Grid Hedging Across Near- and Far-Dated Crypto Contracts
Summary
The document extends a multi-contract spread monitor into a grid-based hedging strategy for cryptocurrency futures. It compares near- and far-dated contracts for the same underlying, calculates positive and negative spreads from bid and ask prices, and places paired positions when spread levels trigger. The described positive hedge shorts the longer-dated contract while longing the nearer contract. The implementation also persists grid and equity data across restarts, tracks positions, displays spreads and account equity, and uses an exchange simulation environment for initial experimentation.
The author reports that the strategy opened positions and that spread movement appeared workable during an approximately three-day simulation, with some funding-rate gains shown in accompanying images. However, closing positions and other situations were not yet fully tested, and the article explicitly characterizes the program as a demo that requires debugging. It cannot be backtested in the described setup. The evidence is limited to a short simulation and does not establish risk-adjusted performance, robustness across market regimes, or the impact of fees and execution slippage.
Key ideas
- The strategy monitors spreads between near- and far-dated contracts for the same asset.
- Its positive hedge pairs a short position in the farther contract with a long position in the nearer contract.
- A grid stores spread thresholds and helps coordinate opening and closing paired positions.
- Persistent state and account-equity tracking support restarts and monitoring.
- The reported simulation was brief, and position closing and other edge cases remained unverified.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.