A Perpetual Futures Rebalancing Strategy Compared with Grid Trading
Summary
The article describes a rebalancing approach for perpetual futures: maintain a target position value, sell as price rises, and buy as it falls. An adjustment threshold determines how much price movement triggers a rebalance. It contrasts this with a grid strategy, which depends more on the starting price and grid settings, and discusses using leverage to increase exposure compared with a spot portfolio. The article also provides a historical market analysis and a backtest comparison using cryptocurrency price data, including examples of rebalancing and grid results.
The evidence is limited to the assets, dates, and assumptions in that analysis. The author notes that the simulation uses five-minute bars and does not capture all intrabar movement, so realized results could differ. The article characterizes rebalancing as simpler to configure and less exposed to some grid risks, but leverage still magnifies exposure, while the discussion of a market bottom is a time-specific view rather than a reliable signal. It recommends adapting parameters and interpreting the results cautiously.
Key ideas
- Rebalancing maintains a target position value by buying after declines and selling after rises.
- A price-movement threshold controls how frequently the position is adjusted.
- The article contrasts this approach with grids, whose behavior depends on initial price and grid parameters.
- Its backtest uses historical crypto data and five-minute bars, which may omit intrabar price movement.
- Leverage increases capital exposure, and the article's market-bottom assessment is time-specific.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.