论文标题
加密货币交易的深度强化学习：解决过度拟合的实用方法
Deep Reinforcement Learning for Cryptocurrency Trading: Practical Approach to Address Backtest Overfitting
论文作者
论文摘要
在高度波动的加密货币市场中，设计有利可图且可靠的交易策略是具有挑战性的。现有作品采用了深入的强化学习方法，并乐观地报告了对回测的利润增加，这可能会因过度拟合而造成的假积极问题。在本文中，我们提出了一种实用方法，以解决使用深度强化学习的重量拟合的回次测试。首先，我们将过度拟合的检测作为假设检测。然后，我们训练DRL代理，估计过度拟合的可能性，并拒绝过度拟合的代理商，从而增加了良好交易绩效的机会。 Finally, on 10 cryptocurrencies over a testing period from 05/01/2022 to 06/27/2022 (during which the crypto market crashed two times), we show that the less overfitted deep reinforcement learning agents have a higher return than that of more overfitted agents, an equal weight strategy, and the S&P DBM Index (market benchmark), offering confidence in possible deployment to a real market.
Designing profitable and reliable trading strategies is challenging in the highly volatile cryptocurrency market. Existing works applied deep reinforcement learning methods and optimistically reported increased profits in backtesting, which may suffer from the false positive issue due to overfitting. In this paper, we propose a practical approach to address backtest overfitting for cryptocurrency trading using deep reinforcement learning. First, we formulate the detection of backtest overfitting as a hypothesis test. Then, we train the DRL agents, estimate the probability of overfitting, and reject the overfitted agents, increasing the chance of good trading performance. Finally, on 10 cryptocurrencies over a testing period from 05/01/2022 to 06/27/2022 (during which the crypto market crashed two times), we show that the less overfitted deep reinforcement learning agents have a higher return than that of more overfitted agents, an equal weight strategy, and the S&P DBM Index (market benchmark), offering confidence in possible deployment to a real market.
