Reinforcement learning for trading...is real?

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Reinforcement learning for trading...is real?

posted Apr 23, 2020

Seeking Help Getting Started Machine Learning Research

Hi everyone,

I have been exploring the field of RL for trading FX. Started from basic, just doing an enviroment for the EURUSD with some indicators. I would like to know if anyone here has tried this with some success (ending with a trainned agent that could trade in the enviroment and potentially use it for live trading in demo/real).

Is this possible in some way? Like, can the agent learn to trade SMA crossover, for example? For the agent, to learn how to trade the SMA crossover, you just throw the OHLC+2 SMA as inputs and let the agent figure it out how it works or you need to provide the agent the strategy in the enviroment? What advices would you give me?

Thank you!
PS

2 responses

Off course, it would work, by considering the trading environment as a game. Generally speaking, it depends on the modelization process -Markov decision process or partially observed Markov process, off-policy or on-policy.

Hi Badr, thank you for your answer.

Taking a SMA crossover strategy as example, in order to the agent to learn this strategy it would be necessary to provide the values of both SMA or it should provide the SMA crossover signal? Or should the strategy be coded in some part of the enviroment? Honestly, this last part doesn't makes me too much sense, since I would think (and expect) that the agent will learn to trade the crossover from the inputs that conform the state. That would be: open positions, cash in hand+floating pnl+sma values.

Once again, thank you :)

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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 Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.