A Generalized Framework for Simultaneous Long-Short Feedback Trading

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