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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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How is your return in live-trading? #67

Open nian-liu opened 6 years ago

nian-liu commented 6 years ago

Hi guys, to evaluate the model performance in live-trading, for those who have deployed this model in live-trading, could you report your rate of return and the date range here? If possible, could you also report your initial investment amount? Since I think the model is largely influenced by the asset amount. Large asset probably brings in market impact.

felixenzogarofalo commented 6 years ago

Hi nian-liu, if you could implement the code for live trading, could you give me some guidance to achieve the same?

nian-liu commented 6 years ago

I gave up to apply it for live trading cuz I found that the algorithm is not working in current bear market. Well the last time I tried is in April, so maybe it's caused by insufficient training data of bear market, maybe you can try it now since we have more bear market data.

joeykrug commented 6 years ago

@nian-liu did you try with a more recent training window [e.g. training from jan-june, test in july]?

ziofil commented 6 years ago

I’ve tried more recent windows (dec-July) but I’ve not managed to make it gain anything (not live)