Need guidance on managing multiple trade signals

Assume you have a trading system that generates anywhere between 2-20 trades per week in one pair. Each trade signal is independent of any prior trade signal, has its own take profit and stop loss level, and might be opposite in direction to a prior open trade. Further assume that your take profit and stop loss levels range from 30-100 pips, so each trade possibly might stay open a few days. If you are in the U.S., cannot hedge, and have to abide by FIFO rules, how would you propose managing these multiple trade signals? Assume you have tested your system on multiple pairs and you recognize that to keep a long term edge, it is appears important that each trade stay open until it hits take profit or gets stopped out. Do you close on opposite? Not take every signal? Close any open to trade every signal? Adjust your risk on new trades to equal multiple trades in the same direction and pay more spread/commission? Route orders to multiple accounts? Curious how others have or might approach this given the above constraints. Thanks.

Hi nonlinear,

If you wish to match the results of multiple signals as closely as possible, you should trade the signals as a portfolio, meaning taking every signal (buy/sell) even if a signal offsets other signals. You'll need the ability to track your positions and orders outside your broker, such as in an Excel sheet. You will find that in the end it is the net position that matters to your bottom line, or where you really make/lose. An example: you have three signals. Two are long and one is short. When traded as a portfolio, you are net long one position. Then the one that is long hits its TP. You are now net flat, but continue tracking your three signals flat/long/short individually, then take action when any of them changes position. By this method you can place stop / limit orders just as the signals dictate.

Another option that won't give you exactly the same results as your 20 independent signals is to trade the signals as an ensemble. If your full size is 10 units and you just trade full size 10 units long/short when the majority of the signals are long/short you are effectively trading an ensemble. You won't get the exact same results as trading a portfolio but it may be worth experimenting with this as sometimes there is a wisdom in crowds or multiple independent signals. The pluses of this are that you reduce transaction frequency and presumably transaction costs because your net position will change less often with an ensemble than with a portfolio where every trade is taken. If your signals have a low average profit per trade, this aggregation can help increase your average profit per trade. And in some cases just trading the majority position can increase your results over the portfolio, though you will need to simulate that to see if this applies for your signals. The obvious minus is that you are trading full size all the time so when it is wrong, it is really wrong - this may tend to increase drawdown over a portfolio.

Thanks FXEZ, fair points. In the US here, I am better off trading this system with and introducing broker like ATC that allows hedging and anti-FIFO. Trading in the US is such a hassle.