Closed AlphaNumeric99 closed 3 years ago
Am not sure if this would help. But just assumed that maybe the negative profits where from just shorts... try with sine wave... Rgds KM
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On 29 Apr 2021, at 11:15, AlphaNumeric99 @.***> wrote:
Hi,
I recently used anytrading with a custom environment and stable baseline's PPO2 algo.
After running the evaluation part 10 times my output was something like
info {'total_reward': 24392200.00000009, 'total_profit': 0.9844407417070604, 'position': 0} info {'total_reward': 48881799.99999967, 'total_profit': 1.011612620710015, 'position': 0} info {'total_reward': 51085300.00000165, 'total_profit': 1.013074701451891, 'position': 1} info {'total_reward': 14793399.999999177, 'total_profit': 0.9767670021357563, 'position': 0} info {'total_reward': 17957400.000001136, 'total_profit': 0.9815584135159401, 'position': 0} info {'total_reward': -2354400.0000011073, 'total_profit': 0.9607471236716814, 'position': 1} info {'total_reward': 20103799.9999998, 'total_profit': 0.9839828662099608, 'position': 0} info {'total_reward': 19209400.000002127, 'total_profit': 0.9826626717429163, 'position': 1} info {'total_reward': 14625800.00000124, 'total_profit': 0.9773373249065562, 'position': 1} info {'total_reward': 53867999.99999998, 'total_profit': 1.0180095847348958, 'position': 1} As far as i understand profit, if profit is >1 it is profit otherwise <1 is loss. My question is why is the total_reward positive in cases where the total_profit is actually <1 (loss).
Also it seems like it trades too frequently even when it shouldn't, Can we add one such action like wait to see a bigger price difference or trend. (Sorry if there's a proper term for it, I am new to trading stuff)
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I don't understand how to implement sine wave?
I found this to work shame it’s on baseline and not keras and plaidml
https://stackoverflow.com/questions/64687298/stable-baselines-dqn-not-performing-properly
... the solution for your last question is in the question in the stack overflow.
Hope it helps. :)
If I may ask my good people has anyone come across a gym-anytrading environment with Buy, Sell,Hold,Exit actions ? Or it’s there and I don’t see it?
Rgds KM
On Sun, 2 May 2021 at 22:31, AlphaNumeric99 @.***> wrote:
I don't understand how to implement sine wave?
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Hi @AlphaNumeric99
About the first question, this explanation might help.
And the second question, there is no need to add a new action (however it is possible). You can manage the trading rate by adding some punishment/reward strategies.
Hi,
I recently used anytrading with a custom environment and stable baseline's PPO2 algo.
After running the evaluation part 10 times my output was something like
As far as i understand profit, if profit is >1 it is profit otherwise <1 is loss. My question is why is the total_reward positive in cases where the total_profit is actually <1 (loss).
Also it seems like it trades too frequently even when it shouldn't, Can we add one such action like wait to see a bigger price difference or trend. (Sorry if there's a proper term for it, I am new to trading stuff)