Handling Partial Closes in Target-Position CTA Strategies

Summary

This community question concerns managing a CTA strategy when a stop-triggered close order fills only partially. The author uses a target-position approach and reports that the strategy’s target can remain out of sync with the actual position after a partial fill. As a result, the strategy may add exposure back after attempting to reduce or close it.

The author asks whether the close fill should be handled in the trade callback by setting the target position to zero, and whether there is a more reliable pattern. The document contains the problem statement and a proposed callback condition, but no confirmed solution, implementation guidance, or test results. Its main practical lesson is that strategies need to reconcile order fills and actual position state when handling partial execution, especially around stop exits.

Key ideas

• The post describes a mismatch between target position and actual position after partial close fills.
• The author asks whether close trades should reset the target in a trade callback.
• A stale target may cause the strategy to restore exposure after a partial exit.
• The post offers no validated solution or evidence comparing alternative position-management approaches.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.