Preliminary Study on Backtesting of Digital Currency Options Strategy

Recently, FMZ Platform has upgraded the backtesting system to support the backtesting of digital currency options. This time, it supports some option data of the Deribit exchange. So we have better tools for option trading learning and strategy verification.

Deribit options backtest

The Deribit option defined in the backtest system is European style, and the value of one contract is 1BTC. The option contract code is: BTC-7AUG20–12750-C.

SubjectExercise DateExercise Price(Call/Put) OptionBTC7AUG2012750CBitcoinExercise on August 7, 2020Exercise price 12750Call optionsBTC7AUG2012750PBitcoinExercise on August 7, 2020Exercise price 12750Put option

Operations such as setting contracts and obtaining positions are…


Preface

The “HANS123” strategy was first mainly applied to the foreign exchange market. Its trading method is relatively simple and belongs to the trend breakthrough system. This trading method can enter the market as soon as the trend is formed, so it is favored by many traders. So far, HANS123 has expanded a lot of versions, let’s understand and deploy the HANS123 strategy together.

Principle of Strategy

Some people believe that the opening of the market in the morning is the time when the market has the greatest divergence. After about 30 minutes, the market has fully digested all kinds of overnight information, and…


Traders who design trading strategies often ask me how to design timing functions for strategies so that strategies can handle certain tasks at specified times. For example, some intraday strategies need to close positions before the first section end in a trading day. How to design such requirements in the trading strategy? A strategy may use a lot of time control. In this way, we can encapsulate the time control function to minimize the coupling between the time control code and the strategy, so that the time control module can be reused and is concise in use.

Design an “alarm clock”

// triggerTime: 14:58:00
function…

Traders who design trading strategies often ask me how to design timing functions for strategies so that strategies can handle certain tasks at specified times. For example, some intraday strategies need to close positions before the first section end in a trading day. How to design such requirements in the trading strategy? A strategy may use a lot of time control. In this way, we can encapsulate the time control function to minimize the coupling between the time control code and the strategy, so that the time control module can be reused and is concise in use.

Design an “alarm clock”

// triggerTime: 14:58:00
function…


Speaking of hedging strategies, there are various types, diverse combinations, and diverse ideas in various markets. We explore the design ideas and concepts of the hedging strategy from the most classic intertemporal hedging. Today, the crypto currency market is much more active than at the beginning, and there are also many futures contract exchanges that offer plenty of opportunities for arbitrage hedging. Spot cross-market arbitrage, cash hedge arbitrage, futures intertemporal arbitrage, futures cross-market arbitrage, etc., crypto quantitative trading strategies emerge one after another. Let’s take a look at a “hardcore” intertemporal hedging strategy written in C++ and trading on the…


Summary

The price is either up or down. In the long run, the probability of price rise and fall should be 50%, so to correctly predict the future price, you need to obtain all the factors that affect the price in real time, and then give each factor a correct weight, and finally make Objective and rational analysis. To list all the factors that affect the price, it may fill the entire universe.

Summarized as: global economic environment, national macro policies, related industrial policies, supply and demand relations, international events, interest rates and exchange rates, inflation and deflation, market psychology, and…


Introduction

FMZ.COM, as a quantitative trading platform, is mainly to serve programmatic traders. But it also provides a basic trading terminal. Although the function is simple, sometimes it can be useful. For example, if the exchange is busy and cannot be operated, but the API still works. At this time, you can withdraw orders, place orders, and view them through the terminal. In order to improve the experience of the trading terminal, plug-ins are now added. Sometimes, we need a small function to assist the transaction, such as ladder pending orders, iceberg orders, one-click hedging, one-click closing positions and other operations…


About us

This trading system is quantitatively designed by 泊宇量化. we are a team that has been committed to researching quantitative trading strategies for a long time.

Last year, we have achieved a excellent results in the Tokeninsight Quantitative Contest.

Thanks you FMZ community for providing such a platform.
In order to better support the construction of quantitative communities, the design concept and design ideas of this strategy are now publicly published here.
I hope you can learn the design and application of quantitative trading.

The origin of the quantitative rate trading strategy

The inspiration for the quantitative typing rate system is mainly from physics

The definition of speed in…


If the price of Bitcoin one day in the future will be the same as it is now, what strategy will you adopt to gain profit? The easy way to think of is to sell if it rises, buy if it falls, and wait for the price to recover again, and then earn the intermediate price difference. How to implement it? How much do you need to sell when it rises? If you sell too early, you will obviously lose money. Similarly, buying too early will make less profit. …


When using digital currency quantitative trading robots, when there are multiple robots running on a server, if you visit different exchanges, the issue is not serious at this time, and there will be no API request frequency problem. If you need to have multiple robots running at the same time, and they are all visit the same exchange with the same trading pair quantitative trading strategy. At this time, there will be some issues of API request frequency limitation. So how to solve the problem of multi-robot access interface with the least number of servers?

We can implement a market…

FMZ Quant

💻Building an extraordinary quantitative world #quants #traders #quantitative #strategy #Bitcoin #cryptocurrency #Futures #Stocks https://t.me/FMZQuantq

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