Donchian Regimes and Portfolio Rebalancing for Crypto Spot

Summary

This crypto spot strategy uses a Donchian-style breakout check on weekly bars, constructed from daily data, to choose among full exposure, balanced holdings, or cash. A new high relative to the prior channel leads to full investment. If price remains above a 10-period moving average without making that breakout, the strategy rebalances toward an even split between coin and cash. A break below the moving average triggers an exit to cash. During the balanced regime, trades adjust holdings when the coin share moves beyond specified bands; the code also cancels outstanding orders each cycle.

The published settings show a one-month, one-minute ETH/USDT backtest, and the description claims it avoided a sharp decline during that period. This brief example does not establish long-run performance or prove the approach reduces drawdowns generally. The strategy’s exposure rule is tied to price trends, while its rebalancing bands and minimum trade sizing can affect turnover and execution. Fees, slippage, exchange constraints, and behavior across other assets or market regimes are not evaluated in the text.

Key ideas

• The strategy classifies the market using weekly bars composed from daily observations.
• A channel breakout selects full coin exposure, while a moving-average condition selects balanced holdings or cash.
• The balanced regime rebalances when the coin’s share of account value moves beyond set thresholds.
• The published backtest covers only one month of ETH/USDT spot data and gives no full performance analysis.
• Trading costs, slippage, and performance across other markets are not assessed.

Tags

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