Adaptive Grid Trading for TradFi Perpetual Futures

Summary

This strategy description adapts grid trading to perpetual contracts tracking traditional assets such as equity indexes, commodities, and currencies. It periodically ranks eligible markets by average daily high–low range over a lookback window, excludes those whose range is too small relative to grid spacing, and builds buy and take-profit orders around the current price. After a take-profit fills, the strategy reopens the corresponding buy order to repeat the cycle.

At a scheduled interval, it can rotate into more active markets, requiring a volatility advantage over the weakest current holding to reduce churn. The document also describes equal per-grid allocations, exchange precision handling, a blacklist, leverage guidance, and an account-level stop. It gives parameter defaults and implementation sketches, but no backtest or live results. Grid exposure can accumulate during a sustained decline beyond the range; reduced liquidity during traditional-market closures can also delay fills. The claim that TradFi prices are naturally bounded does not remove these risks.

Key ideas

• Markets are ranked by recent average daily range, with a minimum volatility threshold tied to grid spacing.
• The grid buys below the current price and places take-profit orders at the next level.
• A hysteresis threshold is used when rotating into more active markets.
• A global loss limit, leverage guidance, and per-market allocations are included as risk controls.
• Persistent one-way moves and thin liquidity during market closures can undermine the strategy.

Tags

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