Buy the dips, sell the bounces inside a fixed band. Profitable in range, bleeds when the band breaks.
Over 2018-01-01 → 2026-09-23 it returned 31.6% while buying once on the first day and never touching it returned 275.8% — 244.2% worse. Not one of the 16 parameter settings tested beat the benchmark. The median setting returned 29.1%.
It spent 2088 days below its previous high at the longest stretch — 99% of the whole period under water.
162 fills. Signals are taken on the close and filled at the next open.
A single return is one chosen start date. These are 95 runs of the same rules with the start shifted forward 30 days at a time.
| Worst | p10 | p25 | Median | p75 | p90 | Best | Losing starts |
|---|---|---|---|---|---|---|---|
| -68.7% | -32.1% | -9.8% | 6.5% | 14.8% | 20.6% | 42.6% | 33% |
The headline above uses one parameter setting. Here is every setting tested: 16 combinations, median 29.1%, best 67.1%, worst 10.1%. 0 of them beat buy & hold.
Grid run across its own parameter range over the full period. The same rules flip from profit to loss depending only on the numbers you picked — which is why a single headline return is meaningless on its own.
| levels 5 | levels 10 | levels 20 | levels 30 | |
|---|---|---|---|---|
| rangePct 0.15 | 17% | 22% | 16% | 10% |
| rangePct 0.25 | 20% | 32% | 27% | 17% |
| rangePct 0.4 | 29% | 42% | 45% | 29% |
| rangePct 0.6 | 33% | 54% | 67% | 48% |
Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).
| Year | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|---|---|---|
| Return | -42% | 16% | 14% | 2% | -47% | 2% | 14% | 13% | -1% |
| Max DD | 55% | 15% | 11% | 0% | 52% | 0% | 5% | 38% | 33% |
| Trades | 62 | 60 | 38 | 5 | 13 | 7 | 39 | 55 | 13 |
| Closed | P&L (USDT) | Held |
|---|---|---|
| 2022-06-19 | +30.87 | — |
| 2021-01-05 | +30.87 | — |
| 2021-01-03 | +30.87 | — |
| 2021-01-03 | +32.31 | — |
| 2021-01-03 | +33.89 | — |
| 2021-01-03 | +35.62 | — |
| 2021-01-03 | +37.52 | — |
| 2021-01-02 | +39.62 | — |
| 2020-12-30 | +39.62 | — |
| 2020-12-28 | +41.96 | — |
| 2020-12-27 | +44.57 | — |
| 2020-12-26 | +47.50 | — |
| 2020-12-24 | +50.83 | — |
| 2020-12-17 | +47.50 | — |
| 2020-12-16 | +50.83 | — |
| 2020-12-06 | +50.83 | — |
| 2020-12-02 | +50.83 | — |
| 2020-11-30 | +50.83 | — |
| 2020-11-23 | +50.83 | — |
| 2018-06-03 | +50.83 | — |
| 2018-05-24 | +50.83 | — |
| 2018-05-19 | +41.96 | — |
| 2018-05-17 | +41.96 | — |
| 2018-05-13 | +41.96 | — |
| 2018-05-13 | +44.57 | — |
Rule-based range trading, widely automated on FX and crypto venues. The name itself has no official definition. Also known as Range grid, ladder.
Listed as convention, not as established fact.
| Period | 2018-01-01 → 2026-09-23 |
| Parameters | {"rangePct":0.25,"levels":10,"allocPct":0.08} |
| Fees | 0.10% taker + 0.05% slippage, both legs |
| Starting capital | 10,000 USDT · long-only spot, no leverage |
| Rolling test | 365 bars × 95 start dates |
| Input hash | 221c60f0a6ee8039 |