A robust design strategy for stock trading via feedback control

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.