Categories: Quant
资金费率#
为什么需要资金费率#
币圈比较神奇的点在于有永续合约，和交割合约相较而言就没有了交割日的概念，那么就需要一种机制让永续合约的价格和现货的价格能收拢，控制在一定的范围内，资金费率应运而生。
资金费率的目的就是控制永续合约与现货的两者价格，使价差收敛到0附近，绝对不能让合约价格单飞。
资金费率是在多方和空方之间进行转移的，交易所只负责计算费率，自己并不收取这个费用。费率为正，即多方支付给空方；费率为负，即空方支付给多方。频率上来说，大部分都是8小时1次，也有更高频的，可能就是因为合约本身波动比较大，一般交易所会给出公告。
资金费率的计算#
OKX 有很好的文档，链接
资金费率 = clamp（ 平均溢价指数 + clamp (利率 – 平均溢价指数, 0.05%, -0.05%)，资金费率上限，资金费率下限）
溢价指数 = (max (0，深度加权买价 - 指数价格) – max (0，指数价格 – 深度加权卖价)) / 指数价格
U本位的合约的资金费率会根据合约价格的变化发生变化，而币本位的是不变的
这里的现货价格根据几个友商交易所的现货价格通过加权得出 https://www.okx.com/zh-hans/markets/index/btc-usdt， 比如对于OKX来说，Binance和OKX都占据了25%，Grypto 18.8%， Gate12.5%， Bybit 18.8%，然后合约价格是根据盘口的情况拿到的，再来二者相减拿到溢价指数。
这里值得注意的点是利率现在交易所基本上都定位万一的，因为中间的这个clamp有0.05%, -0.05%的限制，也就是说当平均溢价指数在 -0.04% 到 0.06%之间，资金费率都会稳定在0.01%
这里有过往一年的各个交易所的累积费率https://www.coinglass.com/zh/AccumulatedFundingRate
值得一提的是这里做的是每一天的资金费率的累加，这里因为U本位合约是会按照币种的市场价格等比例放大缩小的，就有了一些调优的可能，是能够拿到相对更高一些的收益的
一些回测#
首先不同的shrink threshold 表现差别还挺大的，-3% 太过于频繁，在单边下行的环境下，表现很弱势；大部分市场行情里，还是-15% ~ -20% 表现会更好，rebalance的频次不是很高，也能保证膨胀的收益。 如果我们就看-20%的话，从2021年开始到2025-4， 年化收益分别为 115%, 0.3%,12.98%, 17.9%, 1%. BTC 表现会相对好一些。
这个底仓提升了资金利用率，而且能够保证是基本不会亏损的，可以在这个基础上继续去做一些交易，纯合约 + 统一账户，会是不错的叠加了。
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| BTC - 2021
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Threshold | Final Capital | Total Return | Annual Return | Max DD | Fund DD | Funding | Rebalances
------------------------------------------------------------------------------------------------------------------------
-3% | $ 15290.26 | 52.90% | 52.90% | -0.36% | -0.44% | $ 5290.26 | 0
-5% | $ 15290.26 | 52.90% | 52.90% | -0.36% | -0.44% | $ 5290.26 | 0
-10% | $ 15290.26 | 52.90% | 52.90% | -0.36% | -0.44% | $ 5290.26 | 0
-15% | $ 15290.26 | 52.90% | 52.90% | -0.36% | -0.44% | $ 5290.26 | 0
-20% | $ 15290.26 | 52.90% | 52.90% | -0.36% | -0.44% | $ 5290.26 | 0
-30% | $ 15290.26 | 52.90% | 52.90% | -0.36% | -0.44% | $ 5290.26 | 0
-40% | $ 15290.26 | 52.90% | 52.90% | -0.36% | -0.44% | $ 5290.26 | 0
-50% | $ 15290.26 | 52.90% | 52.90% | -0.36% | -0.44% | $ 5290.26 | 0
-60% | $ 15290.26 | 52.90% | 52.90% | -0.36% | -0.44% | $ 5290.26 | 0
-70% | $ 15290.26 | 52.90% | 52.90% | -0.36% | -0.44% | $ 5290.26 | 0
-80% | $ 15290.26 | 52.90% | 52.90% | -0.36% | -0.44% | $ 5290.26 | 0
-90% | $ 15290.26 | 52.90% | 52.90% | -0.36% | -0.44% | $ 5290.26 | 0
BTC - 2022
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Threshold | Final Capital | Total Return | Annual Return | Max DD | Fund DD | Funding | Rebalances
------------------------------------------------------------------------------------------------------------------------
-3% | $ 10211.94 | 2.12% | 2.12% | -1.06% | -0.39% | $ 492.80 | 24
-5% | $ 10303.04 | 3.03% | 3.03% | -0.71% | -0.39% | $ 488.59 | 16
-10% | $ 10366.78 | 3.67% | 3.67% | -0.50% | -0.39% | $ 468.21 | 9
-15% | $ 10392.70 | 3.93% | 3.93% | -0.51% | -0.39% | $ 457.86 | 6
-20% | $ 10427.27 | 4.27% | 4.27% | -0.36% | -0.39% | $ 469.06 | 4
-30% | $ 10365.88 | 3.66% | 3.66% | -0.50% | -0.39% | $ 395.04 | 3
-40% | $ 10349.16 | 3.49% | 3.49% | -0.47% | -0.39% | $ 366.96 | 2
-50% | $ 10364.13 | 3.64% | 3.64% | -0.29% | -0.39% | $ 372.11 | 1
-60% | $ 10408.19 | 4.08% | 4.08% | -0.35% | -0.39% | $ 415.46 | 1
-70% | $ 10274.79 | 2.75% | 2.75% | -0.14% | -0.39% | $ 274.79 | 0
-80% | $ 10274.79 | 2.75% | 2.75% | -0.14% | -0.39% | $ 274.79 | 0
-90% | $ 10274.79 | 2.75% | 2.75% | -0.14% | -0.39% | $ 274.79 | 0
BTC - 2023
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Threshold | Final Capital | Total Return | Annual Return | Max DD | Fund DD | Funding | Rebalances
------------------------------------------------------------------------------------------------------------------------
-3% | $ 11485.72 | 14.86% | 14.86% | -0.04% | -0.03% | $ 1485.72 | 0
-5% | $ 11485.72 | 14.86% | 14.86% | -0.04% | -0.03% | $ 1485.72 | 0
-10% | $ 11485.72 | 14.86% | 14.86% | -0.04% | -0.03% | $ 1485.72 | 0
-15% | $ 11485.72 | 14.86% | 14.86% | -0.04% | -0.03% | $ 1485.72 | 0
-20% | $ 11485.72 | 14.86% | 14.86% | -0.04% | -0.03% | $ 1485.72 | 0
-30% | $ 11485.72 | 14.86% | 14.86% | -0.04% | -0.03% | $ 1485.72 | 0
-40% | $ 11485.72 | 14.86% | 14.86% | -0.04% | -0.03% | $ 1485.72 | 0
-50% | $ 11485.72 | 14.86% | 14.86% | -0.04% | -0.03% | $ 1485.72 | 0
-60% | $ 11485.72 | 14.86% | 14.86% | -0.04% | -0.03% | $ 1485.72 | 0
-70% | $ 11485.72 | 14.86% | 14.86% | -0.04% | -0.03% | $ 1485.72 | 0
-80% | $ 11485.72 | 14.86% | 14.86% | -0.04% | -0.03% | $ 1485.72 | 0
-90% | $ 11485.72 | 14.86% | 14.86% | -0.04% | -0.03% | $ 1485.72 | 0
BTC - 2024
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Threshold | Final Capital | Total Return | Annual Return | Max DD | Fund DD | Funding | Rebalances
------------------------------------------------------------------------------------------------------------------------
-3% | $ 12000.74 | 20.01% | 19.95% | -0.12% | -0.09% | $ 2024.28 | 2
-5% | $ 11978.44 | 19.78% | 19.73% | -0.12% | -0.09% | $ 1990.06 | 1
-10% | $ 11879.49 | 18.79% | 18.74% | -0.10% | -0.09% | $ 1879.49 | 0
-15% | $ 11879.49 | 18.79% | 18.74% | -0.10% | -0.09% | $ 1879.49 | 0
-20% | $ 11879.49 | 18.79% | 18.74% | -0.10% | -0.09% | $ 1879.49 | 0
-30% | $ 11879.49 | 18.79% | 18.74% | -0.10% | -0.09% | $ 1879.49 | 0
-40% | $ 11879.49 | 18.79% | 18.74% | -0.10% | -0.09% | $ 1879.49 | 0
-50% | $ 11879.49 | 18.79% | 18.74% | -0.10% | -0.09% | $ 1879.49 | 0
-60% | $ 11879.49 | 18.79% | 18.74% | -0.10% | -0.09% | $ 1879.49 | 0
-70% | $ 11879.49 | 18.79% | 18.74% | -0.10% | -0.09% | $ 1879.49 | 0
-80% | $ 11879.49 | 18.79% | 18.74% | -0.10% | -0.09% | $ 1879.49 | 0
-90% | $ 11879.49 | 18.79% | 18.74% | -0.10% | -0.09% | $ 1879.49 | 0
BTC - 2025 (Jan-April)
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Threshold | Final Capital | Total Return | Annual Return | Max DD | Fund DD | Funding | Rebalances
------------------------------------------------------------------------------------------------------------------------
-3% | $ 10080.77 | 0.81% | 3.32% | -0.43% | -0.02% | $ 139.72 | 5
-5% | $ 10101.27 | 1.01% | 4.17% | -0.30% | -0.02% | $ 136.23 | 3
-10% | $ 10123.88 | 1.24% | 5.12% | -0.11% | -0.02% | $ 135.06 | 1
-15% | $ 10124.97 | 1.25% | 5.17% | -0.12% | -0.02% | $ 135.79 | 1
-20% | $ 10132.47 | 1.32% | 5.48% | -0.02% | -0.02% | $ 132.47 | 0
-30% | $ 10132.47 | 1.32% | 5.48% | -0.02% | -0.02% | $ 132.47 | 0
-40% | $ 10132.47 | 1.32% | 5.48% | -0.02% | -0.02% | $ 132.47 | 0
-50% | $ 10132.47 | 1.32% | 5.48% | -0.02% | -0.02% | $ 132.47 | 0
-60% | $ 10132.47 | 1.32% | 5.48% | -0.02% | -0.02% | $ 132.47 | 0
-70% | $ 10132.47 | 1.32% | 5.48% | -0.02% | -0.02% | $ 132.47 | 0
-80% | $ 10132.47 | 1.32% | 5.48% | -0.02% | -0.02% | $ 132.47 | 0
-90% | $ 10132.47 | 1.32% | 5.48% | -0.02% | -0.02% | $ 132.47 | 0
ETH - 2021
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Threshold | Final Capital | Total Return | Annual Return | Max DD | Fund DD | Funding | Rebalances
------------------------------------------------------------------------------------------------------------------------
-3% | $ 21505.00 | 115.05% | 115.05% | -0.81% | -0.36% | $ 11505.00 | 0
-5% | $ 21505.00 | 115.05% | 115.05% | -0.81% | -0.36% | $ 11505.00 | 0
-10% | $ 21505.00 | 115.05% | 115.05% | -0.81% | -0.36% | $ 11505.00 | 0
-15% | $ 21505.00 | 115.05% | 115.05% | -0.81% | -0.36% | $ 11505.00 | 0
-20% | $ 21505.00 | 115.05% | 115.05% | -0.81% | -0.36% | $ 11505.00 | 0
-30% | $ 21505.00 | 115.05% | 115.05% | -0.81% | -0.36% | $ 11505.00 | 0
-40% | $ 21505.00 | 115.05% | 115.05% | -0.81% | -0.36% | $ 11505.00 | 0
-50% | $ 21505.00 | 115.05% | 115.05% | -0.81% | -0.36% | $ 11505.00 | 0
-60% | $ 21505.00 | 115.05% | 115.05% | -0.81% | -0.36% | $ 11505.00 | 0
-70% | $ 21505.00 | 115.05% | 115.05% | -0.81% | -0.36% | $ 11505.00 | 0
-80% | $ 21505.00 | 115.05% | 115.05% | -0.81% | -0.36% | $ 11505.00 | 0
-90% | $ 21505.00 | 115.05% | 115.05% | -0.81% | -0.36% | $ 11505.00 | 0
ETH - 2022
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Threshold | Final Capital | Total Return | Annual Return | Max DD | Fund DD | Funding | Rebalances
------------------------------------------------------------------------------------------------------------------------
-3% | $ 9717.91 | -2.82% | -2.82% | -4.17% | -1.78% | $ 65.20 | 30
-5% | $ 9822.68 | -1.77% | -1.77% | -3.48% | -1.78% | $ 63.81 | 21
-10% | $ 9934.36 | -0.66% | -0.66% | -3.09% | -1.78% | $ 56.50 | 11
-15% | $ 10002.40 | 0.02% | 0.02% | -2.75% | -1.78% | $ 77.51 | 7
-20% | $ 10031.08 | 0.31% | 0.31% | -2.57% | -1.78% | $ 82.83 | 5
-30% | $ 10045.53 | 0.46% | 0.46% | -2.35% | -1.78% | $ 74.23 | 3
-40% | $ 10077.82 | 0.78% | 0.78% | -2.14% | -1.78% | $ 95.45 | 2
-50% | $ 9993.84 | -0.06% | -0.06% | -3.09% | -1.78% | $ 9.90 | 2
-60% | $ 10032.93 | 0.33% | 0.33% | -1.95% | -1.78% | $ 40.10 | 1
-70% | $ 10007.03 | 0.07% | 0.07% | -2.57% | -1.78% | $ 13.45 | 1
-80% | $ 10092.70 | 0.93% | 0.93% | -0.76% | -1.78% | $ 92.70 | 0
-90% | $ 10092.70 | 0.93% | 0.93% | -0.76% | -1.78% | $ 92.70 | 0
ETH - 2023
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Threshold | Final Capital | Total Return | Annual Return | Max DD | Fund DD | Funding | Rebalances
------------------------------------------------------------------------------------------------------------------------
-3% | $ 11298.72 | 12.99% | 12.99% | -0.10% | -0.08% | $ 1298.72 | 0
-5% | $ 11298.72 | 12.99% | 12.99% | -0.10% | -0.08% | $ 1298.72 | 0
-10% | $ 11298.72 | 12.99% | 12.99% | -0.10% | -0.08% | $ 1298.72 | 0
-15% | $ 11298.72 | 12.99% | 12.99% | -0.10% | -0.08% | $ 1298.72 | 0
-20% | $ 11298.72 | 12.99% | 12.99% | -0.10% | -0.08% | $ 1298.72 | 0
-30% | $ 11298.72 | 12.99% | 12.99% | -0.10% | -0.08% | $ 1298.72 | 0
-40% | $ 11298.72 | 12.99% | 12.99% | -0.10% | -0.08% | $ 1298.72 | 0
-50% | $ 11298.72 | 12.99% | 12.99% | -0.10% | -0.08% | $ 1298.72 | 0
-60% | $ 11298.72 | 12.99% | 12.99% | -0.10% | -0.08% | $ 1298.72 | 0
-70% | $ 11298.72 | 12.99% | 12.99% | -0.10% | -0.08% | $ 1298.72 | 0
-80% | $ 11298.72 | 12.99% | 12.99% | -0.10% | -0.08% | $ 1298.72 | 0
-90% | $ 11298.72 | 12.99% | 12.99% | -0.10% | -0.08% | $ 1298.72 | 0
ETH - 2024
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Threshold | Final Capital | Total Return | Annual Return | Max DD | Fund DD | Funding | Rebalances
------------------------------------------------------------------------------------------------------------------------
-3% | $ 11844.40 | 18.44% | 18.39% | -0.12% | -0.04% | $ 1856.16 | 1
-5% | $ 11884.23 | 18.84% | 18.79% | -0.11% | -0.04% | $ 1896.30 | 1
-10% | $ 11795.42 | 17.95% | 17.90% | -0.04% | -0.04% | $ 1795.42 | 0
-15% | $ 11795.42 | 17.95% | 17.90% | -0.04% | -0.04% | $ 1795.42 | 0
-20% | $ 11795.42 | 17.95% | 17.90% | -0.04% | -0.04% | $ 1795.42 | 0
-30% | $ 11795.42 | 17.95% | 17.90% | -0.04% | -0.04% | $ 1795.42 | 0
-40% | $ 11795.42 | 17.95% | 17.90% | -0.04% | -0.04% | $ 1795.42 | 0
-50% | $ 11795.42 | 17.95% | 17.90% | -0.04% | -0.04% | $ 1795.42 | 0
-60% | $ 11795.42 | 17.95% | 17.90% | -0.04% | -0.04% | $ 1795.42 | 0
-70% | $ 11795.42 | 17.95% | 17.90% | -0.04% | -0.04% | $ 1795.42 | 0
-80% | $ 11795.42 | 17.95% | 17.90% | -0.04% | -0.04% | $ 1795.42 | 0
-90% | $ 11795.42 | 17.95% | 17.90% | -0.04% | -0.04% | $ 1795.42 | 0
ETH - 2025 (Jan-April)
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Threshold | Final Capital | Total Return | Annual Return | Max DD | Fund DD | Funding | Rebalances
------------------------------------------------------------------------------------------------------------------------
-3% | $ 9994.24 | -0.06% | -0.23% | -0.76% | -0.07% | $ 133.73 | 12
-5% | $ 10029.88 | 0.30% | 1.22% | -0.53% | -0.07% | $ 133.46 | 9
-10% | $ 10088.28 | 0.88% | 3.63% | -0.18% | -0.07% | $ 132.31 | 4
-15% | $ 10091.32 | 0.91% | 3.76% | -0.17% | -0.07% | $ 123.73 | 3
-20% | $ 10105.60 | 1.06% | 4.35% | -0.17% | -0.07% | $ 125.79 | 2
-30% | $ 10109.93 | 1.10% | 4.53% | -0.09% | -0.07% | $ 119.42 | 1
-40% | $ 10109.37 | 1.09% | 4.51% | -0.09% | -0.07% | $ 118.19 | 1
-50% | $ 10112.41 | 1.12% | 4.64% | -0.05% | -0.07% | $ 112.41 | 0
-60% | $ 10112.41 | 1.12% | 4.64% | -0.05% | -0.07% | $ 112.41 | 0
-70% | $ 10112.41 | 1.12% | 4.64% | -0.05% | -0.07% | $ 112.41 | 0
-80% | $ 10112.41 | 1.12% | 4.64% | -0.05% | -0.07% | $ 112.41 | 0
-90% | $ 10112.41 | 1.12% | 4.64% | -0.05% | -0.07% | $ 112.41 | 0
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