Hodl 20 Rebalancing Algorithm

hodl20.py

 def calc_allocations(self, date, quantity, cap):
        """Figure out ideal allocations for a given date"""
        # {
        #     coin_name: (percent_allocation, data)
        # }

        top_market = self.get_top_market(date, quantity)
        total_cap = sum([coin.market_cap for coin in top_market])

        allocations = [{
            'market_cap': coin.market_cap,
            'symbol': coin.name,
            'ratio': (coin.market_cap / total_cap) # ratios (sums to 100%)
        } for coin in top_market]

        allocations = list(sorted(allocations, key=lambda alloc: -alloc['ratio'])) # sort by descending ratio

        for i in range(len(allocations)):
            alloc = allocations[i]

            if alloc['ratio'] > cap:
                overflow = alloc['ratio'] - cap # the amount of % that needs to be spread to the other coins
                alloc['ratio'] = cap

                remaining_allocs = allocations[i+1:]

                total_nested_cap = sum([n_alloc['market_cap'] for n_alloc in remaining_allocs]) # market cap of the remaining coins
                new_allocs = list()

                for n_alloc in remaining_allocs:
                    cap_fraction = n_alloc['market_cap'] / total_nested_cap # percentage of the remainder this makes up (sums to 100%)
                    n_alloc['ratio'] += overflow * cap_fraction             # weighted
                    new_allocs.append(n_alloc)

                allocations = allocations[:i+1] + new_allocs