levidehaan / deep-rl-trading

Apply deep RL to trade on currency exchange

Moved

Here keras-trader

Playing trading games with deep RL

This repo is the code for this paper. Deep reinforcement learning is used to find optimal strategies in these two scenarios:

• Momentum trading: capture the underlying dynamics
• Arbitrage trading: utilize the hidden relation among the inputs

Several neural networks are compared:

• Recurrent Neural Networks (GRU/LSTM)
• Convolutional Neural Network (CNN)
• Multi-Layer Perception (MLP)

Dependencies

$ pyenv local 3.6.7
$ pyenv activate drl-trader
$ pip install -r requirements.txt
$ pip install -e .

Set matplotlib backend ~/.matplotlib/matplotlibrc

backend: qt5agg

Play with it

• Launch main script

$ python app/main.py

• Testing data generation with sampler

$ python app/sampler.py

• Leave agent training for a long period of time

$ caffeinate -sid python app/main.py

Utils

• Convert data (scale within a range)

$ python app/converter.py data/PBSamplerDB/uah_to_usd_2018.csv \
    data/uah_to_usd_2018_scaled_1_10.csv

Authors

• [email protected]