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ZhengyaoJiang / PGPortfolio

PGPortfolio: Policy Gradient Portfolio, the source code of "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem"(https://arxiv.org/pdf/1706.10059.pdf).
GNU General Public License v3.0
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Normalization on open price #140

Open i7p9h9 opened 3 years ago

i7p9h9 commented 3 years ago

when you already know I think normalization on open price is incorrect for this task. In real life, you can not buy on open price, when you already know high and low, from my point of view for real testing you should normalize for the close price (open for next candle) - if you do this - results will be significant worst. Have I made a mistake in my reasoning?

0xdarkman commented 2 years ago

from the publication:

1) "The main weakness of the current work is the assumptions of zero market impact and zero slippage."

2) "Zero slippage: The liquidity of all market assets is high enough that, each trade can be carried out immediately at the last price when a order is placed."