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Regarding Reward and Profit

See original GitHub issue


I recently used anytrading with a custom environment and stable baseline’s PPO2 algo.

After running the evaluation part 10 times my output was something like

info {'total_reward': 24392200.00000009, 'total_profit': 0.9844407417070604, 'position': 0}
info {'total_reward': 48881799.99999967, 'total_profit': 1.011612620710015, 'position': 0}
info {'total_reward': 51085300.00000165, 'total_profit': 1.013074701451891, 'position': 1}
info {'total_reward': 14793399.999999177, 'total_profit': 0.9767670021357563, 'position': 0}
info {'total_reward': 17957400.000001136, 'total_profit': 0.9815584135159401, 'position': 0}
info {'total_reward': -2354400.0000011073, 'total_profit': 0.9607471236716814, 'position': 1}
info {'total_reward': 20103799.9999998, 'total_profit': 0.9839828662099608, 'position': 0}
info {'total_reward': 19209400.000002127, 'total_profit': 0.9826626717429163, 'position': 1}
info {'total_reward': 14625800.00000124, 'total_profit': 0.9773373249065562, 'position': 1}
info {'total_reward': 53867999.99999998, 'total_profit': 1.0180095847348958, 'position': 1} 

As far as i understand profit, if profit is >1 it is profit otherwise <1 is loss. My question is why is the total_reward positive in cases where the total_profit is actually <1 (loss).

Also it seems like it trades too frequently even when it shouldn’t, Can we add one such action like wait to see a bigger price difference or trend. (Sorry if there’s a proper term for it, I am new to trading stuff)

Issue Analytics

  • State:closed
  • Created 2 years ago
  • Comments:5 (1 by maintainers)

github_iconTop GitHub Comments

kmafutahcommented, May 3, 2021

I found this to work shame it’s on baseline and not keras and plaidml

… the solution for your last question is in the question in the stack overflow.

Hope it helps. 😃

If I may ask my good people has anyone come across a gym-anytrading environment with Buy, Sell,Hold,Exit actions ? Or it’s there and I don’t see it?

Rgds KM

On Sun, 2 May 2021 at 22:31, AlphaNumeric99 @.***> wrote:

I don’t understand how to implement sine wave?

— You are receiving this because you commented.

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Kudakwashe Mafutah [image: https://]

AlphaNumeric99commented, May 17, 2021
  1. Understood. Hopefully you update here if you find an even better reward strategy.
  2. Thank you
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