Pyramiding — STACK layered entries¶

Add to a winning position as it moves in your favor. The STACK keyword turns one signal into N price-triggered entries, each with its own size, all sharing a common bracket. When the trade fails, only the layers that filled need to be unwound — unfilled layers cancel automatically.

What it does¶

Trades Bitcoin on 1-hour candles
Buys on EMA cross-up — that's the seed layer
Adds two more layers as price rises by $200 and $400 above entry
Shared bracket for all three layers: stop-loss at $300 below the seed entry, take-profit at $1000 above
Time fence — if the second/third layer hasn't triggered within 4 hours, abandon it

The classic case for pyramiding: you've identified a momentum signal, you want to enter aggressively as confirmation comes, but you don't want to throw a 3× position on at signal time in case the breakout fails.

The strategy file¶

strategies/pyramid.qkt

STRATEGY pyramid_breakout VERSION 1

SYMBOLS
    btc = BACKTEST:BTCUSDT EVERY 1h

RULES
    WHEN ema(btc.close, 12) CROSSES ABOVE ema(btc.close, 48)
     AND POSITION.btc = 0
    THEN BUY btc SIZING 0.05
         STACK 3 SPACING 200 ABOVE WITHIN 4h
         BRACKET {
           STOP_LOSS BY 300,
           TAKE_PROFIT BY 1000
         }
         LOG "pyramid start"

What STACK 3 SPACING 200 ABOVE WITHIN 4h means:

STACK 3 — three layers total (one seed + two adds)
SPACING 200 — each subsequent layer triggers 200 points above the previous fill
ABOVE — layers trigger only on upward movement (use BELOW for averaging-down strategies)
WITHIN 4h — unfilled layers abandon after 4 hours

If the seed fills at $67,000:

Layer 1 (seed) fills at market: $67,000
Layer 2 triggers when price reaches $67,200 (entry + 200)
Layer 3 triggers when price reaches $67,400 (entry + 400)
After 4 hours, any unfilled layer cancels

If price hits $67,500 then reverses to $66,700 (stop) — only layers 1+2 filled, both close out at the shared stop.

How to run it¶

./scripts/fetch-dukascopy.sh BTCUSDT 2024-01-01 2024-06-01
qkt backtest strategies/pyramid.qkt --from 2024-01-01 --to 2024-06-01

What to expect¶

Pyramiding amplifies both wins and losses on the trades where the additional layers fill. A 6-month BTC backtest at 1h might look like:

Trades:           23           (signals; each may be 1-3 layers)
Layers filled:    61
Final realized:   2,150.00
Win rate:         0.391        (counted per signal)
Sharpe (daily):   1.05
Max drawdown:     -480.00

The winners are bigger than a non-pyramid version because the extra layers ride the move; the losers are about the same size (only the seed layer fills before the stop).

How to adapt it¶

Average-down instead of pyramid-up¶

For mean-reversion-style "buy more as it falls":

BUY btc SIZING 0.05
STACK 3 SPACING 200 BELOW WITHIN 4h
BRACKET { STOP_LOSS BY 600, TAKE_PROFIT BY 300 }

BELOW means each layer fires 200 points below the previous fill. Note the much wider stop — you're committing to letting the position move against you before stopping out.

Custom per-layer sizing¶

By default each STACK layer carries the same SIZING. To weight them differently — say, smaller seed, bigger adds — use a layer list:

BUY btc STACK [
  0.05,                       -- seed at market
  0.10 AT entry + 200,        -- 2x size at +200
  0.15 AT entry + 400         -- 3x size at +400
]
BRACKET { STOP_LOSS BY 300, TAKE_PROFIT BY 1000 }

entry refers to the seed fill price. This is the form for fully-customized pyramids.

Limit orders for the adds¶

STACK defaults to market orders for the layers. To use limit orders that wait at a specific price:

BUY btc STACK [
  0.05,
  0.10 LIMIT AT entry + 200,
  0.15 LIMIT AT entry + 400
]

This avoids slippage on the adds but may miss the layer if price gaps through the level.

Trailing the bracket after fills¶

Out of scope for the DSL today. The bracket is set when the seed fills and stays put. To trail, run a separate rule that modifies the stop based on highest price seen.

Common gotchas¶

Layers share one bracket. The stop is set at seed time and applies to all filled layers. If you want each layer to have its own stop, you need separate strategies, not STACK.
Time fence is forgiving. WITHIN 4h starts from seed fill time. If layer 2 fills at 3h59m, layer 3 still has 1 minute to trigger — once that minute elapses, layer 3 abandons.
Position sign matters for BELOW vs ABOVE. BELOW only makes sense for long-side averaging-down (price falls = trigger). For short-side average-up, use ABOVE.
Stack size compounds risk. Three layers at 0.05 lots = 0.15 lots peak position. Make sure your risk rules account for the max, not the seed.

What this example demonstrates¶

The STACK keyword and its modifiers (SPACING, ABOVE/BELOW, WITHIN)
Layer-list form for custom sizing per layer
The entry keyword inside a layer list (refers to seed fill price)
Shared BRACKET across all layers in a stack
Phase 13a feature in production form