Futures Grid Strategy with Profit Targets and Position Stops

Summary

This strategy places paired long and short limit orders around the market, then rebuilds the grid after fills using the last filled price and a position-dependent step. It tracks net position and average entry price with a grid position calculator. When exposure reaches a configured threshold, it may place a single take-profit order for the full position, priced relative to average entry and the current market.

Risk controls include a maximum position threshold and periodic checks for an adverse price move, which trigger an offsetting order. After a stop closes the position, the strategy waits for a configured rest period before restarting. The document itself cautions that the approach is intended for ranging conditions and can lose substantially when markets trend. It supplies implementation logic but no backtest, transaction-cost analysis, or evidence that its thresholds generalize; its timers and order handling also depend on the surrounding trading framework.

Key ideas

• The strategy maintains paired grid orders and adjusts their spacing as exposure grows.
• A full-position profit order is considered after position size crosses a configured threshold.
• Position limits and adverse-move checks trigger an order intended to close exposure.
• A stop event pauses grid restarting for a configured interval.
• The author warns that trending markets can produce large losses, and provides no performance study.

Tags

From a private course collection; the original is not published.