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Selecting Perpetual Futures for Grid Trading by Average Daily Range

Article Strategy library · Author: ChaoZhang
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Summary

This screening method ranks trading perpetual futures by the average daily range of their recent candles, with the stated lookback default set to 30 days. For each eligible contract quoted in USDT, it calculates each candle’s high-to-low range as a percentage of its open, then reports the average and several related range and price-change statistics. Contracts without enough daily history are skipped.

The output is intended to help identify instruments for grid trading by comparing historical movement. The document provides a measurement and reporting procedure, not a grid-entry, spacing, or position-sizing rule, and it reports no ranking results or evidence that higher-range contracts produce better outcomes. Average range alone does not indicate direction, future volatility, execution costs, or suitability; the lookback and contract universe also constrain the comparison.

Key ideas

  • The method screens active USDT-quoted perpetual futures contracts.
  • It measures each daily range as the high-minus-low divided by the open and expressed as a percentage.
  • The default lookback is 30 days, and contracts with insufficient history are excluded.
  • The report includes average, maximum, and minimum range alongside daily and aggregate price changes.
  • Historical range can help compare instruments for grid trading but does not establish future performance or grid parameters.

Tags

CryptoFuturesPerpetual futuresGrid tradingVolatility

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