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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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Fixed tensorflow upgrade issues #142

Open mridulrb opened 2 years ago

0xdarkman commented 2 years ago

well done in regards to code changes itself. how about the model performance? have you noticed any changes?

0xdarkman commented 2 years ago

you are missing xarray in requirements.txt

mridulrb commented 2 years ago

you are missing xarray in requirements.txt

@0xdarkman I have updated the requirements.txt to install xarray

mridulrb commented 2 years ago

well done in regards to code changes itself. how about the model performance? have you noticed any changes?

@0xdarkman Thanks for the feedback. The results I got are as follows -

algorithm portfolio value sharpe ratio max drawdown positive periods negative periods postive day negative day postive week negative week average
nntrader 46.732177 0.081992 0.224624 1223 1553 2121 655 2752 24 1.001568
olmar 1.704328 0.019966 0.802504 1295 1475 1209 1567 1264 1512 1.000491
ons 1.617763 0.029253 0.220506 1395 1381 1596 1180 1965 811 1.000196

Figure_1

fridary commented 2 years ago

@mridulrb bro, on what dates did you get such large portfolio value? I backtested PGPortfolio on the default config and got 1.016706 BTC during 2019/07/01 - 2021/07/01 (test_portion=0.08). Nevertheless, I got 33.561700 BTC during 2015/07/01 - 2017/07/01

mridulrb commented 2 years ago

@fridary The dates were 2015/07/01 - 2017/07/01.

yidi666 commented 2 years ago

hello @mridulrb , could u kindly provide ur updated codes with me via email tangyidi0615@gmail.com ? l have trouble in dealing with the bugs caused by the updating of pandas...(some attributions are deserted and l cannot fix it since l am a beginer of python) thank u very much !

Nice-Zhang66 commented 1 year ago

你好@mridulrb您可以通过电子邮件tangyidi0615@gmail.com向我提供更新后的代码吗？我在处理pandas更新引起的bug时遇到了麻烦...（有些属性已废弃，我无法修复它，因为我是python的初学者）非常感谢你！

Hello, does your code work, I want to experiment with my own collected data, how should I use it, can you send me your code? Here is my email: 19832101567@163.com Thank you very much! 您好，你的代码能正常运行吗，我想用我自己采集的数据进行实验，该怎么用呢，能不能给我发一下您的代码呢？这是我的邮箱：19832101567@163.com，非常感谢您！