Dynamic Grid Trading Strategy: From Zero Expectation to Market Outperformance
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866908407325261824 |
|---|---|
| author | Chen, Kai-Yuan Chen, Kai-Hsin Jang, Jyh-Shing Roger |
| author_facet | Chen, Kai-Yuan Chen, Kai-Hsin Jang, Jyh-Shing Roger |
| contents | We propose a profitable trading strategy for the cryptocurrency market based on grid trading. Starting with an analysis of the expected value of the traditional grid strategy, we show that under simple assumptions, its expected return is essentially zero. We then introduce a novel Dynamic Grid-based Trading (DGT) strategy that adapts to market conditions by dynamically resetting grid positions. Our backtesting results using minute-level data from Bitcoin and Ethereum between January 2021 and July 2024 demonstrate that the DGT strategy significantly outperforms both the traditional grid and buy-and-hold strategies in terms of internal rate of return and risk control. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_11921 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Dynamic Grid Trading Strategy: From Zero Expectation to Market Outperformance Chen, Kai-Yuan Chen, Kai-Hsin Jang, Jyh-Shing Roger Trading and Market Microstructure We propose a profitable trading strategy for the cryptocurrency market based on grid trading. Starting with an analysis of the expected value of the traditional grid strategy, we show that under simple assumptions, its expected return is essentially zero. We then introduce a novel Dynamic Grid-based Trading (DGT) strategy that adapts to market conditions by dynamically resetting grid positions. Our backtesting results using minute-level data from Bitcoin and Ethereum between January 2021 and July 2024 demonstrate that the DGT strategy significantly outperforms both the traditional grid and buy-and-hold strategies in terms of internal rate of return and risk control. |
| title | Dynamic Grid Trading Strategy: From Zero Expectation to Market Outperformance |
| topic | Trading and Market Microstructure |
| url | https://arxiv.org/abs/2506.11921 |