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Hodl 20 Rebalancing Algorithm
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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 |
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