Shannon Grid Trading with Proportional Buy and Sell Thresholds

Summary

This spot-style grid method begins by dividing the initial investment between cash and an asset, with the code setting each allocation to half. It tracks the marked value of the asset position against a reference value. When that value falls below the reference by the configured buy threshold, the strategy uses part of the reference allocation to buy; when it rises above the sell threshold, it sells a corresponding portion. The listed buy and sell thresholds are both 2%, and the code checks prices once per second.

The method can systematically rebalance as prices move, but it depends on available cash and holdings and does not describe a market, backtest period, or performance evidence. The reference allocation changes after trades, while the displayed accounting does not fully reconcile fees and transaction values. The code also uses market orders, so execution prices and costs may differ from its calculations. These details limit what can be concluded about returns or risk from the description alone.

Key ideas

• The strategy initially allocates half of the investment to the asset and half to cash.
• It buys when asset value falls below its reference by the configured threshold and sells after a corresponding rise.
• Trade size is based on a portion of the reference allocation, and available cash limits purchases.
• The implementation polls prices once per second and uses market orders.
• No backtest results are given, and the accounting does not fully model transaction costs.

Tags

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