Bitcoin Burst Trading with Target Portfolio Rebalancing

Summary

This historical OKCoin strategy combines short-term price-breakout trading with a portfolio-balance rule. It tracks recent trades, order-book prices, and a smoothed trading-volume measure. When price moves beyond a threshold relative to recent highs or lows, it buys or sells toward the direction of the move, scaling order size by volume and reducing size during early ticks. It also estimates the portfolio share held in bitcoin and places small orders when that share moves outside a narrow band around an even allocation.

The document reports that the strategy ran from June 2016 to mid-January 2017 and grew an initial investment of 6,000 yuan to 250,000 yuan, but explicitly says the approach later failed after platform funding and fee conditions changed. It presents the design as a learning example, not a current recommendation. The result is a historical claim without supporting backtest details, and the code depends on exchange-specific order behavior, thresholds, and market conditions. Rapid trading, changing fees, slippage, and sharp reversals may substantially alter outcomes.

Key ideas

• The strategy triggers trades when recent price movements cross a threshold based on recent highs or lows.
• Trade size is adjusted using smoothed trade volume and reduced during early ticks.
• It seeks to keep bitcoin and cash near an even portfolio allocation by trading when the balance drifts beyond a small band.
• The article reports historical returns for a specific period but provides no detailed validation or risk analysis.
• The author says the strategy failed after platform funding and fee conditions changed.

Tags

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