Grid Trading with OTC-Style Backtest Code and a Data Error

Summary

The post shares a one-minute grid trading strategy that uses the prior day’s close as a center price and divides prices into bands. It opens an initial position, then changes holdings when the price moves between grid regions, subject to cash and position-size conditions. The author includes initialization, daily setup, and bar-level logic, so the intended trading rules can be reviewed.

The reported backtest fails when requesting the current close, with an internal error indicating a missing data object. The author says the strategy had worked previously, but the post does not establish why the data lookup now fails or provide a fix. It is therefore useful as an example of grid logic and a data-access failure, but it offers no performance evidence and does not validate the strategy’s execution, risk controls, or profitability.

Key ideas

• The strategy sets its grid center using the previous day’s closing price.
• It uses price-band transitions to trigger position changes.
• The post reports a failure while requesting the current close during a backtest.
• The discussion does not identify the cause or provide a confirmed repair.

Tags

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