Grid Strategy

The Grid Strategy is a mean-reversion trading strategy that profits from price oscillations within a range by placing buy and sell orders at fixed price intervals.

How It Works

The strategy creates a "grid" of price levels around a base price. When the price moves up through grid levels, it sells. When price moves down through grid levels, it buys. This captures profits from price bouncing back and forth.

The Trading Logic is as follows:

• Price moves UP (crosses to higher level) → SELL (take profit or short)

• Price moves DOWN (crosses to lower level) → BUY (buy the dip or cover short)

Parameters

grid_size (default: 5)

• Number of grid levels above AND below the base price

• Total levels = 2 × grid_size + 1 (e.g., 5 gives 11 levels: -5 to +5)

grid_spacing (default: 0.01 = 1%)

• Percentage price difference between adjacent grid levels

• Example: If base price is $100 and spacing is 0.01, levels are at $99, $100, $101, etc.

order_size (default: 100)

• Dollar amount to trade at each grid level crossing

initial_balance (default: 10000)

• Starting capital for the strategy

Protection Threshold (default: 1)

• In prediction markets, prices can go to 0. This setting sells ALL positions if price drops X extra levels below your grid bottom.

Fee Rate (default: .001)

• Works in fee per taker transaction during your PnL simulation

Example Scenario

Setup:

grid_size=3, grid_spacing=0.01, base_price=$100

Grid levels: $97 (level -3), $98 (-2), $99 (-1), $100 (0), $101 (+1), $102 (+2), $103 (+3)

Trading sequence:

• Price at $100 (level 0) → No action

• Price moves to $101 (level +1) → SELL $100 worth

• Price moves to $102 (level +2) → SELL another $100

• Price moves back to $101 (level +1) → BUY $100 worth

• Price moves to $100 (level 0) → BUY another $100

This captures profit from the oscillation!