A Grid Hedge for Long- and Perpetual-Contract Spreads

Summary

This tutorial extends a multi-symbol cryptocurrency contract-spread monitor into a grid-based hedging strategy. It pairs longer-term contracts with perpetual contracts, tracks spread levels, and opens or closes offsetting positions when grid thresholds are reached. The implementation adds persistence across restarts, position and account-equity tracking, and status displays. The author focuses on positive hedges and describes the setup as a way to explore returns associated with funding rates.

The evidence is an approximately three-day run in an exchange simulation, with spread fluctuations and some funding-rate contribution shown in figures. The author stresses that the example is a demonstration: opening positions had been tested, while closing and other operating conditions still needed testing. The strategy cannot be backtested, and the short simulated run does not establish profitability or robustness. Execution, contract sizing, funding changes, fees, and restart or order-handling failures can all affect live results.

Key ideas

• The strategy pairs longer-term and perpetual contracts and uses spread grids to trigger hedged trades.
• Stored state allows grid information and initial equity to be restored after a restart.
• The example monitors total equity and floating profit and loss alongside spread and position status.
• The reported evidence is limited to a short simulated run and does not demonstrate durable profitability.
• Position closing and other operational cases require further testing, and the strategy cannot be backtested.

Tags

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