{quote} Your balance curve will no longer look like a nice straight line, but more like an ugly sawtooth. But hopefully a sawtooth that slowly rises over time...
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I set a 'Maximum Loss Percentage', backtest those with the grids, get a strategy that maximizes returns with the sawtooths included. Run a few thousand tests and find that band of optimal defined loss / grid profits.
[quote=poeladifeel;15652261]Interesting discussion. Grid and basket systems always look simple at the start, but the real challenge is usually not entry logic, it’s trade management once positions start stacking. Equity-based triggers like what you mentioned are actually more flexible than pip-based grids, but they can also make the system very reactive if market conditions change quickly. One thing I’ve noticed with basket approaches is that once you tie new entries to drawdown instead of structure, you basically shift the whole logic from “market movement” to “account pressure”, which can work, but it needs very strict limits on exposure.[/quot
I agree. The important parts of grids is the exit. Creating the algorithm to exit is the real challenge.
I read a few post . I do not see why some talk about time frames in grid systems.
Perhaps my work is not pure grid systems, but similar approach. I use renko bars to determine the trend and entry. To me, trend is 1 renko bar. Whatever pips I set the renko variable.
In essence, my systems Triger entries when a renko bar close. For example if bar set at 10 pips, then from current price at start a first bar would close at +10 or -10. The system then would trigger a long or short according to that last brick. Let say that first bar was UP. Next bar would close at +20 or -10 . Then the system would triger a long at +20 or a short at -10. And forever like that until your exit algo triggers a close and reset bar count. If you can imagine, it is creating a grid that follow the price whatever it goes . Here is huge tip. I made code that measure continuation. In 10 pips bars, the continuation rate is 67% . ( 5 years test) Meaning, every time a bar close, say UP, there is a 67% chance that next bar would also be UP.
Interesting discussion. Grid and basket systems always look simple at the start, but the real challenge is usually not entry logic, it’s trade management once positions start stacking. Equity-based triggers like what you mentioned are actually more flexible than pip-based grids, but they can also make the system very reactive if market conditions change quickly. One thing I’ve noticed with basket approaches is that once you tie new entries to drawdown instead of structure, you basically shift the whole logic from “market
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on what pair ? mean reverting or trending highly depends on the pair used. JPY pairs use to trend more. AUD/CAD/CHF tend to MR more
