In a number of recent papers, new approaches devoted to financial mathematics in sphere of stock exchange were discovered. The most recent one considers using a PI Controller. The main point here is that under idealized market conditions, with non-trivial Geometric Brownian Motion, a combination of as static as dynamic linear feedbacks leads to implementation of "robust positive expectation property". The positive expected value does not guaranteed a profit; however, it showed good results in simulations. Considering such theory, it is necessary to analyze which new features will bring introduction of a probabilistic basis. When we talk about probability, especially in such spheres as stock exchange, we cannot ignore the word "compromise". For this purpose, in this article we are going to consider the realization of "compromise" through the scenario approach. This approach was already applied to the portfolio theory. Portfolio selection was considered as the result of minimax optimization of function constructed basing on previous data-scenarios. These approaches were chosen by author with purpose for its further connection. Thus, in this article the problem is formulated and scenario approach is considered as effectively choice of feedbacks coefficients of trading strategy.