A Long-Only Perpetual Futures Grid with Fractional Kelly Budgeting

Summary

This document describes a research prototype for a long-only grid strategy on linear perpetual futures. Its overview says a small initial entry, dynamically adjusted grid spacing, and fractional Kelly sizing work together to manage the strategy budget. The visible code also includes trend-regime handling, persisted state, exchange and contract validation, order tracking, and controls for simulated, shadow, and live modes. Risk mechanisms include data-error freezes, halt and recovery states, and limits tied to strategy equity and drawdown.

The source is extensive but truncated, and the document supplies no backtest or live performance evidence. It explicitly frames the system as a prototype rather than a profitability claim. Its many safeguards and configuration checks describe intended operational protections; they do not demonstrate that losses are contained under all market or exchange conditions. The excerpt also depends on platform-injected parameters and APIs, so the full implementation and its behavior cannot be evaluated from the material shown.

Key ideas

• The prototype combines a long-only grid with dynamic spacing and fractional Kelly budget sizing.
• It includes trend-regime logic, persistent state, and order-management routines.
• Run modes and parameter checks are designed to distinguish simulation, shadow operation, and live use.
• Data freezes, risk halts, and recovery controls are included as operational safeguards.
• The source is truncated and provides no performance results, so profitability and full behavior cannot be assessed.

Tags

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