GridSlip strategy

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
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A) Intro and some history
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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
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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.

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C) GridSlip Strategy
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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.


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D) GridSlip Step size tests
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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.


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E) GridSlip Future
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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.

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F) Profit
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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



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G) Trade History
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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.

Interesting concept. do you have any backtest results?

also; what is the best pair you found to be profitable with this strategy?

I updated post 1 with more information.
Basically I can not back test on binance so all my tests were actually live tests.
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I'm just lucky that my coding did not crash in ways that lost me money during the testing phases.
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Not that my program will ever be out of the testing phase as I am continuously updating it as I go.
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I am busy with a major update now to add some of the (E) Future) parts.
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I also added the actual trade history as an xlsx file to that post from the start of the last grid run that is still active as you can see the last gird is not yet closed.
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A grid is closed with a SELL.
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This system should work on anything, crypto or forex.
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The only adjustment between pairs is to check the average volitility.
The grid size at the moment can handle 10% (more with the extra tricks as explained in post 1).
This 10% can be increased or decreased based on the average movement of the currency pair, say for forex this might be 1% or even 0.5%, but then you add leverage to compensate.
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The amount of reversal is set to 0.3% of the currency pair and again this can be adjusted to say 0.01% for forex with leverage or even more if the volitility is very large to take advantage of slippage for extra profit.
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Then there is a hidden property that also needs adjustment.
Trading cost.
The program takes into account trading costs and therefore this can change between brokers and even currency pairs and then the program need to be told what it is to take it into account.
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O and one more hidden property unique to Binance is that I get discount on Binance if I pay trading costs with BNB currency so the program takes this into account and before closing a grid it first checks if there is enough in the BNB wallet to cover the trading cost for the extra discount plus about 0.01% extra, just for that tiny bit of extra profit


At the moment I am using it on BNB/USDT, but was thinking of also using it on BNB/BTC for bitcoin is very volatile, plus I like bitcoin and it has got a lot of potential with bitcoin's yearly low growing tremendously year on year, then I not only get the BTC growth, but also the grid growth and the BNB growth.

At the moment bitcoin is in a bit of a bubble, so I'm a bit hesitant to invest now, but as soon as I have some more disposable funds I will do that.
Just waiting for the bubble to burst before getting in, although I suspect the bull run is not over yet for the difficulty is going to be increased next year and looking at the past this sudden growth is not new and also if it repeats the past difficulty increases then it is FAR from over, but a dip is coming before the big bull run first, but what do I know for I am no financial adviser, I just like math and programming and this is fun and as a bonus profitable.

Outch !!!
Today I just came out of my biggest drawdown yet.

11% at its worst.

Sudden drop with no retracement.

10 X leverage would have killed this system.

Lucky there is no leverage on this system.

I need to implement those new functions mentioned in post #1 to get out of the grid faster.

Still not a problem for it only means I am fully invested in BNB.

This morning at least I saw the grid exited successfully with some nice profit of 1% to 7.6% total for the run since 2019-06-26.
Phew...

Still positive after the recent dump?

Wow this drop was big yes and it went deep into my grid.
This grid run is still not done from what I checked, but close to the finish line.

Before the drop my account stood at $2145 for a 8.9% profit at that point since 2019-06-26, not bad at all for me at least.

It dropped to $1970 at its lowest point during this big drop, but is standing at $2098 as I am typing here.

Still in profit, but less than the start of this grid run.

I need to get time to add some of my new ideas to the system to exit the grid faster and to decrease the drawdown.

Got some new ideas now that I have some history data to work with.

Like exiting grid sub levels if they drop 0.3% and is still in profit, even if the main grid is not yet in profit.
This is done to ride down sudden drops like this one and reopen then at a lower point.
Increasing the slip profit I am already doing, but decreasing the drawdown dramatically and also exiting the grid faster.
One risk being that sometimes the program might read an up trend wrong and exit that grid level prematurely, but that is a risk Worth taking and a minor ons at that that only delays the grid exit a bit, might delay it less than the other times it increased it, so it balances out good.

Plus as an extra advantage it will move the grid exit point away from the resistance lines, allowing much easier exits and also allow the profit slip up for much more profit.

Have to get time to build this though.

From my dry runs I saw that I could have made a lot of profit using the above idea, well I am making profit now, but it could have been more


With the lowered drawdown I can then look at maybe adding some low leverage, but it must first prove itself.

Update :
This was a stressful run.

Crypto is fun hey and an easy way to go grey.

Well die grid run just completed.
Bitcoin and BNB is still down, but the grid exited with a nice total profit since 2019-06-26 of 9.2%, standing at bit more than $2,155.93
I say a bit more for a new grid has already started and therefore ate a bit of profit.

Updated the order history for those wanting to see the actual trades

Hi JVB,

I was a interested reader in your Triangular Arbitrage thread and just saw that you opened this new thread here.

As far as I know Triangular Arbitrage works much better with Cryptos than in the F/X market. Would you agree with that? Anyway, you wrote that you stopped Crypto Triangular Arbitrage because of instable results and complicated coding. So do you think there can be some money made with Crypto Triangular Arbitrage if one invests the time and energy in coding a very good bot? There are some bots out there but it is difficult for me to judge which one really works.

P.S. what is the current status for your GridSlip strategy?

Cheers,
Michael

Do you plan to publish or sell your automated trading?
Do you plan to publish or sell your automated trading?

@mkuefne
Sorry.

Was very busy the last few months.
Missed your post.

I used a incomplete triangular arbitrage for about a month.
Worked well enough.
Was set to very low risk and therefore not a lot of profit.
About 10%.

Works on both Crypto and Forex, but execution speed is the most important part of this strategy.
The profit is very low per trade and therefore even a small slip will eat your profits.
Luckily the same goes for losses and therefore even with big slippages the loss is negligible.

On average the profit comes in.

Crypto does not move as fast as forex yet.
Therefore it works better on crypto, but if you can find a low liquidity forex broker then it should work well there also.
Or an extremely low latency broker in the order of 10 milliseconds per 3 trades.

I could get it down to about 80 milliseconds for a round trip of 3 trades on Binance for crypto with a 1 millisecond response time from the binance server.

It stopped working when they updated their API and I did not get time to update my program to use the new API.

I was faster to test my grid strategy than updating the arbitrage and the profit on the grid was about the same.
Plus it was fun to try something new.
I love puzzles, maths and programming.

I am currently working on testing latency arbitrage that I wanted to test quite some time ago.
Just scraping some time together in my free time.
Looks good, but my pet project triangular arbitrage I want to reactive one day again seeing that I already created a new driver for the new API of binance that should also work on other brokers.

How long it will take I do not know.
The strategy itself is straight forward.
The stuff taking time is the NON broker stuff like internet connections, latency, API problems, PC hardware and software problems, windows problems, ....

You know the technical stuff that just want to break your program.
My program need to be programmed to know what to do in these and more situations so that I do not have to be involved in its working.
It was like that until the API changed so yes more work.
Never ends, but profit flows in as I work.

At the moment the profit is less than my day job so therefore it just qualifies as a hobby until I can get it to make more than my hourly job rates.
One day

Some people like gardening and hiking.
I like squash, programming and maths.

@tkasahikawa
Would be nice to make some seed money by selling it, but first it need to be finished.
Then again once finished and it makes money I see no need to sell it.
Catch 24.

This thread is mostly just to discuss my ideas and use the programming to test the ideas with.
The fact that the program can automate any strategy is just a bonus and not the goal.
Unless it really makes good money ... one day

So plans to publish. Not sure yet.
Maybe one day, maybe not.
Still have to much work to do and not thinking of that yet.

Look the programming is easy.
Just a lot of coding that takes time.
Time is my problem.
I'm not paid for this work.
Its a passion project like a hobby.

Similar to playing squash or golf is.

If I enjoyed squash and golf more than programming I would also love to do it the whole day, but I have to work to afford to play golf and squash.
Unless your are a professional golf and squash player that gets paid to play.

I am a professional programmer and unfortunately in the mining and new technology industry and not in crypto and forex industry.

Even though my work is programming and reverse engineering, forex and crypto is still just a hobby that brings in less than my job and therefore have to wait for after hours, which is not a lot.

Is there any reason you're using this system against BNB and not some other coin?

Your strategy seems straight forward when there's no leverage involved, did it make profit with the recent (and ongoing) alt increase?

It will work on any pair.

I picked BNB because it was volatile and you get a small discount in trading fees if you hold BNB.
Then again you can get the trading discount on any pair, so long as you hold a little bit of BNB.

Ah what an interesting incentive to bolster BNB, sneaky! I had no idea, thanks for the insight

We Need Your EA For Trade. So Please Give Us Your EA And Help All Traders.

@alamsat
This forum is not for profit or the EA.
Only for discussing the idea.
I use the EA just to test the idea, by using the tools I'm familiar with.(I have been programming for about 25 years so use what I know.)

I'm very hesitant in distributing it for live use on other people's accounts.
What if something goes wrong and I get sued.
I would rather risk my own account.

It still requires some user interaction, like restarting it if your server or internet connection drops for an extended period of time.
You need to monitor it from time to time to ensure it is still running and if not you must restart it, otherwise it might miss some trades.
(Admittedly all these are minor things, because the program recovers missed trades when it restarts)

The there is the programming side.
If the API of binance changes then the program need to be updated to use the new API.

Basically it is mostly automated, but do need a little supervision for those unforeseen problems.


What I am saying is that for me it is easy to monitor and run the program.
To make the program user friendly will take quite a bit of coding to cater for all the things I normally do manually.
Can be done yes, but time.

@jvbJacques
How is the latency arbitrage testing going?

@TMR
Actually quite nice, but mostly still in the testing phase.

Profits are there, but a bit low, because the volume is a bit low.

Still profit is profit and with minimum risk it is quite nice.

Can probably increase the profit by arbitraging more than 2 brokers at a time.
Tricky to find trustworthy brokers though.

Hello jvbJacques, about your Triangular arbitrage method, I really do admire your work. I try it on my own demo account, but the 3 orders keep the same level of the loss for the several hours. It doesn't change much. So, the profit will be erased by swap!

How long does an order take on average?

@Dreamboy10
Read my reply in my triangle thread.