": 20,
"maximum": 60,
"minimum": 5,
"description": "Buy when close > highest high of prior N days"
},
"max_stop_pct": {
"type": "number",
"title": "Max Stop Pct",
"default": 0.4,
"maximum": 0.9,
"exclusiveMinimum": 0
},
"min_stop_pct": {
"type": "number",
"title": "Min Stop Pct",
"default": 0.06,
"maximum": 0.5,
"exclusiveMinimum": 0
},
"max_positions": {
"type": "integer",
"title": "Max Positions",
"default": 3,
"maximum": 10,
"minimum": 1
},
"risk_per_trade": {
"type": "number",
"title": "Risk Per Trade",
"default": 0.05,
"maximum": 0.25,
"description": "Fraction of equity risked to the initial stop",
"exclusiveMinimum": 0
},
"max_position_pct": {
"type": "number",
"title": "Max Position Pct",
"default": 0.5,
"maximum": 1,
"exclusiveMinimum": 0
}
},
"additionalProperties": false
},
"MomentumParams": {
"type": "object",
"title": "MomentumParams",
"properties": {
"gate": {
"enum": [
"none",
"btc_ma50",
"breadth50"
],
"type": "string",
"title": "Gate",
"default": "btc_ma50"
},
"top_n": {
"type": "integer",
"title": "Top N",
"default": 2,
"maximum": 10,
"minimum": 1
},
"lookback": {
"type": "integer",
"title": "Lookback",
"default": 14,
"maximum": 60,
"minimum": 3,
"description": "Rank by N-day return"
},
"trail_pct": {
"anyOf": [
{
"type": "number",
"exclusiveMaximum": 0.9,
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Trail Pct",
"default": null,
"description": "Optional % trailing stop from highest close"
},
"rebalance_days": {
"type": "integer",
"title": "Rebalance Days",
"default": 7,
"maximum": 30,
"minimum": 1
}
},
"additionalProperties": false
}
},
"title": "backtestArguments",
"required": [
"strategy"
],
"properties": {
"end": {
"anyOf": [
{
"type": "string",
"pattern": "^\\d{4}-\\d{2}-\\d{2}$"
},
{
"type": "null"
}
],
"title": "End",
"default": null,
"description": "YYYY-MM-DD"
},
"fee": {
"type": "number",
"title": "Fee",
"default": 0.009,
"maximum": 0.05,
"minimum": 0,
"description": "Fee per side (0.009 = 0.9%)"
},
"start": {
"anyOf": [
{
"type": "string",
"pattern": "^\\d{4}-\\d{2}-\\d{2}$"
},
{
"type": "null"
}
],
"title": "Start",
"default": null,
"description": "YYYY-MM-DD"
},
"slippage": {
"type": "number",
"title": "Slippage",
"default": 0.002,
"maximum": 0.05,
"minimum": 0,
"description": "Slippage per side"
},
"strategy": {
"oneOf": [
{
"$ref": "#/$defs/Breakout"
},
{
"$ref": "#/$defs/Momentum"
},
{
"$ref": "#/$defs/Dip"
},
{
"$ref": "#/$defs/MATrend"
}
],
"title": "Strategy",
"discriminator": {
"mapping": {
"dip": "#/$defs/Dip",
"breakout": "#/$defs/Breakout",
"ma_trend": "#/$defs/MATrend",
"momentum": "#/$defs/Momentum"
},
"propertyName": "type"
}
},
"universe": {
"anyOf": [
{
"$ref": "#/$defs/Universe"
},
{
"type": "null"
}
],
"default": null
},
"include_trades": {
"type": "boolean",
"title": "Include Trades",
"default": true
},
"initial_capital": {
"type": "number",
"title": "Initial Capital",
"default": 150,
"maximum": 1000000000,
"description": "Starting capital in USD",
"exclusiveMinimum": 0
}
}
}