As investment guru Ray Dalio, founder of Bridgewater, defends in his book "Life and Work Principles”, investment is an iterative process. We thought we can save some sweat and tears, and let a reinforcement learning agent do the work. We’ve run some tests in Amazon SageMaker and are happy to share some key learnings and results.

1. GAME OF
STOCKS
REINFORCEMENT LEARNING
IN FINANCIAL MARKETS

4. AGENT
ENVIRONMENT

5. AGENT
ENVIRONMENT
Action
A1
Reward
R1
Step
S1

6. take_action(…)
get_reward(…)
Model.predict(…)
Policy Gradient
Random(…)
AGENT
ENVIRONMENT
init_state(…)
Epoch N
Policy Network
evaluate_q(…)

7. Price Diff
MM
SMA5 SMA15 SMA30

8. Techstack

9. 30 Epochs0 Epochs

10. 0
Epochs

11. 200
Epochs
0
Epochs

12. 0
Epochs
200
Epochs

13. 0
Epochs
200
Epochs

14. 0
Epochs
200
Epochs

15. PROBLEMS
• Data
• Calculation Time
• Reward

16. LEARNINGS
• Clean your data
• Setup cloud environment
• Consider different models

17. Can you make profit?

19. Will it be easy ?

22. TOBIAS DRECHSEL
FOUNDER @ THINKPORT GMBH

23. MORE INFORMATION AT WWW.THINKPORT.DIGITAL