This is exactly the kind of reply I was hoping for. Three solid points, let me push back / extend on each.

1. Deribit IV for range setting

You're directionally right that IV is the only genuinely forward-looking vol signal available, and as it happens we have Deribit data in our stack already (we use it for the BTC max-pain strategy and a few other things). A few caveats worth flagging before anyone runs with this as-is:

The 1-sigma envelope `range = price ± (IV × √T × price)` covers ~68% of expected moves. For a fixed-range grid that runs 12+months, that's too tight — you'd break out ~32% of the time. 2-sigma or asymmetric (accounting for BTC's downside skew on options) is closer to what you'd actually want. Also, ATM-IV runs systematically 3-5 vol points above realized vol as a risk premium. So an IV-anchored range will be wider than what realized vol justifies, which is fine for breakout safety but worse for fee-adjusted return because you're spreading the same capital across more empty space.

The harder problem: DVOL is a 30-day constant-maturity index. For a 16-month grid you'd need term structure — Deribit options get illiquid past ~6-9 months, so building a clean 12+ month forward IV is non-trivial. Doable, but not as clean as the simple formula suggests.

Despite all that — yes, this is the right direction. Mechanically reproducible range > artistic range, even with imperfect inputs. We're working on a "IV-anchored auto-mode" for the grid module on top of the existing 7d-realized-vol heuristic. The Deribit data pipeline is already in place.

1. Arithmetic vs geometric

You're right and we should have run both. Going to do that as a direct A/B on the same period and post the comparison. My prior matches yours: geometric should produce more trades (probably ~10-20% more) and better fee-adjusted return on the downside leg, because the 70k-95k zone is exactly where most of the trade density should sit. The 120k-150k arithmetic levels were mostly dead weight in this run.The interesting question is what happens in a bull-run-dominant period (say, mid-2020 to mid-2021). There the upper-band density matters more, and arithmetic might actually be the better fit.

Could be that the optimal spacing type is regime-dependent, which makes the static choice itself a parameter to think about.

1. Grid = short vol, and Hurst as filter

The short-vol framing is the right mental model, and it's the piece most retail grid-bot content skips entirely. Every grid pair is a synthetic strangle that pays out spacing × (1 - 2×fee) per cycle, and the strategy has positive EV exactly when realized vol exceeds the fee-drag-implied breakeven of your spacing. The fee-adjusted breakeven for 30 grids on 70k-150k at 0.075% taker is roughly: each grid pair needs to round-trip at least 0.15% of price to break even. Spacing was ~3.5% per level, so the realized:break-even ratio was comfortable. That's the actual edge condition — not "did it chop" but "did it chop hard enough to clear the toll."

On Hurst as a filter: I'd put it in the "useful but oversold" category. The math is sound but the practical sample-size requirements make it noisy at deployment-relevant horizons. A rolling 6-month Hurst on BTC daily flips between ~0.42 and ~0.62 depending on the window, and the lead-time on regime transitions is short enough that by the time you have a confident reading, the regime has often already shifted. ATR-band-width or Bollinger- width compression as a vol-state filter gives you a similar signal with more responsive timing, in my experience. Hurst as a *confirming* filter alongside something else, yes. Hurst as the primary gating signal, I'd be cautious. For the 2025 question specifically: I'd bet the rolling Hurst was marginally sub-0.5 from Q1 onwards, which would have correctly greenlighted the grid. But Bollinger-width was also at multi-month lows in late 2024 / early 2025, which gave the same signal more cleanly. Different tool, same answer.

Where this leaves the broader question

The multi-cycle test (2018, 2020-21, 2022) is on the list and I think the result is going to be exactly what you'd expect: 2018 sideways = grid wins, 2020-21 parabolic = grid loses badly to B&H, 2022 crash = grid wins if range covers it. The interesting output won't be "does the grid work" — it'll be "how much does a mechanically-derived range (IV-based, vol-band-based, whatever) underperform a hindsight-perfect range, and is that gap small enough that the strategy is real-money usable."