Hedged Two-Way Martingale with Conditional Counterpositions
Summary
This strategy modifies a two-way martingale by opening a position against the current exposure when price reaches a configurable hedge threshold. It describes settings for initial order size, take-profit distance, leverage, position growth, and the proportion of the existing position used for the hedge. The hedge size has a minimum tied to the configured initial order size. A threshold above one makes counterpositions less likely; a value below one makes them easier to trigger. The document also explains how the growth multiplier increases successive order sizes and gives a formula for adjusting add-on price spacing.
The parameter choices can make the system behave like a one-directional martingale, a dynamic grid, or a more consistently two-sided scheme. The text focuses on configuration and mechanics rather than supplying performance tests, drawdown estimates, or market-condition evidence. Martingale sizing increases exposure as positions accumulate, and adding a hedge does not remove losses or guarantee a net-neutral portfolio. Contract sizing conventions, leverage, fees, funding, and available capital affect actual risk and implementation.
Key ideas
- The strategy opens an opposite-side position when price crosses a configurable hedge threshold.
- The hedge size depends on current exposure and a multiplier, with a minimum based on the initial order size.
- A position growth multiplier increases the size of successive additions.
- Threshold settings can shift the system between one-way and two-way behavior.
- The document gives configuration guidance but no backtest evidence or quantified risk analysis.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.