An Algorithm for Trading and Portfolio Management Using Q-learning and Sharpe Ratio Maximization

A trading and portfolio management system called QSR is proposed. It uses Q-learning and Sharpe ratio maximization algorithm. We use absolute proot and relative risk-adjusted proot as performance function to train the system respectively, and employ a committee of two networks to do the testing. The new proposed algorithm makes use of the advantages of both parts and can be used in a more general case. We demonstrate with experimental results that the proposed approach generates appreciable proots from trading in the foreign exchange markets.