An Adaptive Infinite Grid with Cash and Asset Rebalancing

Summary

This grid strategy starts by dividing capital between cash and an asset, then makes market trades when the marked asset value moves a set percentage below or above a baseline. It buys a fixed fraction of the baseline after declines and sells a corresponding fraction after advances, subject to available cash on the buy side. The default asset allocation is half of the stated investment, while the buy and sell thresholds are configurable.

The strategy also adjusts its reference amounts when cash rises or falls far enough relative to its baseline: it buys more after a cash surplus and sells after a shortfall. This makes the grid adaptive, but ties its behavior to bookkeeping and execution assumptions. The source logs order fills and notes that fee treatment in its cash calculations may need correction; slippage, partial fills, and exchange constraints also matter. There are no backtest settings or performance results in the document. A continuously rebalanced grid can accumulate exposure during persistent declines, so capital limits and market risk require careful evaluation.

Key ideas

• The strategy begins with a split between cash and asset holdings.
• It buys after a configured decline from a baseline asset value and sells after a configured rise.
• Cash availability limits additional purchases.
• The reference allocation is adjusted when cash deviates sufficiently from its target.
• The source itself flags uncertainty around how fees affect recorded cash balances.

Tags

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