Crypto Rebalancing Premium Strategy (Python)
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Crypto Rebalancing Premium Strategy (Python Version)
The Crypto Rebalancing Premium strategy maintains an equal‑weight portfolio of Bitcoin and Ethereum. By rebalancing the basket each week it attempts to harvest the premium generated by volatility between the two assets.
The strategy watches hourly candles and performs a rebalance at the first hour of every Monday. Trades are skipped if the required adjustment is smaller than a user‑defined USD threshold.
Details
- Universe: Bitcoin and Ethereum symbols.
- Signal: Keep BTC and ETH at 50/50 weights.
- Rebalance: Weekly on Monday 00:00 UTC.
- Positioning: Long only, equal‑weight.
- Parameters:
BTC– bitcoin security.ETH– ethereum security.MinTradeUsd– minimum trade value in USD.CandleType– candle timeframe (default: 1 hour).
- Note: Implementation is simplified and does not include fees or funding costs.
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