FMZ-Inspired LTC/BCH Five-Level Range Grid with Capped Inventory

Hypothesis

Test the source's concrete mechanism: construct five evenly spaced levels from the preceding 3–5 days' trading range, enter against excursions, take profits after half a grid interval, and liquidate on a range break. Adapt it to independent LTC and BCH perpetual grids using 4-HOUR bars. Replace exponential martingale sizing with equal, capital-relative tranches and a fixed loss budget. Each instrument may hold only one inventory direction at a time, consistent with Hyperliquid's netting account. This is an experiment in compensated inventory provision, not an assumption that grids inherently generate profits.

The source supplies executable range, order-count, profit-taking and stop concepts, although its return claims are unverified. Hyperliquid is underrepresented at 7.7% versus its 20% target; this proposal also adds multiple instruments and both trading directions. corpus_concentration is empty, so neither symbol's recent research share can be verified. Avoid BTC and the existing ETH five-minute grid. Options are underrepresented but their recorded structural failures make them unsuitable for this source adaptation. No cross-venue hedge is introduced without a source-supported mechanism.

verification_loop: sandbox_timeout: Verification failed (Layer 3 — sandbox backtest): smoke test exceeded the 300s wall-clock limit on a ~20000-bar window (2400 days of LTCUSD.HYPERLIQUID-4-HOUR-LAST-EXTERNAL). This almost always means per-bar work that scales with history — e.g. rescanning the full funding/supplementary series, or rebuilding a list and calling min()/sorted() inside calculate_signal()/on_bar() on every bar. Precompute sorted timestamp arrays ONCE in __init__ and use bisect, or cache lookups keyed by timestamp, so per-bar cost is O(log n) not O(n).

Implementation

Independent LTC and BCH Hyperliquid perp five-level range grids on 4H bars. The range is the high/low of the prior range_lookback_bars bars (excluding the current one), split into five evenly spaced levels. The strategy enters against an excursion through the inner level (long below low+step, short above high-step), but only in low-efficiency (non-trending) ranges. It adds at most one equal tranche at the range edge. It takes profit after half a grid interval and liquidates on a range break of half a step beyond the range, when the fixed loss budget is reached, or at the max cycle time. A cooldown follows each cycle. Each instrument holds one direction at a time, with no martingale.

Verification Results

sandbox_timeout: Verification failed (Layer 3 — sandbox backtest): smoke test exceeded the 300s wall-clock limit on a ~20000-bar window (2400 days of LTCUSD.HYPERLIQUID-4-HOUR-LAST-EXTERNAL). This almost always means per-bar work that scales with history — e.g. rescanning the full funding/supplementary series, or rebuilding a list and calling min()/sorted() inside calculate_signal()/on_bar() on every bar. Precompute sorted timestamp arrays ONCE in __init__ and use bisect, or cache lookups keyed by timestamp, so per-bar cost is O(log n) not O(n).

Outcome Summary

Before resubmitting, profile per-bar cost on the full ~20k-bar sandbox window, including the base-template bar buffers and the multi-instrument dispatch, not just the strategy's own lookback, because code that claims O(lookback) per-bar work can still time out.

After 3 iterations it was abandoned in the verification loop. The Layer 3 sandbox backtest exceeded the 300s wall-clock limit on a ~20,000-bar window (2,400 days of LTCUSD.HYPERLIQUID 4-hour bars). Backtest review, optimization, analyst review and risk review were never reached.

Run independent five-level range grids on LTC and BCH perpetuals using 4-hour bars: build the levels from the prior 3–5 days' range, enter against excursions, take profit at half a grid interval and liquidate on a range break, with equal capital-relative tranches, a fixed loss budget and one inventory direction per instrument instead of martingale sizing.

There are no performance numbers. The backtest report is empty, no optimization ran, and the strategy never produced a return, Sharpe ratio or trade count.

Analysis

浅谈网格交易法