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Proof of RL viability for trading with data leakage #1248
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The stability of RL algorithms is an important issue. Pls use some tricks such as ensemble strategy, dynamic datasets. Setting the tick list to single tick is not a good method. you can use multiple ticks, and after training only use the action of the single tick. We will recruit a research assistant to maintain this project. |
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 |
Hi guys,
Your FinRL project has been very helpful - I have been using the StockTradingEnv to make sure I do not mess up my environment.
However, I am encountering very low performance with RL algorithms. In order to test if the RL models are working properly I have created features that leak data about the future returns in the next 1,2,3,5 days. In theory, this should make the task very easy - if future returns are low, sell. However, the model is not able to learn any strategy other than buy and hold.
To replicate:
Do you know why the standard RL algorithm is failing even when given future information? Could you show a notebook where it is able to outperform a buy and hold strategy on a stock, while using information from the future?
Thank you,
Evgeny.
Contact: gluzman64@gmail.com
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