Closed q-learning-trader closed 10 months ago
The matrix is very sparse because you put too many products inside one portfolio. I suggest you only put 5-10 products inside one portfolio and train multiple agents for each portfolio for trading.
Thanks @772435284 ! Do you mean train each portfolio with multiple concurrent agents or training with different agents such as PPO, SAC, A2C?
Train each portfolio with multiple concurrent agents. Using different agents is ok as well, if the test performance is good.
I have multiplied the weights for 3000$ and set to 0 what is below 1$. I notice the matrix is very sparse (see attachment). Is there any reason for that? I was supposing it was more dense but in fact it trades only few securities per day. And it never trades some assets. The assets list is the following: