market maker 交易策略 - 數位貨幣
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By Lily
at 2017-05-04T11:38
at 2017-05-04T11:38
Table of Contents
我做了一個實驗,持續了大約半個月。到目前為止看來還蠻不錯的,但因為有點好康,反
而會懷疑自己是不是看漏了什麼,所以貼文問問看板上大大們有沒有類似的經驗,看看這
樣的策略是不是真的可行。
因為這個策略太簡單了。首先找一家maker手續費為0%的交易所,然後不斷掛買掛賣。我
做的是BTC/USD。確定過去半個小時的最低價,在這個價位下一個limit order,成交後再
自動在過去半小時的最高價掛一個limit sell order。如此來來回回。不是每一筆都會買
低賣高。如果五分鐘後沒有撮合,也會取消order,改用新的「半小時數據」再重新下單
。如果價格漲太快或跌太快,這個策略會虧,但其實短時間會有很多回檔,所以如果程式
開著一整天,其實虧損會補回來。整體績效相當不錯。
關於績效。我會定時根據當時的價格,把帳戶裡的btc換算成usd,再加上帳戶裡的usd,
成為總價值。我每天早上算一次。過去半個月以來,每天的總價值都是正數成長的,每天
大約0.5%到2%之間。當然,我也會對照btc價格的成長。當BTC的漲幅又高又快時,我的總
價值成長不太會跟上(有一天BTC漲3%,但我的總價值只提升1.7%)。
不過,重點是,當BTC漲一點點,甚至跌價時,我的總價值成長也是正數的!
因為這實在太簡單的。所以反而懷疑XD。不知道有沒有板友也用過這個方法?或者說,這
個策略會有什麼缺陷,以至長期來說的話是會失敗的?
另外,我是程式白癡,請不要向我要程式XD。(我用的是別人做的,付費的,但也不宜在
這裡推薦,有興趣的可以上網找找。)
--
而會懷疑自己是不是看漏了什麼,所以貼文問問看板上大大們有沒有類似的經驗,看看這
樣的策略是不是真的可行。
因為這個策略太簡單了。首先找一家maker手續費為0%的交易所,然後不斷掛買掛賣。我
做的是BTC/USD。確定過去半個小時的最低價,在這個價位下一個limit order,成交後再
自動在過去半小時的最高價掛一個limit sell order。如此來來回回。不是每一筆都會買
低賣高。如果五分鐘後沒有撮合,也會取消order,改用新的「半小時數據」再重新下單
。如果價格漲太快或跌太快,這個策略會虧,但其實短時間會有很多回檔,所以如果程式
開著一整天,其實虧損會補回來。整體績效相當不錯。
關於績效。我會定時根據當時的價格,把帳戶裡的btc換算成usd,再加上帳戶裡的usd,
成為總價值。我每天早上算一次。過去半個月以來,每天的總價值都是正數成長的,每天
大約0.5%到2%之間。當然,我也會對照btc價格的成長。當BTC的漲幅又高又快時,我的總
價值成長不太會跟上(有一天BTC漲3%,但我的總價值只提升1.7%)。
不過,重點是,當BTC漲一點點,甚至跌價時,我的總價值成長也是正數的!
因為這實在太簡單的。所以反而懷疑XD。不知道有沒有板友也用過這個方法?或者說,這
個策略會有什麼缺陷,以至長期來說的話是會失敗的?
另外,我是程式白癡,請不要向我要程式XD。(我用的是別人做的,付費的,但也不宜在
這裡推薦,有興趣的可以上網找找。)
--
Tags:
數位貨幣
All Comments
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By John
at 2017-05-06T03:01
at 2017-05-06T03:01
幾個點
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By James
at 2017-05-07T12:37
at 2017-05-07T12:37
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By Steve
at 2017-05-11T13:01
at 2017-05-11T13:01
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By Liam
at 2017-05-14T01:02
at 2017-05-14T01:02
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By Barb Cronin
at 2017-05-18T00:37
at 2017-05-18T00:37
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By Agatha
at 2017-05-19T16:00
at 2017-05-19T16:00
策略價值性
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By Harry
at 2017-05-20T10:55
at 2017-05-20T10:55
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By Isabella
at 2017-05-24T17:38
at 2017-05-24T17:38
多的話會怎樣。
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By Margaret
at 2017-05-26T21:00
at 2017-05-26T21:00
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By Odelette
at 2017-05-28T22:05
at 2017-05-28T22:05
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By Margaret
at 2017-06-01T05:36
at 2017-06-01T05:36
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By Yedda
at 2017-06-05T16:52
at 2017-06-05T16:52
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By Belly
at 2017-06-06T15:43
at 2017-06-06T15:43
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By Rebecca
at 2017-06-09T07:21
at 2017-06-09T07:21
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By Enid
at 2017-06-13T17:29
at 2017-06-13T17:29
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By Jacob
at 2017-06-17T15:44
at 2017-06-17T15:44
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By Charlotte
at 2017-06-20T01:33
at 2017-06-20T01:33
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By Rachel
at 2017-06-23T08:52
at 2017-06-23T08:52
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By Enid
at 2017-06-27T08:06
at 2017-06-27T08:06
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By William
at 2017-06-27T21:43
at 2017-06-27T21:43
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By Leila
at 2017-07-01T07:54
at 2017-07-01T07:54
的價值做比較呀~像你說btc漲3%,你價值只漲q
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By Linda
at 2017-07-02T07:01
at 2017-07-02T07:01
年積效多好,但其實要跟指數比比較有意義,因為指數賺很
大時,就算你隨便操作都很難虧吧
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By Faithe
at 2017-07-03T21:18
at 2017-07-03T21:18
。所以我還要繼續觀察接下來會變成怎樣 XD
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By Jacob
at 2017-07-07T05:31
at 2017-07-07T05:31
屬於逆勢,你看你的策略是不是漲的時候會賣,跌的時候會
買,這種策略有一特性是小賺大虧。如果急漲你就少賺,急
跌就大虧,所以不適合波動性大的標的
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By Michael
at 2017-07-08T04:14
at 2017-07-08T04:14
部分的策略都是順勢啦~逆勢屬性的策略比較勢合高頻交易
,如果你沒有高頻交易的環境和技術,通常長時間要賺錢都
不容易
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By Heather
at 2017-07-10T11:09
at 2017-07-10T11:09
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By Elma
at 2017-07-12T20:18
at 2017-07-12T20:18
人家還給你錢。
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By Joseph
at 2017-07-15T03:14
at 2017-07-15T03:14
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By Gilbert
at 2017-07-15T22:38
at 2017-07-15T22:38
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By Dora
at 2017-07-17T10:18
at 2017-07-17T10:18
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By Valerie
at 2017-07-19T13:40
at 2017-07-19T13:40
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By Poppy
at 2017-07-23T18:31
at 2017-07-23T18:31
程師就是在研究這類交易策略的演算法
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By Puput
at 2017-07-26T22:09
at 2017-07-26T22:09
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By Kumar
at 2017-07-27T00:41
at 2017-07-27T00:41
還有一部份是兌換美金流通性降低導致價格上揚
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By Michael
at 2017-07-30T16:49
at 2017-07-30T16:49
a不會neutral
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