Systematic CTA
A systematic CTA codes the signal, the size, and the exit — humans watch the machine, they do not pick the next copper tick.
Definition
Prices (and sometimes positioning or fundamentals) go into a model. Positions update on a schedule. Discretion is limited to on/off, risk cuts, and research. Diversification across 50–200 contracts is typical because the edge per market is small and noisy.
Why it matters
Repeatability and capacity live here. So does model risk: a slow trend ensemble is one factor wearing 80 tickers.
Case
2011–13 and 2015–16 chop: many systematic trend books printed a string of small losses. The rules were working; the regime was not a trend regime.
How to read it
How much of P&L is one family (slow trend) vs a true multi-strategy stack. Correlation of the sleeves in 2018 and 2020 is the honesty test.