Orchids Strategy Update
After analyzing Round 2 results where I earned 460k in Orchids versus the leader’s estimated 660k, I implemented a key improvement:
1. Volume Stabilization System
⦁ My average trading volume was 35% per step
⦁ Projected leader’s volume ≈ 50% (calculated: 35%/460×660)
⦁ New dynamic adjustment:
⦁ Increases edge when 200-step average volume > 60%
⦁ Decreases edge when volume < 40%
⦁ Targets 50% fill rate to match top performers
⦁ Testing showed improvement from 6k to 11k PnL (note: limited test data only covered final high-yield period)
Basket Trading Approach
For the basket trading portion, I reused and refined last year’s strategy:
1. Pricing Model
⦁ Fair value = 4×Chocolate + 6×Strawberry + 1×Rose + 380 premium
⦁ The 380 premium and 30-edge threshold were optimized using 3 days of historical data
2. Execution Logic
⦁ Passively take basket positions
⦁ Aggressively hedge components when edge exceeds ±30
⦁ Current estimates:
⦁ 16k in Round 3 test data
⦁ ~100k/day in historical simulation
Manual Challenge Strategy
For the manual selection game:
1. Game Theory Analysis
⦁ Narrowed down to 6 optimal cells: G30, I28, J26, J29, J30, K28
⦁ Using two-level iterative reasoning:
⦁ First pass assumes uniform distribution
⦁ Second pass weights by projected profitability
2. Community Advantage
⦁ Encouraging knowledge sharing among Chinese competitors
⦁ Creates data advantage versus international players
Final Thoughts
While the Orchids adjustments show promise in testing, the real proof will come in live competition. The basket trading strategy could benefit from exploring market making opportunities if time permits. For the manual challenge, collaborative analysis gives us an edge – let’s keep sharing insights!
Happy trading to all competitors!
