Threshold Rebalancing for an Equal-Weight Crypto Spot Portfolio

Summary

The document outlines a simple portfolio rebalancing rule for a basket of major cryptocurrencies. It proposes allocating equal portions of portfolio value to four assets and trading when an asset’s share of the account departs from its target by a stated tolerance. The implementation repeatedly reads balances and bid/ask quotes, estimates each holding’s value using a midpoint, then submits immediate-or-cancel limit orders to sell overweight assets or buy underweight ones.

The source also tracks initial funding, runtime, balances, and estimated profit, and exposes the asset list and polling and reporting intervals as parameters. It is configured for Binance spot trading and explicitly does not support backtesting. The prose and code are not fully consistent: the stated asset basket differs from the default symbols in the parameters, and the prose’s rebalance threshold differs from the threshold encoded in the trading logic. No historical performance, fees beyond order handling details, or risk analysis is presented, so the document explains an operational rule rather than demonstrating its returns.

Key ideas

• The strategy targets equal portfolio weights across a configurable set of crypto assets.
• It trades when a holding’s estimated portfolio share moves beyond a tolerance around its target.
• The implementation values holdings from account balances and midpoint quotes, then places immediate-or-cancel limit orders.
• The asset list and rebalance threshold differ between the prose and code.
• The source is designed for live Binance spot operation and states that it cannot be backtested.

Tags

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