The Day I Had 14 Open Positions: Why Concentration Limits Exist

The 14-Position Wake-Up Call

In early testing without concentration limits, a strong trending day produced 14 simultaneous open positions. The system was correct on direction for most of them. But the combined portfolio heat exceeded 8% of account equity, meaning a single adverse move could have hit the daily FTMO limit.

S19 caps total open positions at 8 and per-cluster positions at 3. When limits are reached, new signals are queued but not executed until an existing position closes. The 3% maximum portfolio heat rule ensures that even if all positions move against you simultaneously, the daily loss stays within FTMO limits.

Why Queue, Not Block

S19 does not discard excess signals. It queues them with their original confidence scores and timestamps. If a position closes within the signal's validity window (configurable, default 4 bars), the queued signal can still execute. This preserves opportunity while respecting concentration limits.

About 8% of all queued signals eventually execute after a position closes. The remaining 92% expire without execution. Of those expired signals, post-hoc analysis shows they would have performed similarly to executed signals, confirming that the filter is removing trades randomly rather than selectively eliminating winners.

Portfolio Heat as the Real Constraint

The position count limit is a proxy for the real constraint: portfolio heat. S19 calculates total risk across all open positions by summing each position's dollar risk to stop. This total cannot exceed 3% of account equity. In practice, the 3% heat limit triggers before the 8-position limit about 60% of the time because some instruments have wider stops that consume more heat budget. The position limit exists as a hard backstop for the cases where many tight-stop trades accumulate. Both limits together ensure the system never takes on more aggregate risk than the FTMO framework can handle.