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Hypotheses

ETH Spot Constant-Mix Volatility Harvest (FMZ 'Balance Strategy', wide-band): Hold 25% ETH / 75% USDT, Rebalance Back to Target Only When the ETH Weight Drifts Outside +/-2.5pp, Long-Only, No Leverage

Taken from the FMZ digest '平衡策略与网格策略详解' by 小草 (2020). The article gives two mechanisms, and we keep only the BALANCE (constant-mix) strategy. It holds a fixed value share of the coin, sells coin when that share goes…

Hypothesis

Taken from the FMZ digest '平衡策略与网格策略详解' by 小草 (2020). The article gives two mechanisms, and we keep only the BALANCE (constant-mix) strategy. It holds a fixed value share of the coin, sells coin when that share goes above target and buys when it falls below, so it always sells strength and buys weakness and cannot run out of range. We drop the GRID strategy for three reasons: its range (8000 +/- 3000) is picked with hindsight around the current price, it stops working once price leaves that range, and it did……Show moreShow less

Taken from the FMZ digest '平衡策略与网格策略详解' by 小草 (2020). The article gives two mechanisms, and we keep only the BALANCE (constant-mix) strategy. It holds a fixed value share of the coin, sells coin when that share goes above target and buys when it falls below, so it always sells strength and buys weakness and cannot run out of range. We drop the GRID strategy for three reasons: its range (8000 +/- 3000) is picked with hindsight around the current price, it stops working once price leaves that range, and it did worse than the balance strategy on the article's own profit/turnover measure. We change two things from the article. First, the band is widened from 1pp to +/-2.5pp of weight, so each rebalance needs a ~13% move instead of ~2%; at 0.20% round-trip cost on spot, 1pp sits close to the fee floor. Second, the target weight is cut from 50% to 25%, which keeps the drawdown in a -80% ETH bear at about -35% instead of about -50%. The book trades ETHUSDT.BINANCE_SPOT on 4h bars. ETH is used instead of the article's BTC because BTC is over-concentrated in the corpus, ETH is the most liquid non-BTC spot book, and ETH's higher variance makes the harvest larger. The mechanism without its wrapper is: constant-proportion rebalancing of one volatile asset against cash, with a no-trade band. There is no gate, no indicator and no supplementary feed. It is never flat in the coin (22.5-27.5% ETH at all times), but it opens no new trade on about 95% of bars. There are no sign flips, and fee drag is about 0.08% of equity per year. Honest caveat: the calendar Sharpe is mostly the 25% ETH beta, and a static 25/75 hold should be reported alongside it as the benchmark.

Analysis

平衡策略与网格策略详解

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