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Hi Michael Hsia ,

Thank you for your contribution!
Given the growing popularity of crypto-currencies, what are your thoughts on using this strategy with them against fiat currencies?

Hi @alexandre_catarino 

The grid system was built on the assumption that: 

1. the mean value of the time series of asset maintain the same (reference line)
2. the value of the asset varies frequently but not going to have drastic changes in a short period of time

I don't think the nature of crypto doesn't match any of the above assumptions if you see this from the monthly granularity. Perhaps changing the observation period to form the reference price from monthly to daily or even hourly would be more adequate. Also maybe try running different currencies against this system so that you'll find out which currency is the most profitable.

Great work Michael Hsia!
My first ever live strategy was a grid trader, for EURUSD. I learned some valuable lessons about warehousing risk (MAE) and negative skew. After learning how to take the losses, i'm still a believer in grid strategies --if they have the proper guardrails. 

That was about 2 years ago, and I have meant to revisit grid trading with crypto, as the market noise (and price oscillations) are suitable for grid trading, when they occur. Some day I'll give it another go, with a focus on the right noise filter --looking for the least efficient price action (using the Kaufman Efficiency Ratio) as a filter, on an hourly time frame (as you suggested above). 

Also, thanks for sharing your article. After a quick skim, it looks like it will be  inspiring – I'll try to read it fully some time during the week.. I've also just ‘followed’ you. 

On a related note, here's a relevant article on grid trading from Quantpedia that you might find interesting. 

Hi .ekz. 

Thanks for your appreciation. 

Actually, the article is the exact piece that inspired me to work on this grid trading system project. I'm still working on it and trying to think of a way to find the proper guardrails as you mentioned. Sadly so far no luck to prevent me from great risk. Would be interesting to hear some more from you.

Cheers 

Hi Michael,

just to cover your back, im also a grid trader with this other well-known software around.

It works for forex and other markets 😊

Toaster 

Cool! I'm at the moment also applying grid trading strategy against crypto and see which pair is the best instrument.

What I believe is grid trading can work in forex unless a major economic number doesn't start to fall out of the boundaries identified by the grid. Thank you.