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saeedmarzban / waveCorr

waveCorr policy gradient model for portfolio management
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y_close #3

Closed m1996 closed 2 years ago

m1996 commented 2 years ago

Hi I've noticed that the 'y_close' is [daily returns+1] which has been shifted 2 rows. Am I right? why 2?

saeedmarzban commented 2 years ago

Yes, That is right. The reason is to be consistent with what happens in reality. The agent receives the close price at the end of the day, next day early in the morning puts the buy/sell request and the request is met during the day. So we consider the actual return of the stock to be during the close price at the end of next day and the close price at the end of the day after.

m1996 commented 2 years ago

that's what I thought:) Thank you so much

m1996 commented 2 years ago

Sorry bothering you again, is there any especial reason for "3000" epochs? Why not more?

On Wed, Feb 9, 2022, 3:12 AM Saeed Marzban @.***> wrote:

Yes, That is right. The reason is to be consistent with what happens in reality. The agent receives the close price at the end of the day, next day early in the morning puts the buy/sell request and the request is met during the day. So we consider the actual return of the stock to be during the close price at the end of next day and the close price at the end of the day after.

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