Beat me in my own game! Develop your RL agent with provided FX environment.
This repository contains an open challenge for a Portfolio Balancing AI in Forex.
The state of the FX market is represented via 512 features in X_train and X_test.
Returns of each asset during training and test periods are in y_train and y_test.
example.py contains an implementation, which balances a long-short portfolio.
Up to 2x leverage is allowed. Your objective is to outperform following risk metrics.
Please send me your saved model so that I can test it on a blind set for the contest.
I will list results from challengers here by sorting them w.r.t. the industry-standard,
risk measures including (but not limited to) the Calmar, Sortino, Omega ratio(s), etc.
Why use my features as environment summary? because they're performing well!
Max. Drawdown: 2.56% Sortino Ratio: 13.65x
Sharpe Ratio: 3.99x Stability: 96.35%
Tail Ratio: 2.99x Value at Risk: -0.52%
If you obtain successful results and you want to use your RL model for live-trading,
you can contact me for subscribing to a real-time feed of the environment summary.
Fixed input to challengers will allow a clear benchmarking of RL methods developed.
Your objective results here can also attract business opportunities such as job offers.
Please, contact me if you would like to sponsor the FX RL challenge; or organize a local
meetup, workshop or Hackathon where RL researchers can participate into this challenge.
PyTorch implementation of Multi-processed training of a shared model where batches
are divided across processes. Looking for a person to contribute a TensorFlow version.