Method1: [ [p(t),p(t+1),...p[t+m]] [vol(t),vol(t+1),...vol[t+m]] ] p(t) = (price(t+n) - price(t))/price(t) vol(t) = (turnover(t+n) - turnover(t))/turnover(t)
Method2: [features]
features include CCI, RSI, VR, ATR, WVAD, LON, ZJTJ, Turnover, Uplift etc.
- Buy, when agent have stock and it can hold instead of buy.
- Sell, when agent not have stock it use no action instead of sell.
note: Buy and Sell all is trading, which need fee. so we define
inaction:
if state == "holding":
inaction = buy
else:
inaction = sell
without Warehouse management:
when action is buy:
Returns = price(t+1) - price(t) - price(t) * taxes
when action is sell:
Returns = - price(t) * taxes
when action is hold stock and is inactions:
Returns = price(t+1) - price(t)
when action is not hold stock and is inactions:
Returns = 0
note: the taxes default 0.2%