On Robustness of Adaptive Feedback Control for Stock Trading With Time-Varying Price Dynamics

We present an adaptive form of the simultaneous long-short (SLS) trading strategy, which employs feedback control principles for stock trading. Prior work established the “robust positive expectation” (RPE) theorem for the SLS strategy, asserting positive expectations of trading profits for stock prices following geometric Brownian motions with unknown parameters. We extend the RPE property to adaptive SLS strategies, which guarantee strictly positive expected profits even in round-trip price scenarios where traditional SLS strategies fail.