issues
search
jhirschibar
/
LittleJohn
Project to discover a deterministic value policy useful in managing a portfolio of short option spreads
5
stars
0
forks
source link
Research features and DQN architecture for small 2-action model
#26
Open
karlie15
opened
1 month ago
karlie15
commented
1 month ago
DoD:
have a model that converges
outperforms random guesses during back-testing
karlie15
commented
1 month ago
While data backfills:
[ ] Create backtest eval framework (random guesses, rules based, etc)
[ ] Create a sample set of tickers and option windows to test on
model per ticker or one master model? leaning towards master model...
DoD: