Example 1: Auto-rebalancing by Threshold
- Trading Pair Allocations: BTCUSDT (long, 50%), ETHUSDT (long, 40%), SOLUSDT (long, 10%).
- Leverage: 10x
- Auto Rebalancing Condition: 10% threshold
- Investment: 100 USDT
- Initial Margin: 70 USDT (70% for opening, the rest as reserved margin)
| Trading Pair | BTCUSDT | ETHUSDT | SOLUSDT |
| Trading direction | Long | Long | Long |
| Preset allocation | 50% | 40% | 10% |
| Initial position value (USDT) | 350 | 280 | 70 |
| Position value at T1 (USDT) | 360 | 320 | 120 |
| Allocation of position at T1 | 45% | 40% | 15% |
| Is rebalancing triggered? | Since the deviation in allocation does not exceed the 10% threshold, rebalancing is not be triggered. | ||
| Position value at T2 (USDT) | 300 | 400 | 300 |
| Allocation of position at T2 | 30% | 40% | 30% |
| Is rebalancing triggered? | Yes. Buy to open long | No | Yes. Sell to close long |
| Transaction volume (USDT） | +200 | - | -200 |
| Allocation of position restored after rebalancing | 50% | 40% | 10% |
When any position deviates from the preset allocation by >10%, the automatic rebalancing mechanism will trigger and adjust the position to align with the preset allocation. Users can set the threshold range from 1% to 50%.
In the above example:
- T1: Total portfolio value = 800 USDT
- BTCUSDT: Current position allocation = 45%, deviation = 5%.
- ETHUSDT: Current position allocation = 40%, deviation = 0%.
- SOLUSDT: Current position allocation = 15%, all <10%, no rebalancing triggered.
- T2: Total portfolio value = 1,000 USDT
- BTCUSDT and SOLUSDT: Each current position value = 30%, deviation from preset allocation= 20%, which exceeds the 10% threshold. As such, rebalancing is triggered:
- Open a buy long position in BTCUSDT: Buy amount = (1,000 * 50%) - 300 = 200 USDT.
- Sell long position in SOLUSDT: Sell amount = 300 - (1,000 * 10%) = 200 USDT (realized gain).
- ETHUSDT: Position value equals preset allocation, no rebalancing needed.
Note: Due to the minimum order being 1 futures contract, the actual trading amount is determined by the system.
After triggering automatic rebalancing, any asset exceeding its preset allocation will be sold, and the proceeds (plus available margin) will be used to buy assets under their preset allocation, achieving the goal of taking profits at highs and buying at lows.
Example 2: Auto-Rebalancing by Cycle
- Trading Pair Allocations: BTCUSDT (long, 50%), ETHUSDT (long, 40%), SOLUSDT (long, 10%)
- Leverage: 10x
- Rebalancing Condition: 4-hour cycle
- Investment: 100 USDT
- Initial Margin: 70 USDT (approximately 70% for initial position, the remaining as reserved margin, system-determined, not customizable)
| Trading Pair | BTCUSDT | ETHUSDT | SOLUSDT |
| Trading direction | Long | Long | Long |
| Preset Allocation | 50% | 40% | 10% |
| Initial position value (USDT） | 350 | 280 | 70 |
| Position value after 4 hours (USDT) | 360 | 320 | 120 |
| Allocation after 4 hours | 45% | 40% | 15% |
| Rebalancing after 4 hours | Buy to open long | - | Sell to close long |
| Transaction volume (USDT) | +40 | - | -40 |
| Allocation of position restored after rebalancing | 50% | 40% | 10% |
The system will check the allocation of each position based on the preset cycle and automatically trigger the rebalancing mechanism to adjust the position allocations to align with the preset allocation. Users can choose from various time intervals including 30 minutes, 1 hour, 4 hours, 12 hours, 1 day, 3 days, or 7 days.
In the above example, the user has created a 4-hour futures strategy.
- BTCUSDT: Current position allocation = 45%, below preset allocation of 50%, triggering automatic rebalancing: Buy long position, amount = (800 * 50%) - 360 = 40 USDT.
- SOLUSDT: Current position allocation = 15%, above preset allocation, triggering automatic rebalancing: Sell long position in SOLUSDT, amount = 120 - (800 * 10%) = 40 USDT, profit = 40 USDT.
- ETHUSDT: Position allocation is equal to preset allocation, no rebalancing needed.
Note: Due to the minimum order being 1 futures contract, the actual trading amount is determined by the system.
After automatic rebalancing is triggered, any asset exceeding its target allocation will be sold, and the available margin (sale profit + remaining available investment) will be used to buy assets below their target allocation, achieving the goal of taking profits at highs and buying at lows.
Disclaimer
Futures strategies are a trading tool and should not be considered as financial or investment advice provided by CoinW. The returns from futures strategies may be affected by a one-way market or parameter settings. You can adjust the futures strategy based on market conditions.