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Preprint Sep 2026

CAST: A Cross-Asset State-Space Trading System for Drawdown Control in Stock Markets

This work evaluates CAST on four real-world stock markets over a 15-year test window and shows that it consistently occupies the return-drawdown Pareto frontier, achieving strong risk-adjusted performance while maintaining substantially lower maximum drawdown than competitive baselines.

Yu Peng, M. Khushi, Josiah Poon · 0 citations

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