Hallo all.
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Index :
A) Intro and some history
B) GridSlip intro
C) GridSlip Strategy
D) GridSlip Step size tests
E) GridSlip Future
F) Profit
G) Trade History
**********************************************************************
**********************************************************************
A) Intro and some history
**********************************************************************
I have been away for quite some time, but I have been very busy with trading and decided to share something of what I have done.
I continued with my triangular arbitrage system, but I mostly moved over to live trading on the crypto market, because of the ease of trading it and volatility, which was wonderful for triangular arbitrage.
It also took a lot of coding to program this strategy and during my free time it was taking forever.
It was making a bit of money, just a bit unstable and by my calculation I needed quite a few months of coding if I can only do coding during my free time.
With work and family responsibilities also to consider it was SLOWWWww GOING...
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B) GridSlip intro
**********************************************************************
This brings me to my new strategy “Grid Slip”
I have played around with grid strategies a lot in the past and it is easier to code.
Grids if set to extremely low profit will make profit, even though the amount of profit will then be useless.
If set aggressively it makes good profit in any direction, but then you can get a runaway grid, which will kill your account if you use leverage with it.
Luckily on crypto the volitionality is big enough so that you can still make profit with no leverage so aggressive it is.
For fun I decided to code a quick grid strategy using the code I already created for the Triangular Arbitrage strategy
It worked.
Not a lot of profit, but some.
But knowing me I could not stop there.
Runaway grids still happen, but with no leverage it only means you are then fully invested in the base currency, which is ok if you trust that currency, but then profit will stop until it reverses enough.
**********************************************************************
C) GridSlip Strategy
**********************************************************************
I still have got a lot of ideas I want to build into the strategy and will update my changes in this first post from time to time.
Prerequisites :
1) I trade on the BNB/USDT pair, where USDT is basically USD and my main wallet.
Actual Strategy :
1) Normal grid strategy, but only one way.
Buy BNB every ?% BNB/USDT drops.
Sell all BNB if all trades go into profit, which is normally a bit more than 50% retracement from when the grid started.
2) Grid Steps based on 10% risk.
I calculated the amount I trade each step to be the minimum allowable trade amount at a time.
Then I take that minimum amount and divide it into 10% potential drop to get my steps in USDT I buy BNB for each time.
When all USDT is traded then I just wait for it to return into profit.
Basically when the price falls 10%, but there is a catch here to make it handle bigger drops further.
3) Slip down.
To make more profit I incorporate slip detection.
3.1) I only buy BNB if the BNB dropped below the step point.
3.2) The price must also retrace by 0.3% from lowest point before I buy BNB to allow the step to be bought at a lower price, which allows recovery of much bigger than the above 10% drop.
3.3) Wait 2 minutes before buying BNB where points (3.1) and (3.2) is still valid.
4) Slip up.
Same as (3) just for profit.
4.1) Only sell if all the BNB bought is back in profit.(Normally 50% retracement from lowest point since the grid started, but less with slippage)
4.2) Only sell if once in profit the price fell by 0.3% and is still in profit, allowing price to slip upwards to get more profit.
5) Once the sells are sold back into my USDT wallet the grid closes.
6) If grid is closed then open a new grid and use the above rules to manage it.
7) Grid step grouping.
To save on the number of orders opened up the system groups together multiple grid steps if multiple grid steps need to be opened up and then opens up one big BNB buy for all the steps that need to be opened as one order, but the program keeps track of the individual steps in the back ground.
**********************************************************************
D) GridSlip Step size tests
**********************************************************************
1) I tested this with the following step sizes :
1.1) Same step sizes for 50% retracement before profit or 0.3% to 5% retracement in the BNB/USDT currency since grid started.
1.2) Double each step (Martingale) for a 0.3% to 1% retracement in the BNB/USDT currency since grid started.
1.3) Step increase by 1 every time for a 33% retracement before profit or 0.3% to 3.3% retracement in the BNB/USDT currency since grid started.
In practice the amount of retracement is much less because of the slippage rules above.
On average for option (1) I get on average 1.5% retracement of the BNB/USDT currency.
**********************************************************************
E) GridSlip Future
**********************************************************************
Some unimplemented changes I want to try out.
1) Open a new grid as soon as all the sells are in profit plus 0.3% (which is the retracement amount) and close the grid. This sell will still be monitored and closed on its own once the BNB/USDT price falls 0.3% to allow more profit, while on the other side another grid can already be running for extra profit.
2) Open grid 1% above the current BNB/USDT price to force something in the grid at start, which I am thinking is not a good idea, but needs testing. Higher risk.
3) Create smaller sells.
Every time a buy into BNB is done then create a sell as soon as it is in profit and reopen that step as if the BNB buy never took place.
This way if the price goes up it can go up faster, while the old BNB buy is in profit and at worst case break even.
This way the global sell when all BNB is in profit can be be adjusted lower to exit the grid faster for more profit.
4) This strategy have got a strange by-product in that it shows rather accurately where the actual support and resistance lines are.
This can be useful.
**********************************************************************
F) Profit
**********************************************************************
I could not back test on Binance so all my tests were done with actual money.
Been running on $500 for about 2 months and it increased to $750, which was a fantastic increase of 50%, but keep in mind that was when bitcoin and BNB increased a lot.
I invested more to take to total up to $1970 on 2019-06-26 and at 2019-07-09 04h03s32m010 it hit $2095.23188762 , for a great profit of %6.3.
Working out to about 0.45% profit a day.
This to me is good as I was bargaining to 10% a month.
Remember this is with no leverage.
Maximum drawdown was 0.3% during a long grid run, actually the run that is happening now where it is 70% into the grid already.
Deepest grid run yet.
Binance added leverage trading, which I am a part of the beta test, but have not updated my code to use it yet.
I was thinking a 10X leverage should be good, then maybe I can put a 10% stop loss for a grid runaway situation, especially with this amount of growth.
I first want to add some new strategies that will make more profit on no leverage and test it good before adding another variable like leverage.
10% a month is more than enough for me as I can live of of it, but more is always attractive
**********************************************************************
G) Trade History
**********************************************************************
Added to this post is some history for the last time I restarted my program till 2019-07-10.
As you can see in this "OrderHistory 2019-07-10 14h00.xlsx" file.
When a grid starts multiple BNB buys will take place as the price falls as the different steps.
A SELL into USDT is done when the grid closes and all is in profit and then after that a new grids is started.
As of 2019-07-10 14h00 the latest grid run is not closed yet.
**********************************************************************
Index :
A) Intro and some history
B) GridSlip intro
C) GridSlip Strategy
D) GridSlip Step size tests
E) GridSlip Future
F) Profit
G) Trade History
**********************************************************************
**********************************************************************
A) Intro and some history
**********************************************************************
I have been away for quite some time, but I have been very busy with trading and decided to share something of what I have done.
I continued with my triangular arbitrage system, but I mostly moved over to live trading on the crypto market, because of the ease of trading it and volatility, which was wonderful for triangular arbitrage.
It also took a lot of coding to program this strategy and during my free time it was taking forever.
It was making a bit of money, just a bit unstable and by my calculation I needed quite a few months of coding if I can only do coding during my free time.
With work and family responsibilities also to consider it was SLOWWWww GOING...
**********************************************************************
B) GridSlip intro
**********************************************************************
This brings me to my new strategy “Grid Slip”
I have played around with grid strategies a lot in the past and it is easier to code.
Grids if set to extremely low profit will make profit, even though the amount of profit will then be useless.
If set aggressively it makes good profit in any direction, but then you can get a runaway grid, which will kill your account if you use leverage with it.
Luckily on crypto the volitionality is big enough so that you can still make profit with no leverage so aggressive it is.
For fun I decided to code a quick grid strategy using the code I already created for the Triangular Arbitrage strategy
It worked.
Not a lot of profit, but some.
But knowing me I could not stop there.
Runaway grids still happen, but with no leverage it only means you are then fully invested in the base currency, which is ok if you trust that currency, but then profit will stop until it reverses enough.
**********************************************************************
C) GridSlip Strategy
**********************************************************************
I still have got a lot of ideas I want to build into the strategy and will update my changes in this first post from time to time.
Prerequisites :
1) I trade on the BNB/USDT pair, where USDT is basically USD and my main wallet.
Actual Strategy :
1) Normal grid strategy, but only one way.
Buy BNB every ?% BNB/USDT drops.
Sell all BNB if all trades go into profit, which is normally a bit more than 50% retracement from when the grid started.
2) Grid Steps based on 10% risk.
I calculated the amount I trade each step to be the minimum allowable trade amount at a time.
Then I take that minimum amount and divide it into 10% potential drop to get my steps in USDT I buy BNB for each time.
When all USDT is traded then I just wait for it to return into profit.
Basically when the price falls 10%, but there is a catch here to make it handle bigger drops further.
3) Slip down.
To make more profit I incorporate slip detection.
3.1) I only buy BNB if the BNB dropped below the step point.
3.2) The price must also retrace by 0.3% from lowest point before I buy BNB to allow the step to be bought at a lower price, which allows recovery of much bigger than the above 10% drop.
3.3) Wait 2 minutes before buying BNB where points (3.1) and (3.2) is still valid.
4) Slip up.
Same as (3) just for profit.
4.1) Only sell if all the BNB bought is back in profit.(Normally 50% retracement from lowest point since the grid started, but less with slippage)
4.2) Only sell if once in profit the price fell by 0.3% and is still in profit, allowing price to slip upwards to get more profit.
5) Once the sells are sold back into my USDT wallet the grid closes.
6) If grid is closed then open a new grid and use the above rules to manage it.
7) Grid step grouping.
To save on the number of orders opened up the system groups together multiple grid steps if multiple grid steps need to be opened up and then opens up one big BNB buy for all the steps that need to be opened as one order, but the program keeps track of the individual steps in the back ground.
**********************************************************************
D) GridSlip Step size tests
**********************************************************************
1) I tested this with the following step sizes :
1.1) Same step sizes for 50% retracement before profit or 0.3% to 5% retracement in the BNB/USDT currency since grid started.
1.2) Double each step (Martingale) for a 0.3% to 1% retracement in the BNB/USDT currency since grid started.
1.3) Step increase by 1 every time for a 33% retracement before profit or 0.3% to 3.3% retracement in the BNB/USDT currency since grid started.
In practice the amount of retracement is much less because of the slippage rules above.
On average for option (1) I get on average 1.5% retracement of the BNB/USDT currency.
**********************************************************************
E) GridSlip Future
**********************************************************************
Some unimplemented changes I want to try out.
1) Open a new grid as soon as all the sells are in profit plus 0.3% (which is the retracement amount) and close the grid. This sell will still be monitored and closed on its own once the BNB/USDT price falls 0.3% to allow more profit, while on the other side another grid can already be running for extra profit.
2) Open grid 1% above the current BNB/USDT price to force something in the grid at start, which I am thinking is not a good idea, but needs testing. Higher risk.
3) Create smaller sells.
Every time a buy into BNB is done then create a sell as soon as it is in profit and reopen that step as if the BNB buy never took place.
This way if the price goes up it can go up faster, while the old BNB buy is in profit and at worst case break even.
This way the global sell when all BNB is in profit can be be adjusted lower to exit the grid faster for more profit.
4) This strategy have got a strange by-product in that it shows rather accurately where the actual support and resistance lines are.
This can be useful.
**********************************************************************
F) Profit
**********************************************************************
I could not back test on Binance so all my tests were done with actual money.
Been running on $500 for about 2 months and it increased to $750, which was a fantastic increase of 50%, but keep in mind that was when bitcoin and BNB increased a lot.
I invested more to take to total up to $1970 on 2019-06-26 and at 2019-07-09 04h03s32m010 it hit $2095.23188762 , for a great profit of %6.3.
Working out to about 0.45% profit a day.
This to me is good as I was bargaining to 10% a month.
Remember this is with no leverage.
Maximum drawdown was 0.3% during a long grid run, actually the run that is happening now where it is 70% into the grid already.
Deepest grid run yet.
Binance added leverage trading, which I am a part of the beta test, but have not updated my code to use it yet.
I was thinking a 10X leverage should be good, then maybe I can put a 10% stop loss for a grid runaway situation, especially with this amount of growth.
I first want to add some new strategies that will make more profit on no leverage and test it good before adding another variable like leverage.
10% a month is more than enough for me as I can live of of it, but more is always attractive

**********************************************************************
G) Trade History
**********************************************************************
Added to this post is some history for the last time I restarted my program till 2019-07-10.
As you can see in this "OrderHistory 2019-07-10 14h00.xlsx" file.
When a grid starts multiple BNB buys will take place as the price falls as the different steps.
A SELL into USDT is done when the grid closes and all is in profit and then after that a new grids is started.
As of 2019-07-10 14h00 the latest grid run is not closed yet.
Attached File(s)