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. industry-standard,
risk measures including (but not limited to) Calmar, Sortino and Omega ratio(s).
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 employ your RL model for live-trading,
you can contact me for licensing to a real-time feed of the environment summary.
PyTorch implementation of Multi-processed training of a shared model where batches
are divided across processes. Looking for a person to contribute TensorFlow version.