Research Article
Ensemble Investment Strategies Based on Reinforcement Learning
Table 2
Backtest results under different strategies.
| 2017/01/01–2021/04/25 | Ensemble | PPO | A2C | SAC | MACD | Min-variance |
| Cumulative return | 71.92% | 81.99% | 50.73% | 49.23% | 29.32% | 24.27% | Annual return | 17.98% | 20.5% | 12.68% | 12.31% | 7.33% | 6.07% | Annual volatility | 9.7% | 14.8% | 11.3% | 14.9% | 18.3% | 20.1% | Sharpe ratio | 1.41 | 1.12 | 1.15 | 0.78 | 0.42 | 0.45 | Max drawdown | −9.5% | −25.3% | −18.4% | −14.8% | −38.8% | −34.6% |
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