Comments (3)
BruceYanghy
commented on August 15, 2024
HI @BruceYanghy
as you know I'm expanding your work for my masters thesis. And for that, I stepped over the following class:
As far as I scanned over the Code, this Env isn't used anywhere. Can you please explain why this orphan env is there and (more important) you built three different Envs for training validation and trading?
Would be great to hear from you :-)
Kind regards!
That's not used. I will remove that. Thanks.
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Pit-Storm
commented on August 15, 2024
And can you give a hint what the differences between the three used envs are?
I just need a lead to the right direction.
Thank you!
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BruceYanghy
commented on August 15, 2024
And can you give a hint what the differences between the three used envs are? I just need a lead to the right direction. Thank you!
Sure.
The 3 used envs are for different purposes: training, validation, trading.
Training v.s. Validation and Trading: turbulence index is used as a risk signal after the actions which are the trading signals generated by the DRL algorithms. Turbulence index should not be included in training.
Validation v.s. Trading: Validation is just for hyperparameter tuning and model selection purposes, trading env has a previous_state parameter because it is quarterly rebalance, the DRL algorithms can't always start from the beginning (initial state is $1,000,000).
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Related Issues (20)
- SyntaxError HOT 2
- Does the cost is updating with new value of shares or old ones ? HOT 1
- Rebalance window
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- python 3.6.0 is not supported
- Backtesting results
- Please ask why bring my stock data into the training, the action produces nan HOT 2
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