Abstract: Provided is a method that, given a price-time trajectory, seeks the policies that optimize portfolio performance over that trajectory. The claimed subject matter provides the result of a program of research that succeeded in that effort. The disclosed control theoretic approach: 1) develops a measure of profitability of the trading portfolio; 2) computationally models the trading process operating on the price-time histories; 3) calculates estimates of the price-time histories using functions with well-known mathematical characteristics; 4) calculates, using the calculated estimates, derived functions of the price-time histories about which control variables are known and about which there is a priori knowledge; and 5) simulates, using the derived functions, the trading policies and seek the values of the control variables that maximize the portfolio's trading performance over the life of the trading instruments.