Maroni, G., S. Formentin; F. Previdi
The main objective of equity traders is to find a
trading law leading to a safe profit, whatever the dynamics of
the price be. Recenlty, a novel approach based on feedback
control has been proposed, which allows the trader to treat
the price as an exogenous disturbance to reject, rather than
a stochastic process to be modelled. Although very promising,
some questions arise, among which how to design the feedback
controller defining the trading policy. In this work, we propose
a reformulation of feedback trading as a trend following robust
control problem, in which mild knowledge on the price range
is exploited. The proposed approach is shown to outperform
the state of the art methods on real-world stocks.
