Implementing a Parameterized Grid Strategy in Pine
Summary
The document explains a simple grid strategy written in Pine and describes how to run it in an FMZ environment. It anchors grid levels to the first live price, then places limit orders at fixed intervals above or below that level according to a long, short, or two-sided setting. Each grid order receives a corresponding exit rule intended to close the position after a specified profit distance. Inputs control spacing, direction, order size, grid count, and take-profit distance; unset values cause the script to stop.
The explanation distinguishes historical bars from live data and describes how trade labels prevent a grid level from being entered repeatedly while its position remains open. A sample backtest configuration is included, along with a profit-curve illustration, but no quantitative performance figures are stated. The author cautions that grid trading is not guaranteed to win and that outcomes depend on parameter choices and use. The example does not establish how the strategy behaves across market regimes or fully discuss capital, inventory, and execution risks.
Key ideas
- The grid anchors its price levels to the first live bar rather than arranging orders across historical bars.
- Direction, spacing, order quantity, grid count, and profit distance are configurable inputs.
- The script places limit entries at grid levels and associates exits with each entry label.
- A trade-label check is used to avoid repeating an entry while that grid position is open.
- A grid strategy can lose money, and the example offers no broad performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.