Single-Asset Grid Trading Around a Reference Price
Summary
This inventory-based strategy trades one asset around a reference price, such as a moving average or the midpoint of recent highs and lows. It begins with a partial position, then signals buys or sells when price moves sufficiently far from the reference or from the last recorded trade price. Trade size depends on the cash or asset share of the account, with activity limited near the portfolio’s upper and lower allocation bounds. The intended behavior is to accumulate below the reference and distribute above it, while recording a new reference trade price after signals.
The document reports an ETH/USDT backtest on OKEX from January to October 2019, claiming 130% annualized returns, transaction fees of 1,651 yuan, and a maximum drawdown around 30%. These figures are presented without fuller validation details. The author notes that losses can deepen during sharp declines when inventory accumulates at higher prices, and that results depend on asset selection and volatility. The strategy can leave substantial exposure to a single asset and does not establish that the reported result generalizes.
Key ideas
- The strategy trades around a reference price and the price of its most recent transaction.
- It uses partial buys and sells, with trade size tied to current cash or asset allocation.
- Trading is constrained near low and high portfolio allocation limits.
- The reported ETH/USDT backtest includes high stated returns alongside a drawdown around 30%.
- Asset selection and prolonged price declines can materially affect inventory risk.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.