Multi Strategy Orchestration

Skill: Multi Strategy Orchestration | Domain: trading | Category: meta-intelligence | Level: expert Tags: trading, orchestration, strategy, pipeline, risk, meta

Multi-Strategy Orchestration

The command layer: regime detection → strategy selection → allocation → this file → execution For strategy weights → see portfolio-optimization.md For execution mechanics → see trading-brain.md

Orchestration Pipeline

┌─────────────────────────────────────────────────────────┐
│                   ORCHESTRATION PIPELINE                 │
├─────────────────────────────────────────────────────────┤
│                                                         │
│  1. REGIME DETECTION                                    │
│     market-regime-classifier.md                          │
│     → Output: TRENDING | RANGING | TRANSITIONING | VOL  │
│                                                         │
│  2. STRATEGY SELECTION                                  │
│     strategy-selection.md                               │
│     → Output: Active strategy set for current regime    │
│                                                         │
│  3. PORTFOLIO ALLOCATION                                │
│     portfolio-optimization.md                    │
│     → Output: Weight per strategy, max positions        │
│                                                         │
│  4. SIGNAL GENERATION (parallel)                        │
│     Each active strategy scans independently:           │
│     ├── ICT MSS+FVG scanner                            │
│     ├── ORB detector                                    │
│     ├── S&D zone fade scanner                          │
│     └── Liquidity trap scanner                         │
│     → Output: Raw signals with confluence scores        │
│                                                         │
│  5. SIGNAL ARBITRATION ← THIS FILE                      │
│     Resolve conflicts, rank, filter                     │
│     → Output: Approved trade list                       │
│                                                         │
│  6. RISK CHECK                                          │
│     risk-and-portfolio.md                               │
│     → Output: Position sizes, heat check                │
│                                                         │
│  7. EXECUTION                                           │
│     execute_trades.py                                   │
│     → Output: Open positions                            │
│                                                         │
│  8. MONITORING & REBALANCE (loop)                       │
│     → Regime change? → Back to step 1                   │
│     → Drawdown threshold? → Scale down                  │
│     → Session change? → Adjust weights                  │
│                                                         │
└─────────────────────────────────────────────────────────┘

Signal Arbitration

When Strategies Agree (Confluence)

Multiple strategies signal SAME direction on SAME instrument:
  → STRONGEST setup — increase conviction

Scoring:
  1 strategy agrees:  Base signal (normal size)
  2 strategies agree: +25% confidence (can increase to 1.25% risk)
  3+ strategies agree: +50% confidence (can increase to 1.5% risk)

Example:
  ICT MSS+FVG signals LONG XAUUSDm  (confluence: 7/10)
  ORB signals LONG XAUUSDm           (confluence: 5/10)
  S&D zone supports LONG XAUUSDm     (zone tested)
  → 3 strategies agree → 1.5% risk, highest priority entry

When Strategies Conflict (Opposing Signals)

Two strategies signal OPPOSITE direction on SAME instrument:

Resolution rules (in priority order):

1. HTF WINS: Strategy aligned with daily/4H trend takes priority
   → If daily bullish + ICT signals long + ORB signals short
   → Take the ICT long, ignore ORB short

2. HIGHER CONFLUENCE WINS: Compare confluence scores
   → If S&D fade: 8/10 vs ICT trend: 5/10
   → Take S&D fade (but at half size due to conflict)

3. HIGHER TIMEFRAME STRATEGY WINS: 4H signal > 1H signal > M5 signal
   → If 4H OB signals long + M5 ORB signals short
   → Take 4H OB long

4. IF TRULY EQUAL: NO TRADE on that instrument
   → Conflicting signals = market indecision
   → Move to next instrument with clearer signal

NEVER take both sides of a conflict simultaneously.

Signal Priority Ranking

When multiple valid signals across different instruments:

Priority 1: Multi-strategy confluence (3+ strategies agree)
Priority 2: HTF-aligned + high confluence (7+/10)
Priority 3: Killzone-aligned signals (correct session)
Priority 4: Single strategy, high confluence (7+/10)
Priority 5: Single strategy, moderate confluence (4-6/10)

Execute in priority order until:
  - Max position count reached (from allocation table)
  - Portfolio heat limit reached (from risk rules)
  - No more valid signals above confluence threshold

Capital Allocation Per Strategy

Equity Bucketing Model

Total trading equity: 100%
├── Strategy A (ICT trend):    40% of equity → max 2 positions × 1%
├── Strategy B (ORB):          20% of equity → max 1 position × 1%
├── Strategy C (S&D fade):     20% of equity → max 2 positions × 0.5%
├── Strategy D (liquidity trap):20% of equity → max 1 position × 0.5%
└── Reserve:                    0% (fully allocated when regime clear)

Per-strategy equity is a SOFT LIMIT:
  - Strategy can exceed allocation by 25% if confluence > 8/10
  - Strategy must reduce to 0% if regime changes away from it
  - Reserve builds to 20-40% during VOLATILE regime (cash is a position)

Kelly-Adjusted Strategy Sizing

For each strategy, calculate optimal fraction:

Kelly % = (Win Rate × Avg Win) - (Loss Rate × Avg Loss)
          ───────────────────────────────────────────────
                         Avg Win

Half-Kelly (conservative):
  Strategy       | WR   | Avg W | Avg L | Kelly | Half-K | Max Risk
  ────────────────┼──────┼───────┼───────┼───────┼────────┼─────────
  ICT MSS+FVG    | 55%  | 2.5R  | 1.0R  | 19.5% | 9.75%  | 1.0%
  ORB Break/Rest | 60%  | 2.0R  | 1.0R  | 20.0% | 10.0%  | 1.0%
  S&D Zone Fade  | 65%  | 1.5R  | 1.0R  | 21.7% | 10.8%  | 0.75%
  Liquidity Trap | 50%  | 3.0R  | 1.0R  | 16.7% | 8.3%   | 0.75%

Cap at 1% regardless of Kelly — protect against overfitting.

Risk Aggregation

Portfolio Heat Dashboard

┌─────────────────────────────────────────────────┐
│              PORTFOLIO HEAT CHECK                │
├─────────────────────────────────────────────────┤
│ Strategy        │ Positions │ Risk Each │ Heat   │
│─────────────────┼───────────┼───────────┼────────│
│ ICT MSS+FVG     │    2      │   1.0%    │  2.0%  │
│ ORB NY           │    1      │   1.0%    │  1.0%  │
│ S&D Fade         │    1      │   0.5%    │  0.5%  │
│ Liquidity Trap   │    0      │    —      │  0.0%  │
├─────────────────┼───────────┼───────────┼────────│
│ TOTAL           │    4      │           │  3.5%  │
├─────────────────────────────────────────────────┤
│ Max heat: 6% (trending) │ Status: ✅ UNDER LIMIT │
│ Correlated heat: 2.0% (2 gold positions)        │
│ Corr limit: 3% │ Status: ✅ UNDER LIMIT          │
└─────────────────────────────────────────────────┘

Heat Limits by Regime

Regime         | Max Total Heat | Max Per Strategy | Max Correlated
───────────────┼────────────────┼──────────────────┼───────────────
TRENDING       |      6%        |       3%         |      3%
RANGING        |      4%        |       2%         |      2%
TRANSITIONING  |      3%        |       1.5%       |      1.5%
VOLATILE       |      1%        |       1%         |      1%

Regime Switchover Logic

Detection → Action Timeline

Regime change detected (e.g., TRENDING → RANGING):

T+0 min:  DETECT — VP shape changed, ATR dropped below threshold
T+0 min:  FREEZE — No new entries from old regime strategies
T+5 min:  ASSESS — Are existing positions still valid?
            ├── Position WITH new regime → KEEP (adjust SL/TP)
            └── Position AGAINST new regime → CLOSE or TIGHTEN
T+10 min: SWITCH — New strategy allocation active
T+15 min: SCAN — New regime strategies begin scanning for signals
T+30 min: EXECUTE — First entries under new regime allocation

Total switchover time: ~30 minutes
During switchover: maximum 2% portfolio heat (protective)

Regime Confidence Scoring

Don't switch on weak signals. Require confirmation:

Confidence Score (0-10):
  +2  VP shape confirms new regime
  +2  ATR confirms (above/below 20-day avg)
  +2  Price structure confirms (HH/HL or LH/LL established)
  +2  Cumulative delta confirms
  +1  Session timing supports (London open often triggers transitions)
  +1  News catalyst present (fundamental driver for regime change)

Score 7+ → CONFIRMED regime change → full switchover
Score 4-6 → POSSIBLE change → reduce allocation 50%, wait for confirmation
Score <4 → NOISE → maintain current regime allocation

Conflict Resolution Matrix

Scenario                          | Resolution
──────────────────────────────────┼───────────────────────────────────
Same signal, same instrument      | Combine → highest confluence entry
Opposing signals, same instrument | HTF wins, or skip if truly equal
Same signal, correlated pairs     | Take strongest setup only
Opposing signals, correlated pairs| Take neither — market unclear
Strategy says trade, regime says no| Regime overrides strategy always
Multiple instruments, limited heat| Rank by priority, fill top-down
News event approaching            | Freeze all signals until T+30 min
Drawdown >4% active               | Half all allocations immediately

Monitoring Loop

# Conceptual orchestration loop (runs every 5 min during session)

def orchestration_loop():
    # 1. Check regime
    regime = detect_regime()  # TRENDING | RANGING | TRANSITIONING | VOLATILE

    # 2. Get active strategies for regime
    strategies = select_strategies(regime)

    # 3. Get allocation weights
    weights = get_allocation(regime, current_session(), current_drawdown())

    # 4. Generate signals (parallel)
    signals = []
    for strategy in strategies:
        sigs = strategy.scan(watched_symbols)
        signals.extend(sigs)

    # 5. Arbitrate conflicts
    approved = arbitrate_signals(signals, weights)

    # 6. Risk check
    approved = risk_filter(approved, current_positions(), heat_limits[regime])

    # 7. Execute approved signals
    for signal in approved:
        execute_trade(signal)

    # 8. Monitor existing positions
    for position in current_positions():
        if not valid_for_regime(position, regime):
            tighten_or_close(position)

Strategy Performance Tracking

Track per-strategy metrics to adjust future allocation:

Weekly Review:
  Strategy       | Trades | WR    | Avg R  | Total R | Sharpe
  ────────────────┼────────┼───────┼────────┼─────────┼───────
  ICT MSS+FVG    |   8    | 62%   | +1.8R  | +6.4R   | 2.1
  ORB             |   5    | 60%   | +1.5R  | +3.0R   | 1.8
  S&D Fade        |   6    | 67%   | +1.2R  | +2.4R   | 1.6
  Liquidity Trap  |   3    | 33%   | +2.5R  | -0.5R   | 0.3

Action: If strategy Sharpe < 1.0 for 2 consecutive weeks:
  → Reduce allocation by 50%
  → Review: is the strategy broken, or is regime wrong for it?
  → If regime-appropriate but still underperforming → bench for 1 week

Related Skills

• Portfolio Strategy Allocation
• Strategy Selection
• Market Regime Detection
• Risk And Portfolio
• Trading Brain Orchestrator