A Rebalancing-Premium Strategy in a Cryptocurrency Basket

Summary

The strategy compares two portfolios drawn from a basket of cryptocurrencies: one is rebalanced daily to equal weights, while the other starts equally weighted and is left to drift. It takes a long position in the rebalanced portfolio and a short position in the drifting portfolio, with the short leg set to 70% of the portfolio value. The implementation describes minute-resolution data, scheduled trading, market orders, leverage, and a custom transaction-fee model.

This structure aims to capture a rebalancing premium by repeatedly restoring equal weights as relative prices change. The file lists its asset universe and notes that one coin is excluded because of a data problem, but it provides no backtest results or risk analysis. The code also has implementation limits: short positions are opened only when not already invested, so the short portfolio is not explicitly rebalanced as prices move, and the long leg uses total portfolio value to size its equal-weight holdings. Fees, borrow availability, market impact, and survivorship or data-quality effects could materially affect results.

Key ideas

• The method compares a daily equal-weight rebalanced crypto basket with an equal-weight basket whose holdings drift.
• It goes long the rebalanced basket and shorts the drifting basket at a specified fractional weight.
• The implementation uses scheduled market orders and defines a custom fee model.
• A constituent is omitted because of a reported data issue.
• No performance evidence is given, and the code does not actively rebalance the short leg after opening it.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.