ATR Channel Reversal and Avellaneda–Stoikov Market Making
Summary
The document describes a crypto futures strategy that combines ATR-based channel signals with Avellaneda–Stoikov quoting. It treats a move above the upper band as a short signal and a move below the lower band as a long signal, while quotes are adjusted for inventory and time value. The author also characterizes the system as a high-frequency market maker for Gate.io perpetual contracts.
Order handling is centered on post-only orders, automatic cancellation and replacement of stale orders, and decimal price calculations that account for contract tick size. Risk controls include a stated 1% stop threshold, a 40-minute pause after a stop, and signal persistence for two minutes. These are implementation details and design claims, not evidence of profitability. The document gives no backtest, live performance data, or parameter study, and the author says the strategy is not highly developed. Its suitability for volatile, liquid markets and smaller accounts is asserted without supporting results.
Key ideas
- ATR bands provide reversal signals, with upper-band breaks prompting shorts and lower-band breaks prompting longs.
- The strategy combines channel signals with inventory-sensitive Avellaneda–Stoikov quotes.
- Post-only order handling cancels and replaces unfilled orders after a stated two-second interval.
- Risk controls include a stated 1% stop threshold and a 40-minute cooldown after a stop.
- The document provides implementation features but no performance evidence or validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.