Grid Backtesting with Configurable Levels and Order Sizing

Summary

This document introduces a configurable grid strategy backtest. Users can choose a neutral, long, or short mode, set the number of grid levels, and distribute levels using arithmetic or geometric spacing. Investment controls include leverage and order sizing methods: automatic sizing, compounding based on trade outcomes, or fixed contracts per level. The visible defaults include an investment of 10,000, leverage of 1, and 10 grid levels. The script also provides date-range controls or an automatic test window based on recent bars, plus settings for commissions and slippage.

The supplied material is truncated before the grid execution rules are fully shown, so it does not establish how orders are placed, when positions are closed, or how exposure is constrained as price moves. No backtest results or performance comparison are included. The configuration describes how to test a grid, not evidence that it is profitable; outcomes would depend on the asset, market regime, execution assumptions, and chosen sizing method.

Key ideas

• The backtest offers neutral, long, and short grid modes.
• Grid levels can be spaced arithmetically or geometrically.
• Order sizing can be automatic, fixed per level, or compounded.
• Investment, leverage, grid count, commission, and slippage are configurable.
• The excerpt omits execution and exit details and reports no performance results.

Tags

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