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I think the reward aka instant pnl in the code should be a percentage of change instead of a delta;
https://github.com/Prediction-Machines/Trading-Gym/blob/master/tgym/envs/trading.py#L117 instant_pnl = self._entry_price - self._exit_price
instant_pnl = self._entry_price - self._exit_price
So if we got a very volatile market (like criptos) you will see lower rewards at first and grater rewards at the end, coudl be this a better approach:
instant_pnl = (self._entry_price - self._exit_price) / self._exit_price
The text was updated successfully, but these errors were encountered:
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I think the reward aka instant pnl in the code should be a percentage of change instead of a delta;
https://github.com/Prediction-Machines/Trading-Gym/blob/master/tgym/envs/trading.py#L117
instant_pnl = self._entry_price - self._exit_price
So if we got a very volatile market (like criptos) you will see lower rewards at first and grater rewards at the end, coudl be this a better approach:
instant_pnl = (self._entry_price - self._exit_price) / self._exit_price
The text was updated successfully, but these errors were encountered: