AI4Finance-Foundation / AI4Finance-Foundation/FinRL
Mechanism of Repositioning: sell low valuable assets in exchange of high valuable assets (increase the turnover rate)
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描述
We found that during the backtesting period of the StockTrading demo, the number of stock adjustments was very small. Most stocks established a large position in the early stage of trading, and then the position was hardly adjusted. Very little repositioning. As the time increases, our portfolio has no different than the market index.
This picture shows the stock price (left column) and position (right column) of the backtest range we are looking at. Different colored lines in the right column represent the results of multiple trials. x-axis represents the time. We observe that many stocks are rarely rebalanced (3-year backtest interval).
We are asking for discussion to make the RL agent increase the turnover rate/repositioning frequency during the trading process.
Thanks.

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