Research Article

Ensemble Investment Strategies Based on Reinforcement Learning

Table 2

Backtest results under different strategies.

2017/01/01–2021/04/25EnsemblePPOA2CSACMACDMin-variance

Cumulative return71.92%81.99%50.73%49.23%29.32%24.27%
Annual return17.98%20.5%12.68%12.31%7.33%6.07%
Annual volatility9.7%14.8%11.3%14.9%18.3%20.1%
Sharpe ratio1.411.121.150.780.420.45
Max drawdown−9.5%−25.3%−18.4%−14.8%−38.8%−34.6%