Hypotheses

ianzeng123 RWA Risk Parity v2.5 — Faithful Four-Asset Bybit Port

Hypothesis

Translate ianzeng123's executable multi-asset allocation strategy, preserving the supplied code rather than correcting it to match the prose. Trade BTC, gold, SPY and crude-oil USDT perpetuals on Bybit. The code uses PERIOD_H1, not the description's 15-minute covariance bars. Preserve signed risk-parity weights, volatility-dependent exposure, initial/timed/weight-change/direction-change rebalancing and emergency partial reductions. Source defaults are TRADE_MODE=paper, INIT_CAPITAL=10000 USDT, LOOKBACK=60, EWMA_LAMBDA=0.94, TARGET_VOL=0.15, MAX_LEVERAGE=3, REBALANCE_HOURS=24, DRIFT_THRESHOLD=0.15, POSITION_RATIO=0.95 and MIN_REBAL_USDT=5. The platform adaptation uses its actual $100000 account equity and engine accounting, with real commissions and execution costs; do not reproduce the source's fee-free simulated PnL as backtest results. Preserve the source paper branch's allocation decisions separately from engine accounting. No parameter optimization is authorized.

Analysis

RWA大类资产风险平价策略

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

Strategies

Hypothesis

Analysis