Daily Volatility Arbitrage between BTC and ETH

2019年1月14日

Daily Volatility Arbitrage between BTC and ETH
Tips are appreciated!
BTC: 3FzN8HipN4iXHUWgc5hkithbTQKfjjYHRW
ETH: 0x4B345f58D07Ae9608BBA3184B7FF16Ac07120e35

2023年10月5日

版本注释

Upgrade from previous 'Daily Volatility Arbitrage between BTC and ETH'
Tips are appreciated!
BTC: 3FzN8HipN4iXHUWgc5hkithbTQKfjjYHRW
ETH: 0x4B345f58D07Ae9608BBA3184B7FF16Ac07120e35

This strategy is recommended to run on a daily basis.
This strategy does not use future data.

The strategy uses a modified Kaufman AMA to identify the beginning of a trend.
Kaufman's AMA calculation procedure squares the smoothing factor, which is illogical, and is improved here to match the probability distribution of the efficiency factor (ER).
An initial stop loss for buying is placed based on the ATR.
If the price movement does not trigger the initial stop loss and rises to generate a profit, the stop loss criterion is changed to a ratcheting trailing stop according to the ATR.

In order to avoid signal drift, one must wait for the daily line to close before generating a trading signal.

After the signal is generated on Day T, the strategy will automatically calculate the limit price for the order, based on the improved AMA and ATR, you just send the order at that limit price on Day T+1, if the order is failed to fill in Day T+1, the strategy will re-calculate the limit price for next day, the price of the trailing order can be executed up to 6 times, both to avoid the buy-too-high/sell-too-low in most cases, and also to avoid missed buying/selling opportunities in rare extreme markets.