Fixed Weights

Weight Allocation Strategy

These are classes of strategies that holds a basket of assets, weighted either by a decision maker or an algorithmic factor based approach. Generally, the portfolio manager is seeking to reduce the volatility by holding multiple assets, and maximize its returns as a whole.

Our example demonstrates a simple weighting strategy based on the moving average of the last 14 days trading volume.

Code

Data

Sample weights used:

        BTC/USDT  ETH/USDT  XRP/USDT  LTC/USDT  XLM/USDT  EOS/USDT  \
Timestamp                                                                
2019-09-15     0.731     0.099     0.030     0.031     0.002     0.044   
2019-09-16     0.720     0.108     0.030     0.032     0.003     0.047   
2019-09-17     0.692     0.122     0.036     0.033     0.003     0.050   
2019-09-18     0.657     0.131     0.047     0.036     0.006     0.053   
2019-09-19     0.635     0.143     0.055     0.038     0.011     0.054   

                        BNB/USDT  
Timestamp             
2019-09-15     0.063  
2019-09-16     0.061  
2019-09-17     0.063  
2019-09-18     0.070  
2019-09-19     0.064