Selecting Crypto Grid-Trading Pairs Across Maker-Fee Scenarios

Summary

This notebook excerpt describes evaluating multiple cryptocurrency pairs from grid-trading backtests. It filters for assets listed before May 2024, excluding Bitcoin and Ether, and examines a run made in June 2024 using May data. For each pair, it builds an equity series from balance, marked position value, and fees, plots equity and inventory over time, and estimates daily trade counts from traded notional using an approximate order size of $100. It then selects pairs with positive ending equity and aggregates their curves.

The selection is repeated under two accounting assumptions: a 0.005% maker rebate and zero maker fees. The resulting plots are offered as evidence, but the excerpt gives no readable numerical results or forward-month performance. It says the selected set will be tested on other months, including a forward month. A key limitation is that the backtest uses the latest tick size; historical changes can make results inaccurate unless historical tick sizes are available or estimated for each day. Pair selection based on positive in-sample terminal equity also needs out-of-sample validation.

Key ideas

• The notebook evaluates multiple crypto pairs using grid-trading backtest equity and position histories.
• It estimates average daily trading activity from notional turnover and an approximate order size of $100.
• Pairs with positive ending equity are selected for aggregation and later testing.
• The selection is compared under a 0.005% maker rebate and a zero-fee assumption.
• Using current tick sizes for historical simulation can distort results when tick sizes changed.

Tags

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