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Hypotheses

Thermostat (恒温器) Regime-Switching System, Faithful Port on LINK OKX Swap 1H: CMI<20 Chop Mode Trades KD Turns in the Extreme Zones, CMI>=20 Trend Mode Trades Bollinger(50,2) Close Breakouts, Always-Reversible Long/Short, Entry-Regime-Dependent 3%/1% Exits (LINKUSDT.OKX 1-HOUR)

Faithful port of the FMZ Quant digest 'Thermostat strategy in practice on the FMZ platform' (恒温器策略在发明者量化平台的实践与应用, by 善, 2019-07-20, https://www.fmz.com/digest-topic/4066, section 'My语言 code'). The source gives complete…

Hypothesis

Faithful port of the FMZ Quant digest 'Thermostat strategy in practice on the FMZ platform' (恒温器策略在发明者量化平台的实践与应用, by 善, 2019-07-20, https://www.fmz.com/digest-topic/4066, section 'My语言 code'). The source gives complete MyLanguage code; the figures show the strategy arguments (stop-loss price percentage STOPLOSS=1, Bollinger period N=50, Bollinger width N_TMP=2) and an FMZ backtest on Bitfinex BTC_USD 1-hour bars in January 2018 (one-contract sizing; the shown PnL rose then gave back most gains: total +9.9%, max……Show moreShow less

Faithful port of the FMZ Quant digest 'Thermostat strategy in practice on the FMZ platform' (恒温器策略在发明者量化平台的实践与应用, by 善, 2019-07-20, https://www.fmz.com/digest-topic/4066, section 'My语言 code'). The source gives complete MyLanguage code; the figures show the strategy arguments (stop-loss price percentage STOPLOSS=1, Bollinger period N=50, Bollinger width N_TMP=2) and an FMZ backtest on Bitfinex BTC_USD 1-hour bars in January 2018 (one-contract sizing; the shown PnL rose then gave back most gains: total +9.9%, max drawdown 27.5%, Sharpe 0.04 - unverified and not relied on). The linked strategy page (fmz.com/strategy/129086) returned HTTP 404 and was NOT read. Mechanism: the Choppy Market Index CMI = |C - C[29]| / (HHV(H,30) - LLV(L,30)) * 100 measures net travel versus range over 30 bars. Below 20 the market is classified as choppy and the system fades short swings with a KD (stochastic) turn inside the oversold/overbought zone; at or above 20 it is trending and the system follows a close outside a 50-bar, 2-std Bollinger band. Exits depend on the regime that was in force when the position was opened. ADAPTATIONS (only venue, instrument, sizing, fees): (1) instrument LINKUSDT.OKX USDT perpetual swap on 1-HOUR bars (same bar size as the source's backtest) instead of Bitfinex BTC_USD, because BTC is the most over-mined series in the corpus (~44-62% share) while OKX is 3.6% of experiments and LINK OKX has 1h history from 2020-03 (~6.5 years); the rules are instrument-agnostic and need both long and short, hence a perp; (2) sizing: the source trades a fixed 1 contract; here each position is a fixed 60% of account equity in notional at 1x (no leverage), chosen so a nearly-always-in-market LINK book (~85% annualized vol at 1x) runs about 50% annualized vol, inside the conservative profile's 60% cap; (3) execution: FMZ fills signals on the bar close; on this 24/7 venue orders are market orders at the signal bar's close (the platform's equivalent of a next-bar-open fill); (4) fees: OKX taker 0.05% per side are charged by the engine. Nothing else is changed: no extra filters, no added stops. Risk-control route (b): signal-based exits (regime-dependent take-profit / conditional stop, and reversal on any opposite entry signal) with capped sizing (60% of equity, never above 100%). Fee arithmetic: LINK 1h bars move ~0.9% per bar; a reversal system on a 50-bar band with a 3% take-profit and 1% conditional stop typically holds ~1-2 days with an absolute swing of 3-6%; if the regime switch adds even a modest directional bias the expected gross capture is ~0.3-0.4% per trade vs a 0.10% round trip (>=3x cost). Expected frequency roughly 3-5 trades a week, ~1,000-1,500 trades over the history.

Analysis

恒温器策略在发明者量化平台的实践与应用

Backtest and paper results are hypothetical. Trading involves risk of loss.