[justrobert]

If you are interested in this, people tried the long/short strategy in currencies (forex) and called it a grid trade.

The system would be both long and short the same contract and take profit at a given interval on both sides. When they took a profit, they would reopen a trade on the same side.

Ultimately it was just a mean reversion strategy where one would not close out their losses. So the profit was linear while the losses often became geometric until the time the market came back to where they started the grid.

If you just want to buy both sides and never close either trade, there is no profit just a loss of spread/commission on both legs.

Most of the people who did it looked at their account balance rather than NAV, so they were mostly just abusing leverage until a margin call.

Edit: To be fair, some grids were smarter in their allocation and weighted to be positive to the carry, so at least they would collect interest everyday when the contracts swapped.