-
Trade SPY at daily or minute intervals with the goal of outperforming the buy-and-hold strategy.
-
Trading algorithms: PPO
-
Deployment: CI/CD pipeline implemented with GitHub Actions on a self-hosted runner (RTX 3090).
-
Key performance factors:
- Lookback window size
- Indicators
- Training data period
- Trading intervals
| Buy&Hold | Max possible | RL optimized | Profit increase | |
|---|---|---|---|---|
| Train (2023-01-01 to 2023-12-31) | 1.16 | 1.99 | 1.42 | 22% |
| Test1 (2024-01-01 to 2024-09-01) | 1.11 | 1.59 | 1.17 | 5% |
| Test2 (2022-01-01 to 2022-12-31) | 0.86 | 2.99 | 0.92 | 7% |
The plot below represents the training phase, where red indicates a short position and green signifies a hold position.
This plot displays the results for the first test period.
The plot below shows the results for the second test period.
