We introduced a very effective and high return trading strategy before, which called “dynamic balance strategy”. This is a very classical trading strategy came from the great warren buffet ‘s mentor, Benjamin Graham, once mentioned in the book <<The Intelligent Investor>> a trading model in which stock and bonds are dynamically balanced.
The original strategy can been seen at:
https://fmzquant.quora.com/Blockchain-Quantitative-Investment-Series-Dynamic-Balance-Strategy
Today, our team’s experienced programmer has made this strategy’s coding part even shorter and easier to understand.
var Coin = ''
var Fiat = ''
var RefreshLoop = 0
var Account = ''
var Depth = ''
var Orders = ''
var BuyWeighted = 0
var SellWeighted = 0
var MidPrice = 0
var InitialBalance = exchange.GetAccount().Balance + exchange.GetAccount().Stocks * exchange.GetDepth().Bids[0].Price
function CancelPendingOrders() {
for (var j = 0; j < Orders.length; j++) {
exchange.CancelOrder(Orders[j].Id, Orders[j])}
}
function UpdateAll() {
Account = exchange.GetAccount()
Depth = exchange.GetDepth()
Orders = exchange.GetOrders()
//Log("UpdateAll")
}
function UpdatePrice() {
//MidPrice = (Depth.Asks[0].Price+Depth.Bids[0].Price)/2
BuyWeighted = Depth.Asks[0].Price * (1+SPREAD/100)
SellWeighted = Depth.Bids[0].Price * (1-SPREAD/100)
//Log("UpdatePrice")
}
function onTick(){
// Refresh account balance and market data
//Log("UpdateAll")
UpdateAll()
var Buy = Depth.Asks[0].Price
var Sell = Depth.Bids[0].Price
// Calculate the weighted price
//Log("UpdatePrice")
UpdatePrice()
// Check current order that exist
if (Orders.length==2){
return
}
if (Orders.length>2){
CancelPendingOrders()
}
// Processing a single order
if (Orders.length==1){
Order = Orders[0]
Price=Order.Price
if (Order.Type==0){
if (Price/(1-SPREAD/100) > Sell){
return
}else{
CancelPendingOrders()
UpdateAll()
}
}else{
if (Price/(1+SPREAD/100) < Buy){
return
}else{
CancelPendingOrders()
UpdateAll()
}
}
}
// Calculate the value of the position held
var ValueByBuy = Account.Stocks * BuyWeighted
var ValueBySell = Account.Stocks * SellWeighted
Log(Coin + " Value By Weighted Ask - " + Fiat +" Balance : " + (ValueByBuy-Account.Balance))
Log(Fiat + " Balance - " + Coin +" Value By Weighted Bid : " +(Account.Balance-ValueBySell))
//Log(ValueByBuy)
//Log(ValueBySell)
// The value of the currency is higher than the price of coin. sell the coin.
if (ValueByBuy > Account.Balance){
ToBeSold = (ValueByBuy - Account.Balance)/2/BuyWeighted
if (ToBeSold > AMOUNT_MINIMUM){
ToBeSold = _N(Math.floor(ToBeSold / AMOUNT_INCREMENT) * AMOUNT_INCREMENT)
Log("Will be sold " + Coin + " Quantity:" + ToBeSold)
exchange.Sell(BuyWeighted,ToBeSold)
}
}
// The value of the currency is smaller than the coin. buy the coin.
if (ValueBySell < Account.Balance){
ToBeBought = (Account.Balance - ValueBySell)/2/SellWeighted
if (ToBeBought > AMOUNT_MINIMUM){
ToBeBought = _N(Math.floor(ToBeBought / AMOUNT_INCREMENT) * AMOUNT_INCREMENT)
Log("Will be brought " + Coin + " Quantity:" + ToBeBought)
exchange.Buy(SellWeighted,ToBeBought)
}
}
Log(Fiat + " Quantity:" + Account.Balance)
Log(Coin + " Quantity:" + Account.Stocks)
RefreshLoop = RefreshLoop+1
if (RefreshLoop>60) {
var Profit = _N(Account.Stocks*Sell) + _N(Account.Balance) - _N(InitialBalance)
LogProfit(Profit)
RefreshLoop = 0
}
}
function main(){
var Pair = exchange.GetCurrency()
LogReset()
LogProfitReset()
LogProfit(0)
UpdateAll()
CancelPendingOrders()
Coin = Pair.split("_")[0]
Fiat = Pair.split("_")[1]
while (true){
try {
onTick()
} catch (err) {
Log(err)
}
Sleep(DELAY*1000)
}
}
And the strategy arguments setting:
For more information, please see: https://www.fmz.com/bbs-topic/2282