Daily Volatility Arbitrage between BTC and ETH Tips are appreciated! BTC: 3FzN8HipN4iXHUWgc5hkithbTQKfjjYHRW ETH: 0x4B345f58D07Ae9608BBA3184B7FF16Ac07120e35
Sürüm Notları
⋅
Upgrade from previous 'Daily Volatility Arbitrage between BTC and ETH' Tips are appreciated! BTC: 3FzN8HipN4iXHUWgc5hkithbTQKfjjYHRW ETH: 0x4B345f58D07Ae9608BBA3184B7FF16Ac07120e35
This strategy is recommended to run on a daily basis. This strategy does not use future data.
The strategy uses a modified Kaufman AMA to identify the beginning of a trend. Kaufman's AMA calculation procedure squares the smoothing factor, which is illogical, and is improved here to match the probability distribution of the efficiency factor (ER). An initial stop loss for buying is placed based on the ATR. If the price movement does not trigger the initial stop loss and rises to generate a profit, the stop loss criterion is changed to a ratcheting trailing stop according to the ATR.
In order to avoid signal drift, one must wait for the daily line to close before generating a trading signal.
After the signal is generated on Day T, the strategy will automatically calculate the limit price for the order, based on the improved AMA and ATR, you just send the order at that limit price on Day T+1, if the order is failed to fill in Day T+1, the strategy will re-calculate the limit price for next day, the price of the trailing order can be executed up to 6 times, both to avoid the buy-too-high/sell-too-low in most cases, and also to avoid missed buying/selling opportunities in rare extreme markets.
Due to the closure of the Bittrex I am running this strategy on the Binance exchange from now on. The full time net profit margin will be reduced from 61xxx% to 43xxx%, this is due to the fact that the Binance has a much larger daily trading volume than Bittrex, resulting in a smoother price movement and fewer large jumps, preventing some of the orders from being filled at the desired price. I will continue to improve on this issue in the future.