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[RL] Improve reward function #11

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mjuchli opened this issue Mar 10, 2018 · 0 comments
Open

[RL] Improve reward function #11

mjuchli opened this issue Mar 10, 2018 · 0 comments
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@mjuchli
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mjuchli commented Mar 10, 2018

Instead of (p_0 - vwap_t) compare against p_0 - (max([p_0; p_t]) + min([p_0; p_t])) / 2 (normalized between -1 and 1). Therefore we have a stable reward for any kind of fluctuation.

evernote snapshot 20180310 225733
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