Mean-Reversion Grid Trading Around a Moving Average

Summary

This strategy places evenly spaced price levels above and below a simple moving average, then uses price moves across those levels to open and close long positions. Its stated example uses a 300-hour average, a 3% range on each side, and up to 15 grid levels. Boolean state tracks whether each level has an open position, with buys below levels and closes as price rises through the next level.

The method is intended to harvest repeated oscillations around a moving reference price. The document describes a backtest setup for ETH/USDT futures using hourly data from April to June 2025, but reports no performance results, so it provides no evidence that the approach was profitable. Its main caveat is directional persistence: a sustained trend can accumulate positions without corresponding exits. Parameter sensitivity, fees, slippage, liquidity, and capital allocation also matter; the text proposes filters and stop losses as possible improvements rather than tested features.

Key ideas

• Grid levels are evenly spaced around a simple moving average that serves as a moving reference.
• The strategy opens a long position when price falls below an unoccupied grid level.
• A position at a lower level closes when price rises above the next level.
• A persistent trend can leave several positions open and tie up capital.
• The described backtest setup gives no performance figures, and trading costs may affect results.

Tags

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