On Robustness of Double Linear Trading with Transaction Costs

CH Hsieh - IEEE Control Systems Letters, 2022 - ieeexplore.ieee.org
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 …

On Robustness of Double Linear Policy with Time-Varying Weights

XY Wang, CH Hsieh - 2023 62nd IEEE Conference on Decision …, 2023 - ieeexplore.ieee.org
In this paper, we extend the existing double linear policy by incorporating time-varying
weights instead of constant weights and study a certain robustness property, called robust …