OKCoin Bitcoin Bot: Burst Momentum and Portfolio Rebalancing

Summary

This document describes a high-frequency Bitcoin strategy combining momentum trading with inventory rebalancing. It estimates short-term price movement from a smoothed sequence of order-book prices and trade volume. When price moves beyond a threshold relative to recent observations, the bot buys or sells, scaling trade size according to recent volume and available balances. It also places small orders when the portfolio’s Bitcoin share moves outside a narrow band around an even split, aiming to reduce exposure drift.

The source describes order-book pricing, order cancellation, and repeated execution attempts, while the accompanying account reports that the original strategy grew an initial 6,000 yuan to 250,000 yuan over roughly seven months in 2016–2017. That result is an unverified historical claim, not independent performance evidence. The document says the strategy became ineffective after fees were introduced and notes that the port was not live-tested. Its published backtest settings specify zero fees, which limits their relevance to realistic trading.

Key ideas

• The bot combines short-term breakout momentum signals with rebalancing toward an approximately even Bitcoin and cash allocation.
• Trade size is adjusted using recent trade volume and available account balances.
• Orders are repeatedly placed, checked, and canceled according to changing market conditions.
• The reported historical return is not independently validated, and the port has not been live-tested.
• The published backtest uses zero fees, despite the document’s warning that fees undermined the strategy.

Tags

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