2025-01-07 19:26
IndustryCase Study: Custom Reward Function for an RL Trade
Scenario
You want an agent to:
1. Maximize profit.
2. Minimize drawdowns.
3. Avoid excessive trades.
Implementation
def calculate_reward(balance, previous_balance, drawdown, trades_executed):
profit = balance - previous_balance
drawdown_penalty = -abs(drawdown) if drawdown > 0.1 else 0 # Penalize drawdowns > 10%
trade_penalty = -0.1 * trades_executed # Penalize each trade slightly
return profit + drawdown_penalty + trade_penalty
Like 0
姚来军
Trader
Hot content
Industry
Event-A comment a day,Keep rewards worthy up to$27
Industry
Nigeria Event Giveaway-Win₦5000 Mobilephone Credit
Industry
Nigeria Event Giveaway-Win ₦2500 MobilePhoneCredit
Industry
South Africa Event-Come&Win 240ZAR Phone Credit
Industry
Nigeria Event-Discuss Forex&Win2500NGN PhoneCredit
Industry
[Nigeria Event]Discuss&win 2500 Naira Phone Credit
Forum category
Platform
Exhibition
Agent
Recruitment
EA
Industry
Market
Index
Case Study: Custom Reward Function for an RL Trade
| 2025-01-07 19:26Scenario
You want an agent to:
1. Maximize profit.
2. Minimize drawdowns.
3. Avoid excessive trades.
Implementation
def calculate_reward(balance, previous_balance, drawdown, trades_executed):
profit = balance - previous_balance
drawdown_penalty = -abs(drawdown) if drawdown > 0.1 else 0 # Penalize drawdowns > 10%
trade_penalty = -0.1 * trades_executed # Penalize each trade slightly
return profit + drawdown_penalty + trade_penalty
Like 0
I want to comment, too
Submit
0Comments
There is no comment yet. Make the first one.
Submit
There is no comment yet. Make the first one.