Investitage paper to further align training- and evaluation environment

lucasfbn / Reddit-Sentiment-Reinforcement-Learning

Stock trading using Reddit sentiment data and reinforcement learning.

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Investitage paper to further align training- and evaluation environment #92

Closed lucasfbn closed 3 years ago

lucasfbn commented 3 years ago

In this context, it is also expected to learn some more specific RL algorithms. It makes no sense to look into PPO any deeper at the moment since it's unclear whether this algorithm provides the best results. Therefore, first read through papers and then come back to the actual implementation.

Closes #83 and closes #88.

lucasfbn commented 3 years ago

Ideas:

Would be possible to create a complex portfolio environment with the custom train loop and use several actions to update a reward. However, this would lead to the necessity to "synchronize" presented stocks chronologically and not mix them with other stocks. Update (observe) all states after going through all stocks for a certain day (they would all have the same reward)

lucasfbn commented 3 years ago

We will not align the training and test environment. Those shall be treated as two distinct problems. We, therefore, focus on optimizing for the training env first, and after we optimize for the test environment. This means we are first solving the trading problem for each individual stock and after we focus on solving the problem with trading with fixed portfolio constraints (e.g. budget etc.).