Dynamic Grid Trading with Range Filters and Confirmed Exits

Summary

This strategy builds a grid for range-bound perpetual futures trading, with gold and other lower-volatility assets given as intended markets. It activates only after three range checks pass: a low regression slope, highs and lows that do not both move monotonically, and a sufficient share of closes inside a percentage band. Grid spacing accounts for fees, and larger allocations go to lower grid levels.

The document describes safeguards for range failure: stop losses require consecutive one-minute closes below an ATR-buffered boundary, while consecutive closes above the upper boundary trigger a reset. A timeout can also rebuild the grid, and reset clears stored candles before range detection starts again. The source describes the rules and parameters, but supplies no performance results. The method is designed for sideways markets; strong trends can cause losses, and leveraged perpetual futures carry liquidation risk. Backtest performance is not evidence of live results.

Key ideas

• Three independent filters are used to identify a range before grid orders are placed.
• Grid spacing is constrained by fees, available funds, and a maximum grid count.
• Stop and breakout resets rely on consecutive one-minute candle closes for confirmation.
• The strategy clears its candle buffers after a reset and must detect a new range before restarting.
• The approach targets low-volatility range conditions and may struggle in strong trends.

Tags

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