Single-Asset Equilibrium Rebalancing Around a Target Value

Summary

This document presents a single-asset rebalancing method that compares an account’s cash balance with the marked value of its crypto holdings. When the imbalance exceeds a configurable threshold, it buys or sells part of the asset to move the two sides toward balance. The amount traded is based on half the calculated difference, with minimum trade size and quantity and price precision settings.

The Python example polls account and ticker data, uses the bid–ask spread to set limit prices, and cancels pending orders after a trade. It includes backtest configuration for BTC/USDT, but reports no performance results. The approach assumes that repeated rebalancing is useful as prices move around a target allocation; it does not describe fees, slippage, order-fill handling in depth, or portfolio-level risk controls. The threshold and trading mechanics therefore need evaluation for the venue and market where they would be used.

Key ideas

• The strategy compares cash with the market value of the asset holdings to measure imbalance.
• It trades only when the imbalance ratio exceeds a configurable threshold.
• Each trade addresses half of the calculated cash-to-asset value difference.
• Limit prices are set using the current bid–ask spread, with minimum size and precision constraints.
• The document provides backtest settings but no results demonstrating profitability.

Tags

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