itresearch

I agree many papers they do not considers many aspects or they contain look-ahead bias. I think they should publish their code so everybody can check if the results are...

Any update on this issue? @dkd58 have you tried to make pull request?

Thanks @Kostis-S-Z Unfortunately I am on vacations and I don't have my code with me, but I will experiment more when I am back. Basically your paper is a demonstration...

@Kostis-S-Z I believe you are busy again with job, since I see you had not time to reply. No worries. I am also back from vacation and had some time...

@ScrapeWithYuri you can find my code here: https://github.com/q-learning/trading-rl dataset contains EURSD OHCL+Volume years 2007-2015. Please let me know what you think about and help me to find bugs in my...

@Kostis-S-Z @ScrapeWithYuri I found a bug in my code. That code was still incrementing the position after calculating the reward. I have changed and still the profit is still too...

Very good point @ScrapeWithYuri . In general we can say that if a position is taken for T periods, than the profit is: profit = price( t+T) - price(t) and...

good point @ScrapeWithYuri When your differentiate a time series, let's say: x[0], x[1], x[2], .... , x[t] and you get : d[0], d[1], d[2], ..., d[t-1] you need to take...

ok @ScrapeWithYuri it is now fixed. The two calculations are now getting similar results:  The problem is, we are not getting good results. From what I can see, it...

Another interesting observation is the following. With the respect to the following part of the paper, we are considering a fixed value of alpha at the moment:  and this...