Regime-Aware Restartable Grid Trading with Risk Controls

Summary

This document describes an Expert Advisor that runs grid trading in finite, restartable cycles. At each restart, it selects an anchor and grid, then closes the cycle when a profit target, drawdown limit, age limit, or weekend rule is reached. The design aims to limit exposure and reset accumulated variance between cycles. Three modes address different conditions: a bidirectional grid for ranges, a trend-following mode using directional stop orders, and a countertrend mode intended to capture reversion after a trend cycle fails.

Regime selection combines an ATR-to-drift ratio with a frozen-baseline CUSUM detector for structural breaks. Other controls include ATR-based grid spacing, equity-based lot sizing, drawdown shutdown, and diagnostics for loss and ruin probability. The document grounds the approach in cited research that identifies ruin risks in unconstrained grids and studies constrained processes. It gives implementation details and recommended settings, but provides no backtest results in the results section. The proposed positive expectation is conditional on suitable market conditions; the description does not establish that the EA is profitable in live trading or across instruments.

Key ideas

• Finite cycles use profit, drawdown, age, and weekend conditions to trigger closure and restart.
• The system chooses among ranging, trend-following, and countertrend grid modes based on detected market conditions.
• ATR-based spacing and equity-responsive lot sizing adapt grid exposure to volatility and account performance.
• CUSUM structural-break detection supplements an ATR-to-drift regime filter.
• The document describes ruin diagnostics and research foundations but supplies no backtest results.

Tags

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