Single-Asset Spot Rebalancing Around a Target Allocation

Summary

This spot strategy repeatedly rebalances one cryptocurrency toward a target share of account value. When the asset’s share moves below the target by a configured adjustment threshold, it places a buy order; when the share moves above the target threshold, it places a sell order. Its stated default target is 0.5, with an adjustment threshold of 0.005. The implementation calculates prices and order values from the current coin and cash balances, and tracks outstanding orders, fills, account value, and trading volume.

The document characterizes the approach as a moderate strategy intended to run over a long period. It requires spot trading and checks that the initial holdings are near the target allocation, stopping if they are too far away. Orders can fail to place when funds or coin holdings are insufficient, while exchange precision and polling intervals shape execution. The published configuration names a BTC/USDT Binance spot backtest from July 2019 to July 2020 and lists fees, but supplies no results. Rebalancing may buy into declines and sell into rises; fees, market conditions, and execution can affect its outcome.

Key ideas

• The strategy buys or sells one spot asset to keep its value near a target share of the account.
• Trades are triggered when the asset allocation crosses a threshold around that target.
• The implementation tracks balances and open orders and accounts for exchange precision and available funds.
• It requires initial holdings near the target and is described as intended for long-term operation.
• A historical BTC/USDT test configuration is listed, but performance results are not provided.

Tags

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