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AI and Trading, a Winning Combo?

Every trading algorithm has its flaws; however, I wanted to apply reinforcement learning to trading and see what results could be obtained. This model, a DDPG, slightly overfits the data, but some feature changes may solve this issue.  This bot was trained on BTC, LTC, ETH from 2017-04-01 until 2019-12-01.  This bot is overly aggressive, which may be due to the environment it was trained on. This trend may also be attributed to the algorithm’s tendency to overestimate the Q values of the critic (value) network. Currently, I am exploring better features and hoping I can solve the overestimating problem with either TD3 or SAC. Overall, I was extremely pleased with this bot’s potential. I hope this inspires you to learn more about AI and its vast applications!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


If possible, could you please also share the training scrips of models? Thanks.

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Cool use of AI; only downside to your bot besides your already stated overfitting is the fact that it had 50+% drawdown... My suggestion is deleverage some by about a factor of 5 and also implementing better execution and risk management models by using the algorithm framework.

 

After submitting some NNs of my own to the marketplace I have found that switching to the algorithm framework has allowed for more flexibility in refining execution, risk management, etc.

 

Thanks for sharing and grats on your progress!

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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