fintrek / binance-portfolio-management

Implementation of PAMR portfolio management for binance cryptocurrency assets.

Automated Portfolio Management Analysis for Binance Cryptocurrency Exchange

Implementation of PAMR and MAMR portfolio management algorithms for analysis and online portfolio management of cryptocurrency assets.

Performance - with the trading fee of 0.1%

Parameters fitted to maximise the mean daily return, algorithm runs every 30 minutes

Current portfolio consists of 8 large market cap coins.

Portfolio through time

Requirements

pip3 install requests numpy scipy  

To run PAMR simulation

git clone https://github.com/alfredholmes/binancePAMR.git
cd binancePAMR
python3 data/get_candles.py 
python3 analysis/PAMR.py

References / useful papers

Passive aggressive mean reversion

Li, B., Zhao, P., Hoi, S.C.H. et al. PAMR: Passive aggressive mean reversion strategy for portfolio selection. Mach Learn 87, 221–258 (2012). https://doi.org/10.1007/s10994-012-5281-z https://link.springer.com/content/pdf/10.1007/s10994-012-5281-z.pdf

Multiperiodical Asymmetric Mean Reversion

Peng, Zijin & Xu, Weijun & Li, Hongyi. (2020). A Novel Online Portfolio Selection Strategy with Multiperiodical Asymmetric Mean Reversion. Discrete Dynamics in Nature and Society. 2020. 1-13. 10.1155/2020/5956146. http://downloads.hindawi.com/journals/ddns/2020/5956146.pdf