Open Grid is a systematic, regime-aware trading engine designed for the BBLC / TradeDNA ecosystem. It combines volatility-normalized momentum signals with dynamic position sizing, multi-layer risk controls, and a clear live execution path.
Strategy Objective
Generate positive risk-adjusted returns by identifying short-to-medium-term directional edges while limiting drawdowns through adaptive risk management.
Signal Framework
Regime Classification: ADX and Hurst exponent separate trending, mean-reverting, and neutral markets.
Momentum Score: Blends 20-day return, 60-day return, volume-weighted momentum, and a volatility penalty. Normalized by realized volatility.
Confirmation Score: External evidence layer (volume, breadth, or model output) blended per regime.
Aggregate Score: Weighted combination used to trigger long or short entries.
Risk Management
Position sizing via ATR risk units (1% capital risk per trade).
Single-position cap of 15% and gross exposure cap of 150%.
Hard stop, trailing stop, and 10-day time stop.
Trading halt if drawdown reaches 12%.
Backtest Results (Synthetic Demo)
Total Return: +148.8%
Annualized Return: +18.8%
Annualized Volatility: 11.2%
Sharpe Ratio: 1.67
Max Drawdown: -11.3%
Implementation
The codebase is modular: data feed, features, signals, risk, backtest, live engine, and reporting. It deploys on a private node or isolated tenant. Broker integration stubs are included for OANDA.
This document is for informational and demonstration purposes. Past simulated performance does not guarantee future results. Live deployment requires validation against real tick data, slippage, commissions, and regulatory review.