A Leveraged Crypto Averaging Strategy with Profit-Based Position Reduction
Summary
This document describes a periodic averaging strategy implemented for a crypto derivatives exchange. It opens an initial position, then checks unrealized profit or loss after each configured interval. If the position is losing by more than a chosen threshold, it adds another order in the same direction and size. If the position is profitable beyond that threshold, it sends an opposing order sized at twice the configured amount, apparently aiming to close the existing position and more. The example description specifies a short position, a one-minute interval, 20x leverage, and a 3% threshold; these are example settings, while the script exposes them as configuration values.
The material explains the rule and gives basic execution code, but reports no backtest or live results. Repeated averaging can increase exposure as losses deepen, and leverage magnifies both losses and liquidation risk. The profit-taking order’s fixed size may not match the actual open position, and the code does not show checks for order status, position limits, or a maximum loss. Its suitability therefore cannot be assessed from the document alone.
Key ideas
- The strategy opens a configured position and checks its unrealized percentage return at regular intervals.
- It adds exposure in the same direction after losses exceed a threshold.
- After gains exceed the threshold, it submits an opposing order sized at twice the configured trade amount.
- The example uses a short position, 20x leverage, a one-minute interval, and a 3% threshold.
- No performance evidence is provided, and averaging into losses can increase leverage and liquidation risk.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.