Different quantitative strategies on the cryptocurrency, where has been verified with real trading.
Cholian (Chao Li)
cholianli970518 dot gmail dot com
This is a free version with limited features. If you want to implement it in your real account, please contact the author.
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Strategies
- 🔥:star:EMA strategy (Finished)
- 🔥:star:Cross-exchange funding rate arbitrage strategy (Finished)
- ⭐Nagative Funding rate strategy (Finished)
- Cross-exchange price arbitrage strategy (updating)
- ARIMA-based volatility modelling strategy (updating)
- GJR-GARCH-based multiple tokens strategies (updating)
- 🚧LSTM-based multiple tokens strategy (OnGoing)
- 🚧Simple RNN-strategy (OnGoing)
- Attentions-based trend signals identification (updating)
Exchange: Binance
API: Binance API
| Strategy | Frequency | Risk natural | Sharp ratio | Annual return (1X leverage) | Maximum Drawdown |
|---|---|---|---|---|---|
| EMA | Low | Long-Short | 3.56 | 77.36% | 11.71% |
| Nagative Funding Rate | High | Natural | - | - | - |
| Cross-exchange funding rate arbitrage strategy (Multiple coins) | Medium | Natural | - | 51.23% | 10.56% |
| Cross-exchange funding rate arbitrage strategy (Single coins) | Low | Natural | - | 5.2% | 0.09% |