Crypto Rebalancing by Trading Back Toward Equal Asset Value

Summary

This single-venue strategy aims to keep the cash balance and the marked value of a crypto holding near parity. It compares the account’s cash with the asset value, then calculates half the difference as the amount to shift: buy when cash exceeds the holding’s value, or sell when the holding’s value exceeds cash. The author illustrates the idea with a 5,000-unit account and a threshold that gates trades; the parameters also include minimum order size, polling interval, retry delay, and precision settings.

The implementation uses the ticker’s bid and ask, adjusts proposed prices using the spread, rounds quantities and prices, and cancels pending orders after a trade attempt. A BTC backtest period is specified, but no outcomes or performance metrics are provided. The method depends on having both assets available and does not establish that prices revert or that rebalancing is profitable after costs. Fees, spread, execution, threshold choice, and the handling of changing total account value can materially affect results.

Key ideas

• The strategy seeks to balance cash and the marked value of a crypto holding.
• It trades half the value gap by buying the asset when cash is larger or selling when the holding is larger.
• A threshold prevents small imbalances from triggering trades.
• Order sizing accounts for quoted prices, precision, and a minimum quantity.
• The document provides a backtest configuration but no performance evidence.

Tags

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