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Full dataset normalization biases test set #1238
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Thank you for bringing up the issue. Currently, the FinRL library is extremely poorly maintained. Rest assured, I will reorganize a team to ensure its proper maintenance. Best regards, Bruce Yang |
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In FinRL_PortfolioOptimizationEnv_Demo.ipynb all data used for training and testing are normalised at once:
By doing so we tell the model when across all our observations (training + test) the stock price of a given position in the portfolio has been the highest.
@C4i0kun should we not instead normalize only the batch of observations for a given time step? Avoiding to introduce forward looking information, that is supposed to be unknown.
For example, we could delegate the normalisation to env_portfolio_optimization.py:
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