Is there any example of a Forex day trading strategy implementation using the Algorithm Framework?  I like the idea of separating alpha generation from universe selection, portfolio construction and other aspects - and I like the highly flexible Insight abstraction.

I just have problems fitting common day trading strategies into this framework. 

More specifically: 

  • What is the recommended way of integrating position sizing, which can have a huge impact on a Forex strategy performance?  As part of the AlphaModel, using Insight.weight? As a part of portfolio construction or risk management? 
  • How do profit targets and stop losses fit?