In a portfolio-level MetaStrategy, it’s common for multiple child strategies to trigger entry signals at the same time. When that happens, total exposure can exceed the available equity. While WealthLab already allows signal weighting within a single strategy, there’s currently no built-in way to prioritize signals from one child strategy over another inside a MetaStrategy.
It would be extremely useful if the MetaStrategy settings allowed an optional priority ranking for child strategies. Higher-ranked strategies would have their entry signals considered first whenever equity or exposure limits are hit, ensuring that the most important systems get capital allocation before others.
This would give users finer control over capital deployment, especially in portfolios with many systems running in parallel.
It would be extremely useful if the MetaStrategy settings allowed an optional priority ranking for child strategies. Higher-ranked strategies would have their entry signals considered first whenever equity or exposure limits are hit, ensuring that the most important systems get capital allocation before others.
This would give users finer control over capital deployment, especially in portfolios with many systems running in parallel.
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I like the idea!
Hi Glich,
What's the current behavior of which signals are picked in a MetaStrategy backtest where there's not enough funds to take all signals from all strategies? Assuming that there are weights assigned for all the signals, does the system pick positions based on weights of all signals in backtests?
If this is the case, what I'm thinking that I could do now before we have this built into WL is that I can assign a different "base weight" to each strategy when computing signal weights. The actual weight of a signal becomes base_weight + original_weight. Then signals from a higher priority strategy have weights larger than signals from a lower priority strategy. For example, strategy A has a base weight of 2000000, and strategy B has base weight of 1000000. Then all signals from A should have higher weights than B.
Do you think this work?
What's the current behavior of which signals are picked in a MetaStrategy backtest where there's not enough funds to take all signals from all strategies? Assuming that there are weights assigned for all the signals, does the system pick positions based on weights of all signals in backtests?
If this is the case, what I'm thinking that I could do now before we have this built into WL is that I can assign a different "base weight" to each strategy when computing signal weights. The actual weight of a signal becomes base_weight + original_weight. Then signals from a higher priority strategy have weights larger than signals from a lower priority strategy. For example, strategy A has a base weight of 2000000, and strategy B has base weight of 1000000. Then all signals from A should have higher weights than B.
Do you think this work?
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