Percentage Grid Trading with Decaying Long Position Sizes

Summary

This document describes a fixed, ten-level long-only grid centered on a user-selected price. Levels are spaced by a configurable percentage, and the script places buy orders at each level. Order notional decreases geometrically with each successive level, an anti-martingale sizing rule intended to reduce added exposure as positions accumulate. All open positions close when price reaches a take-profit threshold calculated above the grid’s top level; an optional stop closes them after price crosses a user-set level.

The accompanying explanation presents the strategy as suited to sideways markets and suggests comparing its backtest with buy-and-hold after selecting a historical range. It provides no performance results or market-specific evidence. The source code also differs from parts of the prose: it uses percentage-based spacing, while an earlier description discusses fixed-dollar spacing, and it reduces order sizes rather than increasing them. The strategy is long-only, relies on a fixed grid center, and can remain exposed during persistent declines; fees, slippage, grid choice, and backtest assumptions affect results.

Key ideas

• The grid has ten levels around a user-defined center, spaced by a configurable percentage.
• The script places long orders at grid levels and reduces order notional geometrically at successive levels.
• A take-profit closes all positions above the grid top, while an optional user-set stop can close them after a downward crossing.
• The description recommends testing in sideways markets and comparing results with buy-and-hold, but reports no performance evidence.

Tags

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