lukaskocian
lukaskocian
UPDATE: I found out that the problem is caused by reward function, which I have rewritten to Calmar Ratio. So when I run the script with reward as portfolio value...
The error was fixed by making a change in calculation of the reward. If there was a zero in denominator, divide by one.
Hello Jason, have you ended up fixing the problem? I got totally the same and can't get my head around it.
I spend hours understanding the code and created my own evaluation system using choose_action function