By Bitcoin Revija - pred 1 letom - Čas branja: 8 minute
Učenje od Bitcoin Posojilne strategije
Being methodical about bitcoin loans could lead to exceptional benefits compared to less calculated usage.
This is an opinion editorial by Wilbrrr Wrong, a Bitcoin pleb in ljubitelj gospodarske zgodovine.
In this article, I describe my experience in using bitcoin-collateralized loans, of the sort offered by Holdhodl or Unchained Capital. I employed these loans during the bull run of 2020-2021, using some general rules of thumb, however recently I've made a study which shows that they could be used with greater safety if a more systematic approach is put in place.
I'll make the caveat at the outset that my practice may well be criticized as failing to “stay humble.” Certainly many pundits would advise against these ideas, for example in this “Once Bitten” epizoda z Andy Edstrom.
I've had a longstanding interest in the use of modest amounts of leverage in financial strategies, and these ideas are presented solely to document my experience, and how it could have been improved.
Motivacije
Prva motivacija za to strategijo je izhajala iz odlične knjige "Ko denar umre", ki podrobno opisuje korak za korakom, kako je Nemčija spirala v hiperinflacijo v letih 1920-1923. Ena presenetljiva zgodba iz tega obdobja je, da so številni Nemci obogateli, medtem ko sta valuta in država šli skozi pekel. Ti vlagatelji so najeli posojila v nemških markah in jih uporabili za nakup trdega premoženja, kot so nepremičnine. Potem bi po enem ali dveh letih odplačali svoje kredite z nemškimi markami, ki so postale skoraj brez vrednosti, in bi še vedno imeli pravo stvar - hišo, na primer.
The second motivation came from thinking about Treasury management strategies. Managing a bitcoin stack seems analogous to the issues that Saudi Arabia faces, with their oil resources. In particular — they have a valuable resource, and they have expenses. They want to use their resources to maximize their purchasing power, and build wealth for the future. Of course, Saudi Arabia has other geopolitical considerations as well, but in general, this is the issue faced by any family office or wealth manager.
Prejšnje izkušnje
Na bikovskem trgu v letih 2020–2021 sem uspešno uporabil strategijo »posojilo v nemških markah«, vendar nisem bil sistematičen. Pri tem sem subjektivno presojal, kdaj vzeti posojila in kako jih določiti. Imel sem splošna vodilna načela:
When initiating a new loan, try to keep total portfolio loan-to-value at 20%. In other words, try to keep the USD value of the loan book at 20% of the USD value of the bitcoin that I had allocated to this strategy. In this case, I would be able to withstand a 50% drawdown in BTC price.Try not to sell. I had pretty well drank the Kool-Aid that BTC would reach $200,000-plus, and I didn’t want to get shaken out.All loans were bitcoin collateralized loans, of the sort offered by Hodlhodl or Unchained Capital. A main feature of these loans is that they get liquidated if the bitcoin backing the loans falls in value — essentially a margin loan. For example: if you take out a $50,000 loan, then you need to over-collateralize, and put up $100,000 worth of bitcoin. If the value of the bitcoin falls to $70,000, then you’re required to post additional BTC, or your collateral will be liquidated.
Te ideje so mi dobro uspele. Preživel sem znižanje vrednosti Elon/dogecoin in zdržal do bikovskega niza v četrtem četrtletju 4. Toda potem sem predolgo vztrajal na medvedjem trgu leta 2021, ki ga je povzročila centralna banka Federal Reserve. Po tej izkušnji sem se odločil preučiti, ali bi bolj sistematičen pristop izboljšal zaščito pred slabostmi, hkrati pa omogočil, da bi moj sklad sčasoma rasel.
Sistematična strategija
S to spremenjeno strategijo sem v letih 2019–2021 izvedel test za nazaj, ki je uvedel stroge smernice za najemanje novih posojil in zmanjševanje obstoječih stanj. Izbral sem smernice, relativno podobne moji strategiji 2020, vendar z več discipline. Začel sem z razmerjem med posojilom in vrednostjo (LTV) 20 %. Na primer, s testnim skladom BTC, vrednim 100,000 USD, bi bilo začetno posojilo 20,000 USD, ki bi se uporabilo za nakup več BTC.
Once the loan is established, then my test monitors whether the BTC price falls. In this case, then LTV rises. Continuing the previous example, if the value of the bitcoin stack falls to $80,000, then LTV rises to 25%. (The loan value of $20k is now divided by the updated $80k value of the stack.)
If LTV rises too high, then the test liquidates some portion of the loan. In my studies, I chose 30% as this level. If LTV hits this level, then it sells some BTC to pay off a portion of the loan. In this approach, I don't want to over-react to momentary swings during a volatile bull market, so I would sell enough bitcoin to bring LTV back down to 25%.
On the opposite side, if the BTC price rises, then LTV will fall. With the previous example: If the bitcoin stack rises to $120,000, then LTV is now 16.7% — the $20k loan is now divided by $120k. If LTV falls to 15%, then the strategy decides that it is safe to take out a new loan, and bring LTV back up to 20%.
Opozoriti je treba, da je res težek del te strategije imeti disciplino za prodajo, ko LTV doseže 30 %. Vsi trpimo za hopijem, zato je potrebna železna volja za uresničitev priporočil, ki jih izpljune računalniški scenarij.
Trenja v resničnem svetu
Osebni ljubljenček so kvantitativne strategije, ki so na papirju videti čudovite, a razpadejo, ko upoštevate težave iz resničnega sveta, kot so transakcijski stroški, zamude pri obdelavi in davki. S tem v mislih sem napisal python skript za testiranje sistematičnega posojilnega portfelja in vključil naslednje učinke:
Origination Fee. This is typically 1%. For example, if you apply for a $100,000 loan, then you will receive $99,000 into your bank account.Processing Time. I set this at 14 days. The time from the loan application until the time you get the USD or USDT. 14 days may be too conservative, but it sets a floor for strategy performance — you’re typically taking out new loans when the price is pumping.Taxes. This is the part that really makes it painful to sell bitcoin when LTV rises. However, BTC tax treatment allows for HIFO treatment — Highest In, First Out. This can minimize taxes paid — you count your sales against the highest price you paid.Interest Rate. I set this high at 11%, which I’ve found to be typical for these loans.Sale Time. I had a one day sale time guesstimate. For example, if LTV goes higher than 30%, then I will be able to sell some bitcoin and bring my LTV back down within one day. My experience has been that the process of selling BTC, and getting the USD with a wire transfer can be done within a day.Rollovers. All loans are assumed to have 12 month maturities. If a loan reaches its end, then it will be rolled over. The USD size of the loan will increase to add the origination fee for the new loan.Interest Expenses. When taking out a new loan, I hold back all needed interest expenses for the current and following quarter, for all loans. BTC is purchased with the remaining amount.datum
Dnevni podatki so prišli iz Coinmetrics. Veliko so premislili o svojih številkah in izvedli raziskavo, da bi odpravili trgovanje s pranjem. Njihova dnevna referenčna obrestna mera zajema tudi časovno tehtano povprečje v uri pred zaprtjem newyorške borze. To časovno ponderiranje je dober približek za zdrs - ko kupujete ali prodajate, nikoli ne ugotovite točno cene, navedene tik ob zaključku. Njihova metodologija je opisano tukaj, zlasti z začetkom na dnu sedme strani, »Algoritem za izračun«.
The one problem with Coinmetrics was that their low price for bitcoin in March 2020 was $4,993. I had a recollection of a lower price during that crash. Because of this, I also took some Yahoo! podatke, ki je pokazal 4,106 $ čez dan, kot nadaljnji test izjemnih situacij za strategijo. Z obema nizoma podatkov je strategija preživela stres in se dobro obnesla.
Rezultati
Z vso prejšnjo preambulo so bili rezultati dobri, kot je prikazano v grafu:
Razlaga rezultatov:
The blue line is the size of the stack. It starts at 1, and grows to about 1.75 by the end of 2021.The red line is the bitcoin price, plotted with linear coordinates rather than the usual log plot.The green line shows the equity position — the value of the BTC stack, minus the loan balance. This is shown in BTC terms, against the left axis.To je obetaven rezultat, saj kaže, da bi lahko v letih 2019–2021 to sistematično strategijo uporabili za povečanje sklada BTC za približno 32 % s konzervativno zaščito pred negativnimi učinki.
Drugi pozitiven rezultat je, da je strategija dobro obvladala tržne pritiske marca 2020 in maja 2021. V obeh primerih je ohranila dobro pokritost s premoženjem in se ni približala prisilni likvidaciji. Tudi z Yahoo! podatki, ki kažejo nižjo raven znotraj dneva, pokritost zavarovanja nikoli ni padla pod 240 % v ekstremnem dogodku 20. marca 2020. Običajni pogoji likvidacije posojila so okoli 130-150%.
Negativen rezultat je bil, da je lastniški položaj marca 2020 začasno padel pod ena, na 0.96 BTC, preden si je opomogel. Preizkus je torej pokazal, da ta strategija, čeprav konzervativna, nosi tveganje in ne predstavlja "brezplačnega kosila".
Zaključki in nadaljnje delo
This article details my previous usage of bitcoin collateralized loans, and how it could have been improved with a more disciplined approach. Going forward, I will experiment with different parameters in the strategy, while guarding against overfitting to a specific time period. I've also done initial work on adding living expenses into the back-test, to complete the total wealth management picture. The final outcome is highly sensitive to living expenses, so prudence is required. No Lamborghinis.
Z vidika 30,000 čevljev je glavni zaključek ta, da bodo prihodnja leta predstavljala izjemno nestanovitnost, pa tudi priložnost za tiste, ki lahko uravnotežijo optimizem z disciplino in konzervativnostjo. Nič v tem članku ni naložbeni nasvet! Naredite lastno raziskavo in vzemite k srcu osebno odgovornost. Moj osebni cilj bo nadaljevati in izboljšati te posojilne strategije ter prevzeti preračunano tveganje, da bi prestal veliko ponastavitev dolga s čim več sats.
To je gostujoča objava Wilbrrr Wrong. Izražena mnenja so povsem njihova in ne odražajo nujno mnenj BTC Inc oz Bitcoin Revija.
Izvorni vir: Bitcoin Revija