A 15-Minute Grid Strategy with Layered Long and Short Positions

Summary

This VeighNa CTA example implements a two-sided grid that begins with equal long and short positions after its bar manager has initialized. It checks each completed 15-minute bar against a moving reference price, using a fixed distance between grid levels. When price crosses a level, the strategy closes one side, opens fresh long and short positions, and advances the layer count. At the configured maximum, it attempts to close positions and reset the grid.

The document provides code but no backtest, performance data, or execution evidence. Its behavior also has material limitations: the reference price is reset at each crossed level, so distance checks are relative to the latest level; the later downside retracement condition may be unreachable because it follows a broader downside threshold; and the position logic assumes order fills and position changes without confirming them. Grid distance, sizing, market costs, and risk controls therefore need careful review before use.

Key ideas

• The strategy uses completed 15-minute bars to evaluate grid thresholds.
• It opens equal long and short positions when the bar manager is initialized and the net position is zero.
• Crossing a threshold closes one side, reopens both sides, and advances the layer count.
• The reference price moves to the latest threshold-crossing bar, making subsequent levels relative to that price.
• The example provides no performance evidence and leaves fill handling and execution risks unaddressed.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.