Core Viewpoint - The article discusses the construction of an ETF grid trading strategy based on the Average True Range (ATR), aiming to capture profits from price fluctuations by buying low and selling high [1][10][13]. Group 1: ETF Market Development - Since Q4 2018, the number of equity ETFs in the A-share market has increased from 133 to 1,043 by Q3 2025, with total assets rising from 0.27 trillion yuan to 3.71 trillion yuan [8]. Group 2: Single Index Grid Trading Strategy - A single index grid trading strategy is constructed using ATR, focusing on 28 large-scale sample equity indices. Historically, the strategy has shown limited returns during bull markets while effectively controlling drawdowns in bear markets [2][16]. - The ATR indicator reflects the true volatility of an index, with historical ATR values showing significant fluctuations during different market periods [18][20]. Group 3: Incorporating Timing Signals - The article introduces timing signals based on ATR trends to enhance the grid trading strategy's performance, particularly in bull markets, while reducing drawdowns in bear markets [34][35]. - Backtesting results indicate that incorporating timing signals significantly improves both returns and drawdowns compared to the original grid trading strategy [38][45]. Group 4: ETF Grid Trading Strategy Combination - A robust ETF grid trading strategy combination is constructed using a selection of liquid ETFs, with a historical annualized return of 12.57% and a maximum drawdown of 6.80% from December 31, 2018, to September 30, 2025 [54][57]. - The strategy consistently outperformed a fixed 30% equity allocation ETF combination across various years, demonstrating positive excess returns [63][64]. Group 5: Sensitivity Analysis of Parameters - The performance of the ETF grid trading strategy combination shows low sensitivity to the frequency of updating the selection pool, with minimal differences in returns across various update cycles [67]. - Shorter rebalancing periods (1-2 days) yield higher cumulative returns compared to longer periods, indicating a preference for more frequent adjustments [71]. - Increasing the upper limit of equity allocation enhances both returns and drawdown characteristics, providing different risk-return profiles [77]. Group 6: Broad-based Index ETF Strategy - A broad-based index ETF grid trading strategy, utilizing common indices, achieved an annualized return of 11.78% and a maximum drawdown of 11.50% over the same period [79][82].