Discussion and DEMO of digital currency cross-variety hedging

During normal trading, traders like to watch the data on the board, why? The reason is that it is a good way to find a robot to help you watch the market movements. To get back to business, commodity futures trading strategies often see a combination of different types of hedging strategies, such as coking coal, iron ore and rebar hedging. Is this cross-variety hedging strategy also applicable to digital currency trading? Still, the risks are not negligible, so the easiest thing to do is to test back and roughly verify that the strategy is working.

1. Prerequisites

We choose bitcoin (BTC) and Ethereum (ETH) with relatively appropriate price difference as hedging varieties.

2. Policy description

When BTC/ETH ratio is small, we empty ETH and BTC, and when the ratio is large, we close the position. We can use SMA index to select the time.

3. The policy address: www.botvs.com/strategy/48… Two templates (reusable module code) are used: “Drawing line library” and “Digital Currency Transaction Library”

4.DEMO is very convenient to draw ideas on the chart, in fact, there are a lot of places to optimize, here is just to throw a brick, discuss ideas and methods, and then prepare to optimize the expansion to see if it is feasible.

DEMO (JS language based on inventor platform)

/*exchanges A : BTC B : ETH */ var RateUpDateTime = new Date().getTime() var UpDateCyc = 60 * 60 * 1000 var SumInCyc = 0 var AddCounts = 1 var RateArray = [] var BTC_hold_amount = 0 var ETH_hold_amount = 0 var IDLE = 0 var PLUS = 1 var STATE = IDLE var fee_btc = {buy: 0.2, // 0.2 %, 1000/4} var fee_eth = {buy: 0.2, sell: 0.2} var ModeStr = ["BOLL"."SMA"][Mode]

function CalcPriceForNoFee(price, fee, type) {if(type= ="buy") {return price * (1 - fee / 100)
    }else if(type= ="sell") {return price * (1 + fee / 100)
    }
}

function loop(nowTime){
    var depthA = exchanges[0].GetDepth()
    var depthB = exchanges[1].GetDepth()
    var sma120 = null
    var sma10 = null

    var boll = null

    if(! depthA || ! depthB || depthA.Asks.length == 0 || depthA.Bids.length == 0 || depthB.Asks.length == 0 || depthB.Bids.length == 0){return    
    }

    var Rate = CalcPriceForNoFee((depthA.Bids[0].Price + depthA.Asks[0].Price) / 2, 0.2, "buy") / CalcPriceForNoFee((depthB.Bids[0].Price + depthB.Asks[0].Price) / 2, 0.2, "sell") 

    if(nowTime - RateUpDateTime > UpDateCyc){
        RateArray.push(Rate)

        $.PlotLine("avgRate", RateArray[RateArray.length - 2], RateUpDateTime)

        if(RateArray.length > 60){
            if(ModeStr == "SMA"){
                sma120 = talib.SMA(RateArray, 60)
                sma10 = talib.SMA(RateArray, 10)

                $.PlotLine("sma120", sma120[sma120.length - 2], RateUpDateTime)
                $.PlotLine("sma10", sma10[sma10.length - 2], RateUpDateTime)
            }else if(ModeStr == "BOLL"){boll = ta. boll (RateArray, 20, 2.5) $.plotline ("up", boll[0][boll[0].length - 2], RateUpDateTime)
                $.PlotLine("down", boll[2][boll[2].length - 2], RateUpDateTime)
            }
        }

        RateUpDateTime += UpDateCyc
        SumInCyc = 0
        AddCounts = 1
    }else{
        SumInCyc += Rate
        AddCounts++

        RateArray[RateArray.length - 1] = (SumInCyc / AddCounts)

        $.PlotLine("avgRate", RateArray[RateArray.length - 1], RateUpDateTime)
        if(RateArray.length > 60){
            if(ModeStr == "SMA"){
                sma120 = talib.SMA(RateArray, 60)
                sma10 = talib.SMA(RateArray, 10)

                $.PlotLine("sma120", sma120[sma120.length - 1], RateUpDateTime)
                $.PlotLine("sma10", sma10[sma10.length - 1], RateUpDateTime)
            }else if(ModeStr == "BOLL"){boll = ta. boll (RateArray, 20, 2.5) $.plotline ("up", boll[0][boll[0].length - 1], RateUpDateTime)
                $.PlotLine("down", boll[2][boll[2].length - 1], RateUpDateTime)
            }
        }
    }

    if(ModeStr == "SMA") {if(STATE == IDLE && (sma120 && sma10) && sma120[sma120.length - 2] > sma10[sma10.length - 2] && sma120[sma120.length - 1] < sma10[sma10.length - 1]){
            // PLUS
            var SellInfo = $.Sell(exchanges[1], 5)
            var sumMoney = SellInfo.price * SellInfo.amount
            var amount = _N(sumMoney / depthA.Asks[0].Price, 2)
            var BuyInfo = $.Buy(exchanges[0], amount)

            ETH_hold_amount = SellInfo.amount
            BTC_hold_amount = amount
            STATE = PLUS
            // throw "stop"  // ceshi
        }

        if(STATE == PLUS && (sma120 && sma10) && sma120[sma120.length - 2] < sma10[sma10.length - 2] && sma120[sma120.length - 1] > sma10[sma10.length - 1]){
            // COVER
            var BuyInfo = $.Buy(exchanges[1], ETH_hold_amount)
            var SellInfo = $.Sell(exchanges[0], BTC_hold_amount)

            ETH_hold_amount = 0
            BTC_hold_amount = 0
            STATE = IDLE
            Log(exchanges[0].GetAccount(), exchanges[1].GetAccount())
        }
    }
}




function main() {
    var AccountA = exchanges[0].GetAccount()
    var AccountB = exchanges[1].GetAccount()

    Log("AccountA:", AccountA, "AccountB:", AccountB)

    while(true){
        var beginTime = new Date().getTime()
        loop(beginTime)
        Sleep(500)
    }

}
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