Stock Trading Strategies Based on Deep Reinforcement Learning

Table 10

MDD comparison of different methods in the S&P 500 market dataset.

MDD (%)
	B&H [41]	Model 1 [31]			LSTM-based [34]	TFJ-DRL [35]	HW_LSTM_RL [36]	Ours
Stock		n = 3	n = 6	n = 9
AMD	34.28	34.06	34.82	33.95	35.47	39.05	30.41	32.11
AAL	74.72	30.20	82.01	41.15	77.64	76.10	48.31	34.06
BIO	19.72	19.23	21.65	19.28	25.83	22.64	20.16	18.09
BLK	42.27	45.21	49.32	38.75	50.28	48.45	40.91	36.27
TSLA	33.73	31.37	36.04	38.61	41.29	30.73	35.20	27.06
AAPL	20.37	21.38	23.09	19.71	22.74	21.29	18.43	16.51
GOOGL	32.41	43.69	38.62	44.41	20.22	30.84	22.52	24.01
IBM	38.96	33.68	31.71	32.65	31.60	30.37	24.62	30.55
HST	52.05	47.26	49.25	47.81	59.18	48.20	44.36	43.08
PG	23.14	23.27	27.18	29.02	33.38	30.43	25.58	20.06
Average	37.17	32.93	39.37	34.53	39.76	37.81	31.05	28.18