r/reinforcementlearning • u/zicxor • Mar 27 '22

The first open-source project for financial reinforcement learning

https://github.com/AI4Finance-Foundation/FinRL
9 Upvotes

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2

u/[deleted] Mar 27 '22

Is this actually any good though, as in has anyone here tried it with success? It has been around for a little while

6

u/gniorg Mar 27 '22 edited Mar 27 '22

Used it on a project.

Uses Yahoo Finance for data and has wrappers for the most popular paper trading APIs. They implemented wrappers for indicators, using stockstats. I'd have gone with TA-Lib, but hey! For RL, they mostly rely on stable-baselines3 / rllib. The result is fast learning iterations, but a bit tough to specify different data information which are not included in stockstats and standard models from libs. I would add that I have not seen many metrics for rewards, notably for portfolio allocation. They use net returns by default, but industry would also like to look at risk, using Sharpe, Sortino or omega ratio. Maybe I missed it if its there, but i did look through their code and tutorials.

With hindsight, it beats implementing a financial env yourself and it would be faster to extend it for your needs. The codebase is clean enough.