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
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