forex_rl

Directory Structure

• config: default YAML config containing all the parameters that can be tuned
• models: details of the model runs contained in the following files:
  • <model time stamp>_config.yaml: contains the configuration of the model run
  • <model time stamp>_metrics.yaml: contains the test set metrics
• reference: some random reference pdfs
• scripts: random scripts e.g. run analysis on all the model/*metrics.yaml files
• src: main code, this contains these important files:
  • fx_env.py: defines the trading environment using a subclass of gym.ENV
  • fx_model.py: defines the deep learning model and memory classes
  • helpers.py: defines helper functions
  • indicators.py: defines functions for calculating technical indicators for trading
  • main.py: main script where the env is created, model is trained, etc.
  • optimze_params.py: bayesian optimization script of all the variables found in config/config.yaml