Ahr999 Fixed Investment Strategy

This strategy is based on the AHR999 and AHR999X indicators. By comparing the current price with the harmonic mean price and logarithmic price, it determines whether Bitcoin is overbought or oversold, and accordingly…

JavaScriptDCA & fixed investment Mean reversion Trend following

Author: ChaoZhang
Complexity: Intermediate · 138 lines
Parameters: 9
Backtest bar: 1d · swing
Tested on: BTC/USDT · spot

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ahr999Mean Reversion Strategy | AHR999 Mean Reversion Strategy AHR999, AHR999X, Harmonic average, logarithmic price, net value

####Overview This strategy is based on the AHR999 and AHR999X indicators. By comparing the current price with the harmonic mean price and logarithmic price, it determines whether Bitcoin is overbought or oversold, and accordingly conducts fixed investment and bottom-fishing operations. Meanwhile, the strategy also sets a take-profit condition to partially sell when the AHR999X indicator is below a certain threshold.

####Strategy Principle

Calculate the harmonic mean of Bitcoin's historical prices as a reference for the long-term equilibrium price.
Calculate the corresponding logarithmic price based on the number of days since Bitcoin's birth as a reference for the long-term trend price.
Calculate the current AHR999 indicator, which is the product of the ratio of the current price to the harmonic mean price and the logarithmic price.
Calculate the current AHR999X indicator, which is 3 times the ratio of the harmonic mean price to the current price multiplied by the ratio of the logarithmic price to the current price.
Based on the value of the AHR999 indicator, determine whether to conduct fixed investment or bottom-fishing. Fixed investment is made when AHR999 is within a set range, and bottom-fishing is made when it is below the lower limit.
Based on the value of the AHR999X indicator, determine whether to take profit. When AHR999X is below a set threshold, sell a certain proportion of the position.

####Advantage Analysis

The strategy is based on Bitcoin's long-term equilibrium price and trend price, with a certain theoretical basis and interpretability.
The introduction of the harmonic mean reduces the impact of short-term fluctuations, making the judgment more robust.
By combining the AHR999 and AHR999X indicators, it can better capture Bitcoin's overbought and oversold status and the timing of profit-taking.
Fixed investment and bottom-fishing are combined to gradually build positions when prices are relatively undervalued, resulting in relatively low costs.
The take-profit operation is set to obtain certain returns when prices are relatively overvalued while retaining most of the positions for long-term appreciation.

####Risk Analysis

The strategy relies on the AHR999 and AHR999X indicators. If the future price movement of Bitcoin changes significantly, causing these two indicators to fail, the strategy may face greater risks.
The harmonic mean is sensitive to the length of historical prices. If the selected historical price interval is not reasonable enough, it may affect the performance of the strategy.
The calculation of the logarithmic price is based on the number of days since Bitcoin's birth. If the long-term growth trend of Bitcoin changes, the logarithmic price may lose its reference significance.
The strategy may face the risk of insufficient funds for bottom-fishing when prices are relatively high, leading to the inability to build positions in a timely manner.
The take-profit operation may cause the strategy to miss some gains if prices continue to rise.

####Optimization Direction

Optimize the thresholds of the AHR999 and AHR999X indicators to find the most suitable intervals for fixed investment, bottom-fishing, and profit-taking.
Introduce more indicators, such as trading volume and volatility, to assist in judging trends and overbought/oversold states.
Optimize the calculation method of the harmonic mean, such as appropriately adjusting the weights of historical prices to reduce dependence on distant historical prices.
Dynamically adjust the amount of fixed investment and bottom-fishing, increasing investment when prices are lower and reducing investment when prices are higher.
Optimize the take-profit operation, such as dynamically adjusting based on price trends and position costs to balance returns and risks.

####Summary The AHR999 Mean Reversion Strategy determines Bitcoin's overbought and oversold status by comparing the current price with the historical equilibrium price and trend price, and conducts fixed investment, bottom-fishing, and take-profit operations. This strategy has a certain theoretical basis and interpretability. By combining two indicators, it can better capture the price fluctuation patterns of Bitcoin. However, the strategy also faces risks in terms of indicator failure, parameter selection, and fund management, requiring continuous optimization and improvement in practice. Overall, the AHR999 Mean Reversion Strategy provides a feasible idea for long-term value investment in Bitcoin.

Parameters

Name	Default	What it controls
InitMoney		Initial amount
Interval	Hour	Dollar-cost averaging interval
Money		Fixed investment amount
Top		(?Dollar-cost averaging settings) dollar-cost averaging line
Bottom		Copy the bottom line
Multiple		Copy the bottom number
TakeProfit		(?Top escape setting) whether to escape the top
TakeProfitLine		Escape from the top line
TakeProfitRate	According to fixed investment frequency	peak avoidance ratio

Source JavaScript

/*backtest
start: 2018-04-14 00:00:00
end: 2021-07-18 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"BTC_USDT","balance":1000000,"stocks":0}]
*/

/*
 * @Project:
 * @Version:
 * @Author: RedSword <[email protected]>
 * @Description:
 * @Date: 2021-07-19 11:02:43
 * @LastEditors: RedSword
 * @LastEditTime: 2021-07-19 15:55:16
 * @Copyright:: Copyright © 2020 FMZ Quant
 * Thanks to the master ahr999, some financial management can be added to the follow-up improvement. If the coins and money are idle, the income will be lower. You can also lend it to bitfinex. The annual income is more than ten years. You can also enlarge the funds. After buying the coins, go long on the delivery contract. I can think of so much for the time being. I hope everyone can communicate more.
 * Reference:
 * https://github.com/who3m1/ahr999-mixin
 * https://btctom.com/ahr999
 * https://btctom.com/ahr999x
 */

function harmonicMean(x) {
	if (x.length === 0) {
		return undefined;
	}
	var reciprocalSum = 0;
	for (var i = 0; i < x.length; i++) {
		if (x[i] <= 0) {
			return undefined;
		}
		reciprocalSum += 1 / x[i];
	}
	return x.length / reciprocalSum;
}
function GetNowPrice() {
	var ticker = exchange.GetTicker();
	return ticker.Last;
}
function GetPrices() {
	var records = exchange.GetRecords(PERIOD_D1);
	var prices = [];
	for (let i = 0; i < records.length; i++) {
		const record = records[i];
		// Log(record);
		prices.push(record.Close);
	}
	return prices;
}

function CalcAHR999() {
	var now = parseInt(Unix());
	var prices = GetPrices();
	var avgPrice = harmonicMean(prices);
	var nowPrice = GetNowPrice();
	var birthday = (now - 1230940800) / (24 * 60 * 60);
    var logPrice = Math.pow(10, 5.84 * Math.log10(parseInt(birthday)) - 17.01);
	//2020-4-16 13:16 Use new indicators in the future
	//https://weibo.com/5034063086/IDzPWyN8Z?from=page_1005055034063086_profile&wvr=6&mod=weibotime
	if (now > 1587014160) {
		logPrice = Math.pow(10, 5.8 * Math.log10(parseInt(birthday)) - 16.88);
	}
	var ahr999 = Math.round((nowPrice / avgPrice) * (nowPrice / logPrice) * 1000) / 1000;
	var ahr999x = Math.round((avgPrice / nowPrice) * (logPrice / nowPrice) * 3 * 1000) / 1000;
	return {
		ahr999: ahr999,
		ahr999x: ahr999x,
	};
}

function init() {
	exchange.SetMaxBarLen(200);
	if (exchange.GetCurrency().indexOf("BTC_USD") == -1) {
		throw "Only supports BTC trading pairs";
	}
}
function UpdateStatus(account, nowPrice) {
	var table = {
		type: "table",
		title: "Position information",
		cols: ["Fixed investment currency", "Initial net value", "Current net value", "Number of fixed investments", "Quantity of positions", "Average price of positions", "Current price", "Cumulative fixed investment", "Available funds", "Profit rate%"],
		rows: [],
	};

	var netValue = account.Balance + account.Stocks * nowPrice;
	table.rows.push([
		exchange.GetCurrency(),
		InitMoney,
		_N(netValue, 2),
		Global.number,
		_N(account.Stocks, 6),
		_N((InitMoney - account.Balance) / account.Stocks, 2),
		nowPrice,
		_N(Global.number * Money, 2),
		_N(account.Balance, 2),
		_N((netValue / InitMoney) * 100),
	]);
	LogStatus("`" + JSON.stringify(table) + "`");
}
var Global = {
	upTime: 0, //Cycle Interval
	number: 0, //Number of Regular Investments
	multipleNumber: 0, //Number of Bottom-Fishing Investments
};

function main() {
	while (true) {
		var now = parseInt(Unix());
		if (now > Global.upTime) {
			var price = GetNowPrice();
			var account = exchange.GetAccount();
			var ahr999 = CalcAHR999();
			Global.upTime = now + 3600 * Interval;
			if (ahr999.ahr999 >= Bottom && ahr999.ahr999 < Top) {
				if (Money > account.Balance) continue;
				Log("Start Regular Investment");
				exchange.Buy(-1, Money);
				Global.number++;
			} else if (ahr999.ahr999 < Bottom) {
				if (Money * Multiple > account.Balance) continue;
				Log("Start Bottom-Fishing");
				exchange.Buy(-1, Money * Multiple);
				Global.number += Multiple;
			}
			if (TakeProfit & (ahr999.ahr999x < TakeProfitLine)) {
				Log("Start Top Escape");
				var sell = Global.number * TakeProfitRate * Money;
				var coinNumber = sell / price;
				exchange.Sell(-1, coinNumber);
			}
			UpdateStatus(account, price);
		}
		Sleep(1000);
	}
}

Published by ChaoZhang on the FMZ strategy square · last modified 2024-06-12. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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