Korean Exchange Arbitraging
4. GIMP Arbitrage Strategy
You can do arbitrage in the coin market by referring to the above materials!
Hello, this is Coinchung!
If you are interested in coin investing, you may have heard of the 1x short funding rate strategy. Everyone says it's a jackpot, it's stable, and it's risk-free, but they don't verify it using data directly and think it's useless.
Binance Bitcoin Futures Funding Fee Backtest.xlsx
Therefore, in this post, I will guide you on how to 1) download funding data from the Binance Futures Exchange and 2) how to backtest Excel! We have carefully crafted it if you want us to receive your own data and backtest it to validate your strategy and put valuable money into it.
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1. Download the funding fee CSV file!
After logging in to Binance Exchange, click 'Derivatives-Derivatives' at the top! Next, go to 'Binance Futures Overview - Binance Futures Overview' at the top.
Click the 'Information-Information' tab on the top menu and click 'Funding Rate History - Funding Rate History' to check the data!
As shown below, you can check the funding rate ratio of BTCUSDT Perpetual (Bitcoin USDT Perpetual Futures) in graphs and figures. Click the 'Save as CSV' button here to extract the Excel data.
Click the 'Save' button to download after you have decided where you want to save it!
2. Sort by date/time in ascending order!
The first thing to do after opening the downloaded Excel file is to sort 'time - Date/Time' in ascending order. To sort, drag all the cells and apply a filter (F).
After applying the filter, click the 'arrow' in 'Time' and then click 'Sort by date/time in ascending order (S)'!
3. 8 hours reinvestment, compound interest rate calculation!
Next, for convenience of calculation, put '1' in cell E1 and enter '=E1*(1+D2)' below to calculate the cumulative return under the guise of reinvesting every 8 hours.
After entering the formula, apply it to all cells! 'Double-click' the small dot at the bottom right of the cell to apply all.
4. Calculate the highest point with the MAX function!
Let's use a function called MAX to calculate the peak of the cumulative return. Let's enter =max(E1, E2) in cell F2 to calculate the highest return and peak for reinvesting every 8 hours.
Similarly, apply to all cells.
5. Calculate the highest drop with the MIN function!
Let's calculate the MDD (Maximum Loss) based on the calculated peak! The way it is calculated is (cumulative return - peak)/peak. So let's enter =(E2-F2)/F2 in cell G2~
Drag it all the way
Next, we will use the MIN(minimum) function to calculate the largest drop among MDDs. Let's find the lowest number up to =Min(G2:G2110)!
Voila! -0.3% came out! This means that the maximum loss of this strategy was only -0.3%.
6. Insert chart with date and cumulative return!
After dragging the TIME and cumulative returns, we will 'insert chart' (a line chart is recommended)!
I gave the chart title and adjusted the scale. It looks neat, right? The steady upward sloping profit curve is beautiful.
7. Identify CAGR and MDD!
The number of investment days is the number of days of the last investment minus the date of the first investment.
The number of years of investment is the number of days divided by 365 days.
CAGR stands for Compunded Annual Growth Rate, which is the compounded annual rate of return.
MDD stands for MaximumDrawdown, meaning the highest drop and the highest loss.
▶For more detailed calculation methods, please check the coin pick quant investment terminology!
As a result of direct calculations, it was found that for about two years, the compound yielded a return of 25% per annum, and the biggest drop was -0.3%. The risk-return ratio is very good, and it is judged to be superior to deposits and staking.
However, the assumption that I backtested is when reinvesting is done every 8 hours, and I backtested it based on data from USDT perpetual futures, not Binance COIN-M. Please refer to this post only as a backtest guideline.
If you are planning to make a real investment, I recommend that you first read Songdo Whale's post, which summarizes the strategy of 1x short funding among the materials I have seen so far. thank you!