Research Note 01

The Grid Bot Illusion

Asks whether grid trading produces an independent trading edge, or whether its returns come from market exposure, execution economics, and market-making infrastructure. Chen, Chen & Jang derive analytically that, under a symmetric random walk, a classical grid's expected profit is zero before costs. Dynamic Grid Trading beats buy-and-hold, but the authors attribute the gain largely to the period's cumulative rise in BTC/ETH: retained beta, not market-neutral alpha. Nguyen & Bui's delta-neutral grid market making reports roughly 37% over 52 days, but carries an unresolved capital-sizing inconsistency and a fill model that ignores queue position; a maker-fee-tier check shows the reported spread flips negative at standard retail rates. Verdict: grid is not itself a source of edge. As implementations grow more sophisticated, the return source shifts toward spread capture, fee structure, and execution quality.

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