Trend-Following Grid Trading with EMA-Based TTM States

Summary

This strategy combines a trend state derived from high and low EMAs with a grid whose direction and price levels update when the state changes. The close is classified as bullish, bearish, or neutral by comparing it with two thresholds placed within the gap between the EMAs. In a directional state, the strategy sets a base price and lays out buy and sell levels at multiples of a configurable spacing. Trades are triggered when bar prices reach those levels, and the description says each trade uses a fixed percentage of account equity for risk exposure.

The document provides parameter defaults and published one-minute BTC/USDT futures backtest settings, but reports no performance results, so it does not establish profitability. It notes that EMA lag can delay trend changes, while changing grid direction in sideways markets may increase turnover, fees, and slippage. Multiple active grid levels can also require substantial capital. The source logic does not show explicit stop-loss or take-profit rules, despite the overview’s risk-control claims.

Key ideas

• The strategy classifies market direction using the close relative to thresholds between high and low EMAs.
• A non-neutral state change resets the grid base price and sets its direction.
• Grid orders are triggered when bar highs or lows cross calculated price levels.
• The document identifies EMA lag, sideways-market turnover, capital needs, and slippage as risks.
• Published backtest settings are given, but no performance results are reported.

Tags

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