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Main => General Discussion => Topic started by: binggo on February 22, 2020, 02:57:15 am

Title: BAIP4: use 1 hours period EMA(6) to instead of BAIP 2
Post by: binggo on February 22, 2020, 02:57:15 am

BAIP4:  use 1 hours period EMA(6) to instead of BAIP 2
https://github.com/bitshares/baips/issues/12


Current price : The real-time BTS price of CEX, and notice: we still have many feed provider give a most lower feed price of CEX.

1 hours period EMA(6): Get the bar data from CEX，then calculate out the EMA6.

Weighting factor:  EMA(6) is the latest bar.

Weighting factor of EMA(6)= EMA(6) / (X * current price + EMA(6)), We can try X=6 first，X=(1，10）

Quote

FEED PRICE =max(weighting factor * 1 hours period EMA(6) + weighting factor * current price，current price)

Explanation：

As the EMA（6）come from the latest finished 1 hour bar, and the current price come from the next hour which the 1 hour didn't finish, so the feed price was constituted by a fixed EMA（6）in 1 hour and a variable current price.

If use proportion of weighting factor, the weighting factor of EMA（6）will be great when the price spread became great between EMA（6）and current price, the value of X will determine the upper limit,  if the price spread became small, the weight of EMA(6) will become small followling.

This FEED PRICE can track the real-time price more quickly, can avoid the lower shadow and repair price more faster(but still need 5/6 hours to repair).

Shorting attack will need more time to make the price down.

There still have a big discount space, so i think to add the weighting factor * current price to make the big discount space more smaller.

Weighting factor * current price will increase the nondeterminacy of feed price.



We can get the EMA6 can track the real-time price more quickly, and have enough price buffer.
Repair price more faster(but still need 5/6 hours to repair).

(https://user-images.githubusercontent.com/34892308/75084008-238abf80-5558-11ea-8116-49b4bf32de8d.png)
(https://user-images.githubusercontent.com/34892308/75084010-25548300-5558-11ea-8c32-f594c0d9e51f.png)



The price had plummeted in 09/25/2019, many users were margin called by the lower shadow.

(https://user-images.githubusercontent.com/34892308/75085450-68b4ee80-5564-11ea-912b-a4d36ec28d0e.png)
(https://user-images.githubusercontent.com/34892308/75084012-284f7380-5558-11ea-9a0b-8210d903ed30.png)
(https://user-images.githubusercontent.com/34892308/75084013-28e80a00-5558-11ea-9843-7288fc10f8b4.png)


Why we not use 30m or smaller period, we can check below, almost didn't have bar.

(https://user-images.githubusercontent.com/34892308/75084014-2980a080-5558-11ea-8dbd-948bcde82180.png)


This is the EMA3, can track more faster, but maybe we shouldn't use it now.

(https://user-images.githubusercontent.com/34892308/75084016-2a193700-5558-11ea-9101-c07b30afa1e2.png)


https://bitsharestalk.org/index.php?topic=32143.msg341235;topicseen#msg341235
https://github.com/bitshares/baips/issues/4
https://github.com/bitshares/baips/issues/7

EMA, DEMA, XEMA
(https://user-images.githubusercontent.com/34892308/75088409-c3137680-5587-11ea-8d2b-546177b71c2c.png)

Title: Re: Suggestion: use 1 hours period EMA(6) to instead of BAIP 2
Post by: binggo on February 23, 2020, 09:15:29 am

Adjustment factor X=4.5，data come from huobi 1 hour EMA6，2020/02/15 22：00 to 2020/02/17 03：00

(https://user-images.githubusercontent.com/34892308/75960531-2a6fe580-5efb-11ea-880e-bcd7d82d7ab3.png)

| EMA\(6\) | CEX PRICE   | FEED PRICE      | EMA WEIGHT   | CEX weight    | spread    | FALL       |
|-----------|---------|----------|----------|----------|----------|----------|
| 0\.0389   | 0\.0366 | 0\.0370  | 0\.1911  | 0\.8089  | 1\.2007% | 6\.28%   |
| 0\.0385   | 0\.0332 | 0\.0343  | 0\.2049  | 0\.7951  | 3\.2709% | 15\.96%  |
| 0\.0373   | 0\.034  | 0\.0346  | 0\.1960  | 0\.8040  | 1\.9024% | 9\.71%   |
| 0\.0364   | 0\.0332 | 0\.0338  | 0\.1959  | 0\.8041  | 1\.8883% | 9\.64%   |
| 0\.0359   | 0\.0346 | 0\.0348  | 0\.1874  | 0\.8126  | 0\.7040% | 3\.76%   |
| 0\.0357   | 0\.0345 | 0\.0347  | 0\.1870  | 0\.8130  | 0\.6503% | 3\.48%   |
| 0\.0354   | 0\.0346 | 0\.0347  | 0\.1852  | 0\.8148  | 0\.4283% | 2\.31%   |
| 0\.0353   | 0\.0348 | 0\.0349  | 0\.1839  | 0\.8161  | 0\.2643% | 1\.44%   |
| 0\.0352   | 0\.0346 | 0\.0347  | 0\.1844  | 0\.8156  | 0\.3198% | 1\.73%   |
| 0\.035    | 0\.034  | 0\.0342  | 0\.1862  | 0\.8138  | 0\.5476% | 2\.94%   |
| 0\.035    | 0\.0349 | 0\.0349  | 0\.1822  | 0\.8178  | 0\.0522% | 0\.29%   |
| 0\.0351   | 0\.0351 | 0\.0351  | 0\.1818  | 0\.8182  | 0\.0000% | 0\.00%   |
| 0\.0355   | 0\.0361 | 0\.0361  | 0\.1793  | 0\.8207  | 0\.0000% | \-1\.66% |
| 0\.0357   | 0\.0361 | 0\.0361  | 0\.1802  | 0\.8198  | 0\.0000% | \-1\.11% |
| 0\.0359   | 0\.0355 | 0\.0356  | 0\.1835  | 0\.8165  | 0\.2068% | 1\.13%   |
| 0\.0358   | 0\.0355 | 0\.0356  | 0\.1831  | 0\.8169  | 0\.1547% | 0\.85%   |
| 0\.0357   | 0\.0354 | 0\.0355  | 0\.1831  | 0\.8169  | 0\.1551% | 0\.85%   |
| 0\.0357   | 0\.0351 | 0\.0352  | 0\.1844  | 0\.8156  | 0\.3151% | 1\.71%   |
| 0\.0356   | 0\.035  | 0\.0351  | 0\.1844  | 0\.8156  | 0\.3160% | 1\.71%   |
| 0\.0354   | 0\.0336 | 0\.0339  | 0\.1897  | 0\.8103  | 1\.0163% | 5\.36%   |
| 0\.035    | 0\.0333 | 0\.0336  | 0\.1893  | 0\.8107  | 0\.9666% | 5\.11%   |
| 0\.0345   | 0\.0332 | 0\.0334  | 0\.1876  | 0\.8124  | 0\.7346% | 3\.92%   |
| 0\.0342   | 0\.0324 | 0\.0327  | 0\.1900  | 0\.8100  | 1\.0556% | 5\.56%   |
| 0\.034    | 0\.0326 | 0\.0329  | 0\.1882  | 0\.8118  | 0\.8080% | 4\.29%   |
| 0\.0337   | 0\.032  | 0\.0323  | 0\.1896  | 0\.8104  | 1\.0075% | 5\.31%   |
| 0\.0333   | 0\.0301 | 0\.0307  | 0\.1973  | 0\.8027  | 2\.0979% | 10\.63%  |
| 0\.0328   | 0\.0303 | 0\.0308  | 0\.1939  | 0\.8061  | 1\.5999% | 8\.25%   |
| 0\.0323   | 0\.0317 | 0\.0318  | 0\.1846  | 0\.8154  | 0\.3494% | 1\.89%   |
| 0\.0322   | 0\.0305 | 0\.0308  | 0\.1900  | 0\.8100  | 1\.0592% | 5\.57%   |
| 0\.0317   | 0\.0305 | 0\.0307  | 0\.1876  | 0\.8124  | 0\.7382% | 3\.93%   |


---------------------------
Adjustment factor X=4.5，data come from ZB，2020-02-26 08:00 到 2020-02-26 13：00

(https://user-images.githubusercontent.com/34892308/75960720-8470ab00-5efb-11ea-890f-780776092c1f.png)

| EMA\(6\) | CEX PRICE   | FEED PRICE      | EMA WEIGHT   | CEX weight    | spread    | FALL       |
|-----------|---------|----------|----------|----------|-----------|---------|
| 0\.2069   | 0\.185  | 0\.1894  | 0\.1991  | 0\.8009  | 2\.3564%  | 11\.84% |
| 0\.2036   | 0\.1429 | 0\.1575  | 0\.2405  | 0\.7595  | 10\.2148% | 42\.48% |
| 0\.1961   | 0\.1725 | 0\.1773  | 0\.2017  | 0\.7983  | 2\.7592%  | 13\.68% |
| 0\.1905   | 0\.175  | 0\.1780  | 0\.1948  | 0\.8052  | 1\.7252%  | 8\.86%  |
| 0\.1875   | 0\.1778 | 0\.1796  | 0\.1899  | 0\.8101  | 1\.0358%  | 5\.46%  |
| 0\.1863   | 0\.1815 | 0\.1824  | 0\.1857  | 0\.8143  | 0\.4912%  | 2\.64%  |

Title: Re: Suggestion
Post by: litepresence on March 07, 2020, 12:24:18 am

Suggestion!

Instead of hoarding debt to stuff your mattress with bitfiat,
and crying for changes to the borrowing rules every couple days like a child:

Why not consider only borrowing when you intend to short the market,
then buy back for cheaper and profit like a typical margin trader?

 ???