GitHub

Final analyses for my thesis submission. Includes all models trained and back-tested in the thesis.

Related FinRL online learning and environment implementations can be found here: https://github.com/flpymonkey/FinRL_Online_Portfolio_Benchmarks

Name		Name	Last commit message	Last commit date
Latest commit History 89 Commits
.ipynb_checkpoints		.ipynb_checkpoints
action_dump		action_dump
legacy		legacy
multrun_rl		multrun_rl
notes		notes
online_algos		online_algos
results		results
tensor_graph		tensor_graph
train_remote/test		train_remote/test
trained_eiie		trained_eiie
trained_models		trained_models
.gitignore		.gitignore
BenData_RLEnsemble_PortOpt_ppo.ipynb		BenData_RLEnsemble_PortOpt_ppo.ipynb
BenData_RLEnsemble_PortOpt_ppo_2.ipynb		BenData_RLEnsemble_PortOpt_ppo_2.ipynb
BenData_RLEnsemble_PortOpt_ppo_betas.ipynb		BenData_RLEnsemble_PortOpt_ppo_betas.ipynb
BenData_RLEnsemble_PortOpt_ppo_indicators.ipynb		BenData_RLEnsemble_PortOpt_ppo_indicators.ipynb
BenData_RLEnsemble_a2c.ipynb		BenData_RLEnsemble_a2c.ipynb
CRP_net_worth.csv		CRP_net_worth.csv
DJI_2021_Reward.png		DJI_2021_Reward.png
DJI_2021_Value_Loss.png		DJI_2021_Value_Loss.png
FinRL_PortfolioOptimizationEnv_Demo.ipynb		FinRL_PortfolioOptimizationEnv_Demo.ipynb
FinRL_PortfolioOptimizationEnv_Demo_features.ipynb		FinRL_PortfolioOptimizationEnv_Demo_features.ipynb
FinRL_PortfolioOptimizationEnv_EIIE.ipynb		FinRL_PortfolioOptimizationEnv_EIIE.ipynb
FinRL_PortfolioOptimizationEnv_EIIE_features.ipynb		FinRL_PortfolioOptimizationEnv_EIIE_features.ipynb
IS_Weights.png		IS_Weights.png
OLMAR_net_worth.csv		OLMAR_net_worth.csv
PPO_4_IS.png		PPO_4_IS.png
PPO_4_all.png		PPO_4_all.png
PPO_6_ALL.png		PPO_6_ALL.png
PPO_6_ALL_2.png		PPO_6_ALL_2.png
PPO_6_ALL_2mil.png		PPO_6_ALL_2mil.png
PPO_6_ALL_3.png		PPO_6_ALL_3.png
PPO_6_BAH_DJI.png		PPO_6_BAH_DJI.png
PPO_6_IS_2.png		PPO_6_IS_2.png
PPO_6_IS_3.png		PPO_6_IS_3.png
PPO_6_IS_4.png		PPO_6_IS_4.png
PPO_OOS_Weights.png		PPO_OOS_Weights.png
PPO_OOS_Weights_2.png		PPO_OOS_Weights_2.png
PPO_OOS_Weights_3.png		PPO_OOS_Weights_3.png
README.md		README.md
RL_Backtesting_IS.ipynb		RL_Backtesting_IS.ipynb
RL_Backtesting_IS_4.ipynb		RL_Backtesting_IS_4.ipynb
RL_Backtesting_IS_EIIE_2022.ipynb		RL_Backtesting_IS_EIIE_2022.ipynb
RL_Backtesting_IS_features.ipynb		RL_Backtesting_IS_features.ipynb
RL_Backtesting_OOS.ipynb		RL_Backtesting_OOS.ipynb
RL_Backtesting_OOS_4.ipynb		RL_Backtesting_OOS_4.ipynb
RL_Backtesting_OOS_EIIE_2014.ipynb		RL_Backtesting_OOS_EIIE_2014.ipynb
RL_Backtesting_OOS_EIIE_2014_stock.ipynb		RL_Backtesting_OOS_EIIE_2014_stock.ipynb
RL_Backtesting_OOS_EIIE_2016.ipynb		RL_Backtesting_OOS_EIIE_2016.ipynb
RL_Backtesting_OOS_EIIE_2016_stock.ipynb		RL_Backtesting_OOS_EIIE_2016_stock.ipynb
RL_Backtesting_OOS_EIIE_2018.ipynb		RL_Backtesting_OOS_EIIE_2018.ipynb
RL_Backtesting_OOS_EIIE_2018_2.ipynb		RL_Backtesting_OOS_EIIE_2018_2.ipynb
RL_Backtesting_OOS_EIIE_2018_2_stock.ipynb		RL_Backtesting_OOS_EIIE_2018_2_stock.ipynb
RL_Backtesting_OOS_EIIE_2018_stock.ipynb		RL_Backtesting_OOS_EIIE_2018_stock.ipynb
RL_Backtesting_OOS_EIIE_2019.ipynb		RL_Backtesting_OOS_EIIE_2019.ipynb
RL_Backtesting_OOS_EIIE_2019_stock.ipynb		RL_Backtesting_OOS_EIIE_2019_stock.ipynb
RL_Backtesting_OOS_EIIE_2020.ipynb		RL_Backtesting_OOS_EIIE_2020.ipynb
RL_Backtesting_OOS_EIIE_2020_stock.ipynb		RL_Backtesting_OOS_EIIE_2020_stock.ipynb
RL_Backtesting_OOS_EIIE_2021.ipynb		RL_Backtesting_OOS_EIIE_2021.ipynb
RL_Backtesting_OOS_EIIE_2021_stock.ipynb		RL_Backtesting_OOS_EIIE_2021_stock.ipynb
RL_Backtesting_OOS_EIIE_2022.ipynb		RL_Backtesting_OOS_EIIE_2022.ipynb
RL_Backtesting_OOS_EIIE_2022_stock.ipynb		RL_Backtesting_OOS_EIIE_2022_stock.ipynb
RL_Backtesting_OOS_features.ipynb		RL_Backtesting_OOS_features.ipynb
RL_Backtesting_OOS_features_TEST_STOCK.ipynb		RL_Backtesting_OOS_features_TEST_STOCK.ipynb
beta_outputs.csv		beta_outputs.csv
betas_yf.ipynb		betas_yf.ipynb
df.csv		df.csv
df_account_value.csv		df_account_value.csv
df_dji+.csv		df_dji+.csv
df_dji.csv		df_dji.csv
df_result_ensemble.csv		df_result_ensemble.csv
eiie_ba.png		eiie_ba.png
eiie_ba_plot.png		eiie_ba_plot.png
eiie_cash_2.png		eiie_cash_2.png
eiie_cash_2_plot.png		eiie_cash_2_plot.png
eiie_cash_plot_2017.png		eiie_cash_plot_2017.png
eiie_weights_2.png		eiie_weights_2.png
nvda_weights.png		nvda_weights.png
nvda_weights_stocks.png		nvda_weights_stocks.png
online_portfolio_rl.ipynb		online_portfolio_rl.ipynb
online_shares_crp.ipynb		online_shares_crp.ipynb
online_shares_olmar.ipynb		online_shares_olmar.ipynb
online_shares_port_test_bah.ipynb		online_shares_port_test_bah.ipynb
online_shares_port_test_bcrp.ipynb		online_shares_port_test_bcrp.ipynb
online_shares_port_test_bnn.ipynb		online_shares_port_test_bnn.ipynb
online_shares_port_test_olmar.ipynb		online_shares_port_test_olmar.ipynb
online_shares_port_test_rmr.ipynb		online_shares_port_test_rmr.ipynb
online_shares_port_test_scrp.ipynb		online_shares_port_test_scrp.ipynb
output.png		output.png
output2.png		output2.png
policy_EIIE.pt		policy_EIIE.pt
ppo_6_aer.png		ppo_6_aer.png
ppo_6_aer_2.png		ppo_6_aer_2.png
ppo_6_std.png		ppo_6_std.png
ppo_6_std_2.png		ppo_6_std_2.png
ppo_6_vl.png		ppo_6_vl.png
ppo_6_vl_2.png		ppo_6_vl_2.png
ppo_explained_var.png		ppo_explained_var.png
ppo_explained_var_2.png		ppo_explained_var_2.png
requirements.txt		requirements.txt

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