Separating Multi-Asset CTA Signals from Portfolio Execution
Summary
The post raises an architectural question about combining multiple CTA strategies in a live portfolio. The author has Bollinger-channel and DKX strategies that calculate indicators and position changes, but finds their individual money management conflicts when applied across instruments. The proposed design demotes these components to signal generators and places shared capital management in a central portfolio agent.
The desired central controls include an overall risk limit and ATR-based dynamic position adjustment. The author asks whether VN.py recommends moving order actions from CTA templates into PortfolioStrategy, and how the portfolio strategy can read each component's latest signal and ATR values. The post does not provide answers, implementation details, backtest results, or live performance evidence, so it identifies a coordination problem and possible design direction rather than validating a solution.
Key ideas
- Independent CTA strategies can create conflicting capital-management decisions in a multi-instrument portfolio.
- A central portfolio component could manage shared risk and ATR-based position adjustments.
- The author is considering separating signal generation from order execution.
- The post asks how strategy instances can expose current signals and ATR values, but does not answer the question.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.