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For details, refer to this article: https://www.fmz.com/digest-topic/9698 .

Sorting the final combined factor from small to large, the coins to be selected are divided into 3 groups by the order, and each group of coins accounts for about 1/3. If one factor is effective, the less number for each group, the higher the rate of return . Long the first group (with the smallest factor value) and short the third group. If the larger the factor, the higher the return, you can reverse the long and short positions or simply change the factor to a negative or reciprocal number.

Factor forecasting ability can often be roughly assessed based on the final backtested returns and Sharpe ratios. In addition, it is necessary to refer to whether the factor expression is simple, insensitive to the size of the grouping, insensitive to the adjustment interval, and insensitive to the initial time of backtesting.

Regarding the frequency of rebalancing, the stock market often has a cycle of 5 days, 10 days or one month, but for the digital currency market, such a cycle is undoubtedly too long, and the real-time market is monitored in real time, There is no need to readjust the position by a certain cycle, so in the real market, we adjust the position in real time or in a short period of time.

Regarding how to close the position, according to the traditional method, one coin’s position can be closed if it is not in the group in the next cycle. However, in the case of real-time adjustment of positions, some coins may be at the boundary, and there will be situations where positions are closed and opened for a short time. Therefore, this strategy will wait for the group change, and then closes the position when it is necessary to open t4he position in the opposite direction. For example, when the coin in the long position (first group) changes into the third group, then close long position and open short position at same time. If the position is closed at a fixed period, such as every day or every 8 hours, the method of closing the position without being in the same group can also be used. You can try more.

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