ForexRL

A Deep Reinforcement Learning model for high volume Forex Portfolio Management

Attributes

Constraints	Description
Features	FX market is represented via 512 features in X_train and X_test.
Summary	512 features summarizes the price-actions of 10+1 assets in past 10 days.
Return	Hourly log returns of assets during train & test periods are in y_train and y_test.
Risk	Calmar, Sortino, Omega ratio(s), etc. (Included but limited)

GPU Results

Constraints	Result
Max. Drawdown	6.24%
Sortino Ratio	10.10x
Sharpe Ratio	3.15x
Stability	91.31%
Tail Ratio	3.57x
Value at Risk	-0.84%

CPU is not tested

Install and Run

Note: Don't forget to unzip the Xtrain tar file

pip install -r requirements.txt

Pytorch implementation with GPU and CPU version seprately with shared auto encoder

python gpu.py

Run autoencoder for plots and results

python autoencoder.py

Results

Daily Portfolio Balances Annual Cumulative Return Weekly Portfolio Log Return Autoencoder Interpretation

Caution: Don't use it for live forex market.