On Robustness of Double Linear Trading With Transaction Costs

@article{Hsieh2022OnRO,
  title={On Robustness of Double Linear Trading With Transaction Costs},
  author={Chung-Han Hsieh},
  journal={IEEE Control Systems Letters},
  year={2022},
  volume={7},
  pages={679-684}
}
  • Chung-Han Hsieh
  • Published 26 September 2022
  • Mathematics
  • IEEE Control Systems Letters
A trading system is said to be robust if it generates a positive return regardless of market direction. To this end, a consistently positive expected trading gain is often used as a robustness metric for a trading system. In this letter, we propose a new class of trading policies called the double linear policy in an asset trading scenario when transaction costs are involved. Unlike many existing papers, we first show that the desired robust positive expected gain may disappear when transaction… 

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