Timed Order Strategy

Overview

The main idea of the timed order strategy is to conduct buying and selling operations at user-defined time points. This strategy allows users to set an exact time point. At this time point, it will first sell the current position, and then place a limit buy order at 1% below the current price. This allows periodic rebalancing to be carried out at a specific time every day.

Strategy Logic

The strategy first uses the input function to get the custom hour and minute defined by the user, and then generates the order execution time using the timestamp function. If the current time is after the specified time point, the selling and buying operations are triggered.

Specifically, the strategy first checks if the current time is within the user-defined start and end date range. If yes, when the specified order execution time point is reached, it will first sell the current position at market price, and then place a limit buy order at 99% of the current price. This achieves rebalancing at a price 1% lower than the current price at the specific time point.

Advantage Analysis

The biggest advantage of this strategy is that it can periodically rebalance positions at specific time points without manual intervention, reducing labor costs. In addition, each rebalancing buys at a slightly lower price than the current price, gaining some ultra-low buying advantage.

The specific advantages include:

1. Fully automated operation, reducing manual costs.

2. Allows periodic rebalancing of positions at specific time points.

3. Gains ultra-low buying opportunities around 1% below current prices during each rebalancing.

4. Customizable rebalancing time points, flexible adjustment.

5. Customizable start and end dates for rebalancing cycles, convenient for backtesting optimization.

Risk Analysis

The strategy also has some risks to note:

1. If the periodic rebalancing time point is poorly chosen, it may miss better buying opportunities or sell out at inappropriate times.

2. The buy price is only 1% lower than the sell price, may not gain sufficient ultra-low buy price spread in each rebalancing cycle.

3. Both sell and buy are market orders, may suffer from some degree of slippage.

4. If the strategy only operates at specific time points, the market cannot be managed between those time points.

5. Frequent rebalancing will incur relatively higher trading fees.

The corresponding solutions:

1. Choose appropriate rebalancing time points, also combine with other technical indicators.

2. Increase the buy price spread parameter as appropriate.

3. Choose products with good depth and low volatility.

4. Combine with other strategies for risk management during non-rebalancing periods.

5. Control rebalancing frequency appropriately to balance advantages and trading costs.

Optimization Directions

The strategy can be optimized in the following aspects:

1. Optimize rebalancing time point selection based on the intraday cycle characteristics of the trading products.

2. Add other technical indicators to avoid rebalancing at unfavorable times. For example, combining moving average trend indicators.

3. Optimize the ultra-low buy parameter to balance advantage and trading cost.

4. Adopt trailing stop loss/take profit to manage positions between rebalancings.

5. Use machine learning algorithms to train on historical data and automatically optimize rebalancing time points.

6. Add adjustments around stock splits, dividends etc. to follow timing changes.

Summary

In general, the timed order strategy can automate the trading process and reduce manual operation costs through periodic rebalancing. There is large room for optimization in areas like rebalancing time point selection, buy parameter setting, stop loss/take profit, and algorithm improvement. Also need to note certain trading risks and take appropriate risk management measures. Overall, this strategy suits quantitative traders looking for efficient automated rebalancing.