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