Simple Arithmetic Contract Grid
The parameters are very simple, they areBTCFor example, when you reach the area where you open a long position, close short to buy a bottom position and open a long position; when you reach the area where you open a…
The parameters are very simple, they areBTCFor example, when you reach the area where you open a long position, close short to buy a bottom position and open a long position; when you reach the area where you open a short position, you buy a bottom position and open a short position, repeating this cycle
Obviously, in the crypto world, in the long run, any complex model cannot outperform a mindless grid strategy
Wealth code is brainless grid+Reckless all-in local dog
Hopefully, like the earliest Martin, this is the simplest and most brutal yet profitable strategy
Parameters
| Name | Default | What it controls |
|---|---|---|
| M | 20 | Leverage Size |
| H | 50 | Initial base position quantity |
| n1 | true | Quantity per single grid trade |
| grid | 200 | Spacing per single grid trade |
| xia | 35000 | Open multiple points |
| shang | 60000 | Open short position |
Source Python
'''backtest
start: 2021-01-01 00:00:00
end: 2021-11-17 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":2500}]
args: [["H",30],["n1",0.001],["grid",300],["xia",50000]]
'''
def CancelPendingOrders():
orders = _C(exchanges[0].GetOrders)
if len(orders)>0:
for j in range(len(orders)):
exchanges[0].CancelOrder(orders[j].Id, orders[j])
j=j+1
def main():
exchange.SetContractType('swap')
exchange.SetMarginLevel(M)
currency=exchange.GetCurrency()
if _G('buyp') and _G('sellp'):
buyp=_G('buyp')
sellp=_G('sellp')
Log('Read grid prices')
else:
ticker=exchange.GetTicker()
buyp=ticker["Last"]-grid
sellp=ticker["Last"]+grid
_G('buyp',buyp)
_G('sellp',sellp)
Log('Initialize grid data')
while True:
account=exchange.GetAccount()
ticker=exchange.GetTicker()
position=exchange.GetPosition()
orders=exchange.GetOrders()
if len(position)==0:
if ticker["Last"]>shang:
exchange.SetDirection('sell')
exchange.Sell(-1,n1*H)
Log(currency,'Reached short opening area,Buy short base position')
else:
exchange.SetDirection('buy')
exchange.Buy(-1,n1*H)
Log(currency,'Reached long opening area,Buy long base position')
if len(position)==1:
if position[0]["Type"]==1:
if ticker["Last"]<xia:
Log(currency,'Take profit and reverse all short orders')
exchange.SetDirection('closesell')
exchange.Buy(-1,position[0].Amount)
else:
orders=exchange.GetOrders()
if len(orders)==0:
exchange.SetDirection('sell')
exchange.Sell(sellp,n1)
exchange.SetDirection('closesell')
exchange.Buy(buyp,n1)
if len(orders)==1:
if orders[0]["Type"]==1: #take profit transaction
Log(currency,'Grid reduction,Current number of copies:',position[0].Amount)
CancelPendingOrders()
buyp=buyp-grid
sellp=sellp-grid
LogProfit(account["Balance"])
if orders[0]["Type"]==0:
Log(currency,'Grid increase position,Current number of copies:',position[0].Amount)
CancelPendingOrders()
buyp=buyp+grid
sellp=sellp+grid
LogProfit(account["Balance"])
if position[0]["Type"]==0:
if ticker["Last"]>float(shang):
Log(currency,'Take profit and reverse all long orders')
exchange.SetDirection('closebuy')
exchange.Sell(-1,position[0].Amount)
else:
orders=exchange.GetOrders()
if len(orders)==0:
exchange.SetDirection('buy')
exchange.Buy(buyp,n1)
exchange.SetDirection('closebuy')
exchange.Sell(sellp,n1)
if len(orders)==1:
if orders[0]["Type"]==0: #take profit transaction
Log(currency,'Grid reduction,Current number of copies:',position[0].Amount)
CancelPendingOrders()
buyp=buyp+grid
sellp=sellp+grid
LogProfit(account["Balance"])
if orders[0]["Type"]==1:
Log(currency,'Grid increase position,Current number of copies:',position[0].Amount)
CancelPendingOrders()
buyp=buyp-grid
sellp=sellp-grid
LogProfit(account["Balance"])
Published by 恐龙宝宝 on the FMZ strategy square · last modified 2021-11-18. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.
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