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51bitquant FutureNeutralGridStrategy: faithful Binance BNB neutral-grid port

Faithful port of FutureNeutralGridStrategy by 51bitquant, MIT-licensed, from…

Hypothesis

Faithful port of FutureNeutralGridStrategy by 51bitquant, MIT-licensed, from https://github.com/51bitquant/howtrader/blob/fcad8e2d86825506b9d33441ab78be853c2c3bdd/howtrader/app/cta_strategy/strategies/future_neutral_grid_strategy.py. Preserve its bid-centered limit grid and order-event replenishment, including its asymmetric short-side replenishment formula. Source defaults are high_price=0.0, low_price=0.0, grid_count=100, order_volume=0.05, max_open_orders=2, and trade_count=0. The two zero price bounds are……Show moreShow less

Faithful port of FutureNeutralGridStrategy by 51bitquant, MIT-licensed, from https://github.com/51bitquant/howtrader/blob/fcad8e2d86825506b9d33441ab78be853c2c3bdd/howtrader/app/cta_strategy/strategies/future_neutral_grid_strategy.py. Preserve its bid-centered limit grid and order-event replenishment, including its asymmetric short-side replenishment formula. Source defaults are high_price=0.0, low_price=0.0, grid_count=100, order_volume=0.05, max_open_orders=2, and trade_count=0. The two zero price bounds are unconfigured placeholders: executing them literally divides by zero. Explicit platform configuration sets a static range once per evaluation window using only its first valid bid P0: low_price=0.75*P0 and high_price=1.25*P0. These effective bounds never recenter. Trade BNBUSDT.BINANCE on a margin netting account, using actual quote ticks and completed one-minute bars. Adapt only sizing: replace the source's fixed 0.05 units with a constant window-specific quantity representing 0.10% of initial window equity at P0, rounded down to instrument precision. Buy and sell orders change a single net position; they do not require independent opposing positions. No stop, target bracket, trend filter, inventory cap, or out-of-range liquidation is added. The author's performance claims remain unverified.

Analysis

FutureNeutralGridStrategy

Backtest and paper results are hypothetical. Trading involves risk of loss.