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A Generalized Framework for Simultaneous Long-Short Feedback Trading
IEEE Transactions on Automatic Control ( IF 6.8 ) Pub Date : 2020-01-01 , DOI: 10.1109/tac.2020.3011914
Joseph D. O'Brien , Mark E. Burke , Kevin Burke

We present a generalization of the Simultaneous Long-Short (SLS) trading strategy described in recent control literature wherein we allow for different parameters across the short and long sides of the controller; we refer to this new strategy as Generalized SLS (GSLS). Furthermore, we investigate the conditions under which positive gain can be assured within the GSLS setup for both deterministic stock price evolution and geometric Brownian motion. In contrast to existing literature in this area (which places little emphasis on the practical application of SLS strategies), we suggest optimization procedures for selecting the control parameters based on historical data, and we extensively test these procedures across a large number of real stock price trajectories (495 in total). We find that the implementation of such optimization procedures greatly improves the performance compared with fixing control parameters, and, indeed, the GSLS strategy outperforms the simpler SLS strategy in general.

中文翻译:

同时多空反馈交易的通用框架

我们介绍了近期控制文献中描述的同步多空 (SLS) 交易策略的概括,其中我们允许控制器的空头和多头使用不同的参数;我们将这种新策略称为广义 SLS (GSLS)。此外,我们研究了在确定性股票价格演变和几何布朗运动的 GSLS 设置中可以确保正收益的条件。与该领域的现有文献(很少强调 SLS 策略的实际应用)相比,我们建议基于历史数据选择控制参数的优化程序,并在大量实际股票价格中广泛测试这些程序轨迹(共 495 个)。
更新日期:2020-01-01
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