AI4Finance-Foundation / AI4Finance-Foundation/FinRL
SAC model on testing set is allocating same weights to a given TIC on consecutive days
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SAC model on testing set is allocating same weights to a given TIC on consecutive days for nearly 7 years. The model is behaving like an extreme Buy and Hold. I have tried using Optuna to fine tune etc. But still the same result. Below are my hyperparameters
SAC_PARAMS = {
"batch_size": 64,
"buffer_size": 100000,
"learning_rate": 0.001,
"learning_starts": 100,
"ent_coef": "auto_0.1",
}
timesteps = 150000
During training, the sharpe ratio across episodes but the model does not seem to converge. It is possible that my feature space is not very helpful. I am trying to build a long time frame (30 day lookahead) model.
My features include technical features and some macro features.
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