资金费率
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。 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 BTC - 2021 ------------------------------------------------------------------------------------------------------------------------ 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 ------------------------------------------------------------------------------------------------------------------------ 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 ------------------------------------------------------------------------------------------------------------------------ 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 ------------------------------------------------------------------------------------------------------------------------ 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) ------------------------------------------------------------------------------------------------------------------------ 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 ------------------------------------------------------------------------------------------------------------------------ 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 ------------------------------------------------------------------------------------------------------------------------ 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 ------------------------------------------------------------------------------------------------------------------------ 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 ------------------------------------------------------------------------------------------------------------------------ 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) ------------------------------------------------------------------------------------------------------------------------ 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