In [1]:
# Basic imports
import os
import pandas as pd
import matplotlib.pyplot as plt
import numpy as np
import datetime as dt
import scipy.optimize as spo
import sys
from time import time
from sklearn.metrics import r2_score, median_absolute_error
from multiprocessing import Pool
import pickle
%matplotlib inline
%pylab inline
pylab.rcParams['figure.figsize'] = (20.0, 10.0)
%load_ext autoreload
%autoreload 2
sys.path.append('../../')
import recommender.simulator as sim
from utils.analysis import value_eval
from recommender.agent import Agent
from functools import partial
Populating the interactive namespace from numpy and matplotlib
In [2]:
def show_results(results_list, data_in_df, symbol, graph=False):
for values in results_list:
total_value = values.sum(axis=1)
print('Sharpe ratio: {}\nCum. Ret.: {}\nAVG_DRET: {}\nSTD_DRET: {}\nFinal value: {}'.format(*value_eval(pd.DataFrame(total_value))))
print('-'*100)
initial_date = total_value.index[0]
compare_results = data_in_df.loc[initial_date:, 'Close'].copy()
compare_results.name = symbol
compare_results_df = pd.DataFrame(compare_results)
compare_results_df['portfolio'] = total_value
std_comp_df = compare_results_df / compare_results_df.iloc[0]
if graph:
plt.figure()
std_comp_df.plot()
In [3]:
raw_data_df = pd.read_pickle('../../data/data_df.pkl')
In [4]:
close_df = raw_data_df.unstack().loc[:,(slice(None), 'Close')]
close_df.columns = close_df.columns.droplevel('feature')
missing_df = close_df.isnull().sum() / close_df.shape[0]
good_close = list(close_df.loc[:,missing_df < 0.001].columns)
len(good_close)
Out[4]:
279
In [5]:
volume_df = raw_data_df.unstack().loc[:,(slice(None), 'Volume')]
volume_df.columns = volume_df.columns.droplevel('feature')
missing_df = volume_df.isnull().sum() / volume_df.shape[0]
good_volume = list(volume_df.loc[:,missing_df < 0.001].columns)
len(good_volume)
Out[5]:
279
In [6]:
good_symbols = list(set(good_close).intersection(good_volume))
good_symbols
Out[6]:
['CSX',
'DTE',
'OKE',
'EOG',
'NSC',
'HD',
'BBY',
'JNJ',
'AJG',
'EIX',
'RF',
'EFX',
'GLW',
'JWN',
'PAYX',
'EMR',
'UNM',
'CNP',
'CHD',
'ORCL',
'SYY',
'CAH',
'TMO',
'AZO',
'HCP',
'HOLX',
'AAPL',
'AIG',
'MSFT',
'ADBE',
'FOXA',
'COST',
'VFC',
'FISV',
'CHK',
'JEC',
'NEM',
'CLX',
'TWX',
'VMC',
'MKC',
'SPLS',
'TGNA',
'ALK',
'LEN',
'MOS',
'AXP',
'LEG',
'BMY',
'TMK',
'LRCX',
'EXC',
'UHS',
'WDC',
'ZION',
'PCG',
'ITW',
'CELG',
'EQT',
'PBCT',
'FOX',
'SCG',
'M',
'WMT',
'WFM',
'PDCO',
'FDX',
'PCAR',
'PPG',
'RHI',
'XRX',
'DOW',
'TSS',
'AES',
'T',
'IPG',
'JBHT',
'AN',
'MCD',
'MRK',
'PH',
'AET',
'CINF',
'APA',
'BF.B',
'NUE',
'UNH',
'MUR',
'XEL',
'LNC',
'ROK',
'BCR',
'CVS',
'TIF',
'PNC',
'BDX',
'MMC',
'ROP',
'DOV',
'CMI',
'BAX',
'MMM',
'GPS',
'SNPS',
'KIM',
'HOG',
'BK',
'HAS',
'IR',
'OXY',
'GWW',
'PGR',
'SWKS',
'SYK',
'UNP',
'FMC',
'AMGN',
'LUK',
'FAST',
'PPL',
'CERN',
'IDXX',
'KLAC',
'SBUX',
'MRO',
'STZ',
'MHK',
'IBM',
'TXN',
'VRTX',
'XOM',
'WY',
'ESRX',
'CMCSA',
'BIIB',
'KMB',
'STT',
'XRAY',
'KR',
'REGN',
'SLB',
'WEC',
'PKI',
'PNW',
'DVN',
'APH',
'BEN',
'HES',
'KSS',
'COO',
'IFF',
'K',
'CMS',
'CMA',
'ED',
'TROW',
'PFE',
'CI',
'MO',
'AEP',
'TRV',
'VLO',
'SRE',
'FRT',
'OMC',
'KO',
'AMD',
'CPB',
'SPGI',
'VNO',
'R',
'AMAT',
'CTAS',
'ADSK',
'BHI',
'GD',
'HRB',
'HAL',
'LLY',
'HPQ',
'INTC',
'UTX',
'WHR',
'MAS',
'MSI',
'USB',
'ADM',
'AME',
'FL',
'SIG',
'NOC',
'BA',
'MTB',
'PHM',
'EA',
'ETR',
'PG',
'COG',
'CL',
'D',
'TAP',
'QCOM',
'ARNC',
'WFC',
'ABT',
'F',
'CAG',
'WMB',
'PX',
'LOW',
'CSCO',
'GE',
'IP',
'SYMC',
'C',
'ROST',
'XLNX',
'ADP',
'LH',
'NKE',
'NI',
'RJF',
'HRS',
'DE',
'ES',
'STI',
'TXT',
'TJX',
'PSA',
'BAC',
'RRC',
'HBAN',
'SWK',
'HON',
'GIS',
'UDR',
'SNA',
'LUV',
'PEP',
'DD',
'TSO',
'DHR',
'GPC',
'HCN',
'FITB',
'VZ',
'KEY',
'DIS',
'NTRS',
'EXPD',
'CA',
'CAT',
'LB',
'ECL',
'LNT',
'APC',
'BBBY',
'PVH',
'TGT',
'DUK',
'CTL',
'AFL',
'SPY',
'APD',
'BLL',
'BBT',
'CCL',
'GILD',
'COP',
'HSY',
'AVY',
'HRL',
'L',
'SO',
'HP',
'PEG',
'SHW',
'DHI',
'TSN']
In [7]:
'SPY' in good_symbols
Out[7]:
True
In [8]:
good_symbols.remove('SPY')
'SPY' in good_symbols
Out[8]:
False
In [9]:
n_syms = 20
STARTING_DAYS_AHEAD = 252
POSSIBLE_FRACTIONS = [0.0, 1.0]
# Get the global data
total_data_train_df = pd.read_pickle('../../data/data_train_val_df.pkl').stack(level='feature')
total_data_test_df = pd.read_pickle('../../data/data_test_df.pkl').stack(level='feature')
np.random.seed(2017)
random_symbols = np.random.choice(good_symbols, size=n_syms, replace=False)
# random_symbols = ['SPY'] # debugging
print('Testing with these symbols:\n{}'.format(random_symbols))
# Results holder
results_df = pd.DataFrame(columns=['sharpe',
'sharpe_bench',
'cum_ret',
'cum_ret_bench',
'sharpe_quotient',
'cum_ret_quotient',])
for symbol in random_symbols:
# Set the environment
data_train_df = total_data_train_df[symbol].unstack()
data_test_df = total_data_test_df[symbol].unstack()
data_in_df = data_train_df
env, num_states, num_actions = sim.initialize_env(total_data_train_df,
symbol,
starting_days_ahead=STARTING_DAYS_AHEAD,
possible_fractions=POSSIBLE_FRACTIONS,
n_levels=10)
# Create the Agent
agent = Agent(num_states=num_states,
num_actions=num_actions,
random_actions_rate=0.98,
random_actions_decrease=0.9999,
dyna_iterations=0,
name='Agent_0')
# Train
print('Training: {}'.format(symbol))
n_epochs = 7
for i in range(n_epochs):
tic = time()
env.reset(STARTING_DAYS_AHEAD)
results_list = sim.simulate_period(total_data_train_df,
symbol,
agent,
starting_days_ahead=STARTING_DAYS_AHEAD,
possible_fractions=POSSIBLE_FRACTIONS,
verbose=False,
other_env=env)
toc = time()
print('Epoch: {}'.format(i))
print('Elapsed time: {} seconds.'.format((toc-tic)))
print('Random Actions Rate: {}'.format(agent.random_actions_rate))
show_results([results_list], data_in_df, symbol)
# Test
print('-'*100)
print('Testing: {}'.format(symbol))
TEST_DAYS_AHEAD = 20
env.set_test_data(total_data_test_df, TEST_DAYS_AHEAD)
tic = time()
results_list = sim.simulate_period(total_data_test_df,
symbol,
agent,
learn=False,
starting_days_ahead=TEST_DAYS_AHEAD,
possible_fractions=POSSIBLE_FRACTIONS,
verbose=False,
other_env=env)
toc = time()
# Show results
print('Elapsed time: {} seconds.'.format((toc-tic)))
print('Random Actions Rate: {}'.format(agent.random_actions_rate))
show_results([results_list], data_test_df, symbol, graph=False)
print('-'*100)
# Save some results
total_value = results_list.sum(axis=1)
sharpe, cumret, _, _, _ = value_eval(pd.DataFrame(total_value))
sharpe_bench, cumret_bench, _, _, _ = value_eval(pd.DataFrame(data_test_df['Close'].iloc[TEST_DAYS_AHEAD:]))
sharpe_q = sharpe / sharpe_bench
cumret_q = cumret / cumret_bench
results_df = results_df.append(pd.DataFrame({symbol: {'sharpe': sharpe,
'sharpe_bench': sharpe_bench,
'cum_ret': cumret,
'cum_ret_bench': cumret_bench,
'sharpe_quotient': sharpe_q,
'cum_ret_quotient': cumret_q}}).T)
Testing with these symbols:
['BCR' 'CERN' 'DHI' 'ALK' 'GE' 'PCG' 'SRE' 'VZ' 'KMB' 'STT' 'CA' 'IBM'
'COG' 'RJF' 'SWKS' 'VLO' 'CAT' 'HD' 'FMC' 'EFX']
Training: BCR
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3393588066101074s. Value: 15340.559999999985..Epoch: 0
Elapsed time: 164.03134417533875 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.2004941795235722
Cum. Ret.: 0.5084959999999987
AVG_DRET: 0.0001383111767000226
STD_DRET: 0.010951050388351478
Final value: 15084.959999999988
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.34416961669921875s. Value: 175071.85000000018.Epoch: 1
Elapsed time: 156.78265380859375 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.8737149915026265
Cum. Ret.: 16.51028100000002
AVG_DRET: 0.0006030856865711331
STD_DRET: 0.01095745016245427
Final value: 175102.8100000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3434591293334961s. Value: 244421.4699999997.2.Epoch: 2
Elapsed time: 152.9917676448822 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.9967638799369324
Cum. Ret.: 23.14655099999997
AVG_DRET: 0.0006590130989511996
STD_DRET: 0.010495473234859972
Final value: 241465.50999999972
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3607289791107178s. Value: 406438.29000000015..Epoch: 3
Elapsed time: 158.1453242301941 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.258756359617574
Cum. Ret.: 39.538361000000016
AVG_DRET: 0.0007466829162157156
STD_DRET: 0.009416614848932902
Final value: 405383.61000000016
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.34056997299194336s. Value: 446285.2599999996..Epoch: 4
Elapsed time: 184.75860714912415 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.3369868703517875
Cum. Ret.: 43.62852599999996
AVG_DRET: 0.0007615781634247993
STD_DRET: 0.009042481129956738
Final value: 446285.2599999996
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3983488082885742s. Value: 967084.2800000003...Epoch: 5
Elapsed time: 175.71298360824585 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.8087243472799297
Cum. Ret.: 95.70842800000003
AVG_DRET: 0.0008992710339292833
STD_DRET: 0.007892570873827854
Final value: 967084.2800000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3435084819793701s. Value: 668731.9500000001...Epoch: 6
Elapsed time: 172.39812231063843 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.6707412348406745
Cum. Ret.: 65.87319500000001
AVG_DRET: 0.0008290478105966166
STD_DRET: 0.007877177935446357
Final value: 668731.9500000001
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: BCR
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.3484961986541748s. Value: 10608.030000000002.Elapsed time: 13.499679327011108 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 0.45347209680819056
Cum. Ret.: 0.06080300000000016
AVG_DRET: 0.00013335580820889037
STD_DRET: 0.00466833095429889
Final value: 10608.030000000002
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: CERN
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5297777652740479s. Value: 120139.55000000015..Epoch: 0
Elapsed time: 174.2577829360962 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.5228043783246447
Cum. Ret.: 11.249124000000014
AVG_DRET: 0.0006970643217498218
STD_DRET: 0.02116576202834379
Final value: 122491.24000000015
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.34706950187683105s. Value: 143324.7400000001..Epoch: 1
Elapsed time: 158.02629351615906 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.21904399845011807
Cum. Ret.: 13.202394000000012
AVG_DRET: 0.3957476954399125
STD_DRET: 28.680538836110927
Final value: 142023.94000000012
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.33438992500305176s. Value: 518525.45.00000006.Epoch: 2
Elapsed time: 144.5947675704956 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.7563962714444005
Cum. Ret.: 50.852545
AVG_DRET: 0.0009370524391442448
STD_DRET: 0.019665943471677157
Final value: 518525.45
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.32947707176208496s. Value: 6717421.369999995..Epoch: 3
Elapsed time: 143.31350255012512 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 0.2187678558951371
Cum. Ret.: 670.7421369999995
AVG_DRET: 22.257353154556053
STD_DRET: 1615.066008172271
Final value: 6717421.369999995
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.40180349349975586s. Value: 1912152.0899999985.Epoch: 4
Elapsed time: 163.1617546081543 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.0895534708010348
Cum. Ret.: 189.6003709999998
AVG_DRET: 0.0011336686837521421
STD_DRET: 0.01651725493093028
Final value: 1906003.709999998
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.32921814918518066s. Value: 4672611.630000003..Epoch: 5
Elapsed time: 175.86679196357727 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.2556799492598654
Cum. Ret.: 466.2611630000003
AVG_DRET: 0.0013011995725734518
STD_DRET: 0.0164499742651243
Final value: 4672611.630000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3503262996673584s. Value: 3679506.8800000013..Epoch: 6
Elapsed time: 149.5652050971985 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.3534680265569277
Cum. Ret.: 366.9506880000001
AVG_DRET: 0.0012227806289521073
STD_DRET: 0.0143417061447296
Final value: 3679506.8800000013
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: CERN
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.21579241752624512s. Value: 9722.77.Elapsed time: 12.056159973144531 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: -0.0509184257784361
Cum. Ret.: -0.018542999999999865
AVG_DRET: -1.976416332029623e-05
STD_DRET: 0.006161745209206407
Final value: 9814.570000000002
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: DHI
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.327317476272583s. Value: 244565.22999999978...Epoch: 0
Elapsed time: 155.326518535614 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.6024751031882378
Cum. Ret.: 23.81955999999998
AVG_DRET: 0.0008726389818667436
STD_DRET: 0.02299300719457595
Final value: 248195.5999999998
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.32627129554748535s. Value: 383514.00999999983.Epoch: 1
Elapsed time: 144.12605214118958 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.6872542009905053
Cum. Ret.: 37.12089799999998
AVG_DRET: 0.0009120735184227966
STD_DRET: 0.021067485978345412
Final value: 381208.9799999998
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3458137512207031s. Value: 1631130.4800000018..Epoch: 2
Elapsed time: 161.22495436668396 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.9348268909213552
Cum. Ret.: 162.1131560000002
AVG_DRET: 0.0011586663526886338
STD_DRET: 0.019675576632317546
Final value: 1631131.5600000022
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.35519909858703613s. Value: 8558797.019999998..Epoch: 3
Elapsed time: 154.82897686958313 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.229294324739617
Cum. Ret.: 851.1007869999997
AVG_DRET: 0.001454699987637041
STD_DRET: 0.018785286755366285
Final value: 8521007.869999997
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3564176559448242s. Value: 37846401.59999999...Epoch: 4
Elapsed time: 152.18810653686523 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.7017470083694277
Cum. Ret.: 3766.9300129999997
AVG_DRET: 0.0016848129746938195
STD_DRET: 0.015716541112533403
Final value: 37679300.129999995
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3081858158111572s. Value: 39168923.87999998...Epoch: 5
Elapsed time: 139.48237133026123 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.6242486651135513
Cum. Ret.: 3900.1707319999987
AVG_DRET: 0.0017058866363260689
STD_DRET: 0.016672392232275835
Final value: 39011707.319999985
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.30115175247192383s. Value: 55900210.659999944.Epoch: 6
Elapsed time: 132.8481092453003 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.7603338713121968
Cum. Ret.: 5564.339694999996
AVG_DRET: 0.0017631675974629077
STD_DRET: 0.015900062114251396
Final value: 55653396.94999996
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: DHI
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.18651580810546875s. Value: 9017.68.000000002..Elapsed time: 8.993638515472412 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: -0.36655106707442936
Cum. Ret.: -0.09823199999999999
AVG_DRET: -0.00018304191581423678
STD_DRET: 0.007927136471496716
Final value: 9017.68
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: ALK
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3221466541290283s. Value: 7775.679999999999...Epoch: 0
Elapsed time: 133.23522472381592 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.11501165827179373
Cum. Ret.: -0.19051899999999977
AVG_DRET: 0.0001358071028141078
STD_DRET: 0.018744803390619205
Final value: 8094.810000000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.30588316917419434s. Value: 460300.27999999945.Epoch: 1
Elapsed time: 133.3089838027954 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.7611396812455448
Cum. Ret.: 45.83035899999994
AVG_DRET: 0.0009109130768985051
STD_DRET: 0.018998216964798725
Final value: 468303.5899999994
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5426003932952881s. Value: 455006.62000000046..Epoch: 2
Elapsed time: 142.75427103042603 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.7833491117022028
Cum. Ret.: 44.733102000000045
AVG_DRET: 0.0008843965886091294
STD_DRET: 0.01792222700345529
Final value: 457331.0200000005
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.381636381149292s. Value: 14972945.659999978.8.Epoch: 3
Elapsed time: 187.05202388763428 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.6289094569168576
Cum. Ret.: 1556.186245999998
AVG_DRET: 0.0015017122284386806
STD_DRET: 0.014634909559995872
Final value: 15571862.459999979
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3496251106262207s. Value: 2103965.7799999984..Epoch: 4
Elapsed time: 158.91630482673645 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.1884556540400988
Cum. Ret.: 210.47147799999985
AVG_DRET: 0.0011298305122603369
STD_DRET: 0.015091436768036308
Final value: 2114714.7799999984
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.35186266899108887s. Value: 2183397.410000001..Epoch: 5
Elapsed time: 151.17569947242737 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.2819644852273395
Cum. Ret.: 218.5325950000001
AVG_DRET: 0.0011184511537312143
STD_DRET: 0.013849729725490638
Final value: 2195325.950000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3152294158935547s. Value: 4729429.260000005...Epoch: 6
Elapsed time: 140.16450428962708 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.514208415851164
Cum. Ret.: 474.3591860000005
AVG_DRET: 0.0012558892296060788
STD_DRET: 0.013166366826383244
Final value: 4753591.860000005
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: ALK
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.19117379188537598s. Value: 8905.330000000004..Elapsed time: 9.068003416061401 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: -0.2752290121669751
Cum. Ret.: -0.10746699999999965
AVG_DRET: -0.00018139199350971903
STD_DRET: 0.01046222781965595
Final value: 8925.330000000004
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: GE
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.30475473403930664s. Value: 14495.500000000098.Epoch: 0
Elapsed time: 133.72690796852112 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.18845202714597717
Cum. Ret.: 0.4422570000000099
AVG_DRET: 0.0001538299487099769
STD_DRET: 0.012958070909955976
Final value: 14422.570000000098
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.30808162689208984s. Value: 97876.42000000035..Epoch: 1
Elapsed time: 133.63290452957153 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.6372253698971363
Cum. Ret.: 8.670431000000034
AVG_DRET: 0.0005123806082264245
STD_DRET: 0.012764385067072585
Final value: 96704.31000000035
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3040771484375s. Value: 84820.85000000008.009..Epoch: 2
Elapsed time: 134.32482862472534 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.6727636500945117
Cum. Ret.: 7.465700000000007
AVG_DRET: 0.0004659237481517029
STD_DRET: 0.010993920679471792
Final value: 84657.00000000007
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.30933427810668945s. Value: 610591.3300000007..Epoch: 3
Elapsed time: 133.59794235229492 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.2690806306535085
Cum. Ret.: 59.22617800000006
AVG_DRET: 0.0008315222897371856
STD_DRET: 0.010401235989798568
Final value: 602261.7800000006
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3186037540435791s. Value: 574580.7600000007...Epoch: 4
Elapsed time: 133.57246279716492 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.3216318425131415
Cum. Ret.: 56.25582600000007
AVG_DRET: 0.0008159699400965563
STD_DRET: 0.009800854380269487
Final value: 572558.2600000007
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3173556327819824s. Value: 950386.0400000004...Epoch: 5
Elapsed time: 133.15556073188782 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.5701767417108754
Cum. Ret.: 94.03860400000003
AVG_DRET: 0.0009061454261710537
STD_DRET: 0.009161142382079811
Final value: 950386.0400000004
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3068385124206543s. Value: 1913884.7499999998..Epoch: 6
Elapsed time: 133.46826934814453 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 2.024112515580241
Cum. Ret.: 190.38847499999997
AVG_DRET: 0.001029664105121886
STD_DRET: 0.008075347003033884
Final value: 1913884.7499999998
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: GE
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.19180059432983398s. Value: 11041.839999999995.Elapsed time: 9.072888135910034 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 0.6887840609290514
Cum. Ret.: 0.10418399999999939
AVG_DRET: 0.00021817708396217896
STD_DRET: 0.00502835944105835
Final value: 11041.839999999995
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: PCG
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.34767818450927734s. Value: 3931.689999999998..Epoch: 0
Elapsed time: 157.46039605140686 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: -0.056426941370307494
Cum. Ret.: -0.5999690000000002
AVG_DRET: -5.34761451142251e-05
STD_DRET: 0.015044364724800644
Final value: 4000.3099999999977
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4743309020996094s. Value: 29071.659999999938..Epoch: 1
Elapsed time: 168.14435982704163 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.3392921673682016
Cum. Ret.: 1.9055309999999936
AVG_DRET: 0.0003147293871858573
STD_DRET: 0.014725285795481829
Final value: 29055.309999999936
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.34975576400756836s. Value: 259968.1100000014..Epoch: 2
Elapsed time: 154.69670820236206 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.9322920477891322
Cum. Ret.: 24.49875500000014
AVG_DRET: 0.0006800971082675812
STD_DRET: 0.011580284226068018
Final value: 254987.5500000014
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4162294864654541s. Value: 179741.1499999998...Epoch: 3
Elapsed time: 158.05984020233154 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 0.8223718627113641
Cum. Ret.: 16.97411499999998
AVG_DRET: 0.0006227959508179466
STD_DRET: 0.012022030019142073
Final value: 179741.1499999998
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.36093997955322266s. Value: 1354626.240000002..Epoch: 4
Elapsed time: 156.34453511238098 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.522161165444157
Cum. Ret.: 131.9920730000002
AVG_DRET: 0.0009788523027879899
STD_DRET: 0.010208379331570573
Final value: 1329920.730000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3482396602630615s. Value: 1221582.0799999991..Epoch: 5
Elapsed time: 150.33990716934204 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.5565461111093688
Cum. Ret.: 121.15820799999992
AVG_DRET: 0.0009583652942909068
STD_DRET: 0.009773933001092347
Final value: 1221582.0799999991
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3486449718475342s. Value: 1373246.390000001...Epoch: 6
Elapsed time: 151.34638476371765 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.599598967085045
Cum. Ret.: 136.3246390000001
AVG_DRET: 0.0009801404801047476
STD_DRET: 0.009726967872417018
Final value: 1373246.390000001
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: PCG
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.2079005241394043s. Value: 9737.999999999998.7.Elapsed time: 10.007428407669067 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: -0.13479360103198867
Cum. Ret.: -0.026200000000000223
AVG_DRET: -4.252403389538718e-05
STD_DRET: 0.005008013031884612
Final value: 9737.999999999998
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SRE
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.37008190155029297s. Value: 20199.200000000033.Epoch: 0
Elapsed time: 154.04480504989624 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.28247128718112374
Cum. Ret.: 0.9929700000000032
AVG_DRET: 0.0001851093305188249
STD_DRET: 0.01040289635377562
Final value: 19929.700000000033
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3397688865661621s. Value: 47007.59000000016...Epoch: 1
Elapsed time: 164.28592109680176 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.5390216677964649
Cum. Ret.: 3.7118250000000153
AVG_DRET: 0.00034643755756267306
STD_DRET: 0.01020279157834777
Final value: 47118.25000000015
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.363436222076416s. Value: 157266.21999999997.5.Epoch: 2
Elapsed time: 161.5652792453766 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 1.0010408560588546
Cum. Ret.: 15.115130999999998
AVG_DRET: 0.0005683329465115998
STD_DRET: 0.009012624984803985
Final value: 161151.30999999997
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3896749019622803s. Value: 226866.19000000006..Epoch: 3
Elapsed time: 162.36222386360168 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.1947850659335555
Cum. Ret.: 22.247069000000003
AVG_DRET: 0.0006330276657312701
STD_DRET: 0.008410720007987477
Final value: 232470.69000000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3371310234069824s. Value: 549921.66.0000001...Epoch: 4
Elapsed time: 157.51477885246277 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.6399719608262484
Cum. Ret.: 55.35088600000001
AVG_DRET: 0.0007952822403013039
STD_DRET: 0.007698128066348642
Final value: 563508.8600000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.34662437438964844s. Value: 830044.4900000012..Epoch: 5
Elapsed time: 156.3429718017578 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.9529395064701522
Cum. Ret.: 82.19798300000012
AVG_DRET: 0.0008642075737542005
STD_DRET: 0.007024728560358212
Final value: 831979.8300000012
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.37285828590393066s. Value: 1162860.0500000007.Epoch: 6
Elapsed time: 159.00321888923645 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 2.2629315678502153
Cum. Ret.: 118.15908400000008
AVG_DRET: 0.0009290110053674023
STD_DRET: 0.006517029821929454
Final value: 1191590.8400000008
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SRE
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.22939634323120117s. Value: 9655.979999999987.Elapsed time: 11.422655582427979 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: -0.11873783462830859
Cum. Ret.: -0.034402000000001265
AVG_DRET: -5.0063222587064874e-05
STD_DRET: 0.006693140592152913
Final value: 9655.979999999987
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: VZ
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.39162278175354004s. Value: 24242.63000000002..Epoch: 0
Elapsed time: 164.08562922477722 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.32165059163946425
Cum. Ret.: 1.4056450000000025
AVG_DRET: 0.00023168673161310258
STD_DRET: 0.011434497368039545
Final value: 24056.450000000023
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5717968940734863s. Value: 14558.790000000006..Epoch: 1
Elapsed time: 189.34153723716736 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.18791423642583266
Cum. Ret.: 0.4455090000000006
AVG_DRET: 0.00013143398452828117
STD_DRET: 0.011103202508705896
Final value: 14455.090000000006
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.30528831481933594s. Value: 62818.85000000002..Epoch: 2
Elapsed time: 197.4002468585968 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.6509035499110777
Cum. Ret.: 5.277736000000003
AVG_DRET: 0.00039470563432994477
STD_DRET: 0.009626246005163411
Final value: 62777.36000000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3107874393463135s. Value: 287425.49000000034..Epoch: 3
Elapsed time: 132.1124300956726 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.308142314682086
Cum. Ret.: 27.609581000000034
AVG_DRET: 0.0006698583589336908
STD_DRET: 0.008128834048795826
Final value: 286095.81000000035
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3051762580871582s. Value: 372834.66999999963..Epoch: 4
Elapsed time: 131.74416613578796 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.5059775289253265
Cum. Ret.: 36.258881999999964
AVG_DRET: 0.0007154688446100847
STD_DRET: 0.007541756489569219
Final value: 372588.81999999966
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3049337863922119s. Value: 579086.28.0000002...Epoch: 5
Elapsed time: 131.56693959236145 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.8849000203978237
Cum. Ret.: 56.870427000000014
AVG_DRET: 0.0007928955866271486
STD_DRET: 0.006677716107446423
Final value: 578704.2700000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.31068897247314453s. Value: 682181.16.000002...Epoch: 6
Elapsed time: 131.78726077079773 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.8949703702679594
Cum. Ret.: 67.17314
AVG_DRET: 0.0008255956558945397
STD_DRET: 0.0069161634079270605
Final value: 681731.4
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: VZ
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.18724894523620605s. Value: 9687.45.000000003..Elapsed time: 9.066159725189209 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: -0.16670458539442087
Cum. Ret.: -0.03125499999999992
AVG_DRET: -5.308219363699676e-05
STD_DRET: 0.005054772179552856
Final value: 9687.45
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: KMB
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.32122206687927246s. Value: 20152.660000000054.Epoch: 0
Elapsed time: 131.61019897460938 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.2926577061320259
Cum. Ret.: 1.020366000000005
AVG_DRET: 0.00018222958057519494
STD_DRET: 0.009884601873508881
Final value: 20203.66000000005
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.30420660972595215s. Value: 64427.7800000001...Epoch: 1
Elapsed time: 132.39992380142212 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.6599066650996357
Cum. Ret.: 5.41051400000001
AVG_DRET: 0.0003988408713654521
STD_DRET: 0.009594390971898712
Final value: 64105.1400000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3171095848083496s. Value: 151892.26999999976..Epoch: 2
Elapsed time: 131.68878722190857 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.8219162244190658
Cum. Ret.: 13.928347999999978
AVG_DRET: 0.0005917932118944745
STD_DRET: 0.011429906988554228
Final value: 149283.47999999978
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.31191372871398926s. Value: 224135.13000000015.Epoch: 3
Elapsed time: 132.16009998321533 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.306435365377542
Cum. Ret.: 21.413513000000016
AVG_DRET: 0.0006187323375229909
STD_DRET: 0.007518222194144772
Final value: 224135.13000000015
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3101024627685547s. Value: 521271.5500000005.4.Epoch: 4
Elapsed time: 132.17631673812866 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.7113913242271184
Cum. Ret.: 51.12715500000005
AVG_DRET: 0.0007768771437829554
STD_DRET: 0.0072061498475626045
Final value: 521271.5500000005
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.30985093116760254s. Value: 756075.8699999988..Epoch: 5
Elapsed time: 132.72347044944763 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.9997582632654531
Cum. Ret.: 74.60758699999988
AVG_DRET: 0.000843977060620191
STD_DRET: 0.006699670022109774
Final value: 756075.8699999988
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3116114139556885s. Value: 938315.6299999995...Epoch: 6
Elapsed time: 131.6667366027832 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 2.114664846554982
Cum. Ret.: 92.83156299999996
AVG_DRET: 0.0008845967994338907
STD_DRET: 0.006640550569548341
Final value: 938315.6299999995
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: KMB
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.19307994842529297s. Value: 10185.319999999994.Elapsed time: 9.060987949371338 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 0.14945288986493063
Cum. Ret.: 0.018531999999999327
AVG_DRET: 5.548341009046852e-05
STD_DRET: 0.005893307454483843
Final value: 10185.319999999994
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: STT
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3023674488067627s. Value: 48338.960000000094..Epoch: 0
Elapsed time: 131.97994470596313 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.39913032384324365
Cum. Ret.: 3.765557000000009
AVG_DRET: 0.0004658068241260729
STD_DRET: 0.01852641518841469
Final value: 47655.570000000094
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3132343292236328s. Value: 96859.29000000005...Epoch: 1
Elapsed time: 132.04993772506714 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.5249460719663471
Cum. Ret.: 8.685929000000005
AVG_DRET: 0.0006365683790254364
STD_DRET: 0.019249995913829174
Final value: 96859.29000000005
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3160572052001953s. Value: 553477.8500000004...Epoch: 2
Elapsed time: 131.98453760147095 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.8312775383559523
Cum. Ret.: 54.820286000000046
AVG_DRET: 0.0009485496591111096
STD_DRET: 0.018113997227687407
Final value: 558202.8600000005
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.319019079208374s. Value: 2228452.040000003....Epoch: 3
Elapsed time: 132.14246273040771 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.2583322337391094
Cum. Ret.: 221.12393800000027
AVG_DRET: 0.0011242181839968151
STD_DRET: 0.014182590199063013
Final value: 2221239.3800000027
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.304302453994751s. Value: 2988598.629999998.8..Epoch: 4
Elapsed time: 131.48081851005554 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.3196273188206205
Cum. Ret.: 297.8598629999998
AVG_DRET: 0.0011792633200737135
STD_DRET: 0.014185993715091568
Final value: 2988598.629999998
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.31467413902282715s. Value: 7664748.570000007..Epoch: 5
Elapsed time: 131.88396859169006 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.5449360088394548
Cum. Ret.: 765.4748570000007
AVG_DRET: 0.0013544038800817526
STD_DRET: 0.013916754432291739
Final value: 7664748.570000007
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.41344428062438965s. Value: 5874488.4700000025.Epoch: 6
Elapsed time: 133.48652005195618 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.5999530032332356
Cum. Ret.: 586.4488470000002
AVG_DRET: 0.0012894586968300581
STD_DRET: 0.012793827184201743
Final value: 5874488.4700000025
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: STT
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.28856611251831055s. Value: 11015.000000000005.Elapsed time: 14.155029058456421 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 0.47237123583953844
Cum. Ret.: 0.10150000000000059
AVG_DRET: 0.0002306687919019691
STD_DRET: 0.007751855476699252
Final value: 11015.000000000005
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: CA
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.36722230911254883s. Value: 20166.38999999994..Epoch: 0
Elapsed time: 168.08887648582458 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.2723323227182103
Cum. Ret.: 1.019858999999994
AVG_DRET: 0.00035206333677599626
STD_DRET: 0.020522103852138467
Final value: 20198.589999999942
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.34555578231811523s. Value: 48051.08000000002..Epoch: 1
Elapsed time: 164.66343760490417 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.40447232460501353
Cum. Ret.: 3.752068000000002
AVG_DRET: 0.0004901623445266706
STD_DRET: 0.019237622751060147
Final value: 47520.68000000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5003483295440674s. Value: 381174.48999999923..Epoch: 2
Elapsed time: 180.20509815216064 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.8034678476488482
Cum. Ret.: 37.11744899999992
AVG_DRET: 0.000821600256005634
STD_DRET: 0.016232758740941704
Final value: 381174.48999999923
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5407359600067139s. Value: 1032129.539999999...Epoch: 3
Elapsed time: 231.29626965522766 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.138545807308539
Cum. Ret.: 102.2129539999999
AVG_DRET: 0.0009720749660280685
STD_DRET: 0.013553439480322298
Final value: 1032129.539999999
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.39006614685058594s. Value: 1425899.8900000004.Epoch: 4
Elapsed time: 231.9570758342743 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.3141878843152406
Cum. Ret.: 141.58998900000003
AVG_DRET: 0.0010165002207640419
STD_DRET: 0.012278640629160396
Final value: 1425899.8900000004
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3857712745666504s. Value: 334854.8..00000001..Epoch: 5
Elapsed time: 189.22295022010803 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 0.9498506583431646
Cum. Ret.: 32.485479999999995
AVG_DRET: 0.0007524095958195694
STD_DRET: 0.012574747348617427
Final value: 334854.8
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.3889775276184082s. Value: 685801.9399999997...Epoch: 6
Elapsed time: 177.90640306472778 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.3517998357144962
Cum. Ret.: 67.58019399999998
AVG_DRET: 0.0008522830943418526
STD_DRET: 0.010008563640908992
Final value: 685801.9399999997
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: CA
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.2640819549560547s. Value: 10327.26.Elapsed time: 13.142389297485352 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 0.2301412031804294
Cum. Ret.: 0.03272600000000003
AVG_DRET: 8.34108115146139e-05
STD_DRET: 0.00575344860125901
Final value: 10327.26
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: IBM
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4223177433013916s. Value: 30613.019999999895..Epoch: 0
Elapsed time: 186.5766088962555 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.3602787370339712
Cum. Ret.: 2.0338969999999894
AVG_DRET: 0.0002946012381637946
STD_DRET: 0.012980643018734963
Final value: 30338.969999999892
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5018439292907715s. Value: 117327.19000000008..Epoch: 1
Elapsed time: 195.5897650718689 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.7044791825209761
Cum. Ret.: 10.757035000000009
AVG_DRET: 0.0005429613352065224
STD_DRET: 0.012234916518095384
Final value: 117570.3500000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5215818881988525s. Value: 150027.69000000026..Epoch: 2
Elapsed time: 180.8045425415039 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.8151791167453891
Cum. Ret.: 13.842917000000025
AVG_DRET: 0.0005746876778592292
STD_DRET: 0.01119126321502878
Final value: 148429.17000000025
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4975006580352783s. Value: 537028.2400000002...Epoch: 3
Elapsed time: 183.30253291130066 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.2757049068421027
Cum. Ret.: 52.81425200000004
AVG_DRET: 0.0008075843004560594
STD_DRET: 0.010049348608445512
Final value: 538142.5200000004
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.45028233528137207s. Value: 562624.0199999997..Epoch: 4
Elapsed time: 201.5371425151825 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.4347692163714205
Cum. Ret.: 55.262401999999966
AVG_DRET: 0.000804832788427397
STD_DRET: 0.008904794084813926
Final value: 562624.0199999997
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.460662841796875s. Value: 1357105.6600000013...Epoch: 5
Elapsed time: 222.98859477043152 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.7377217266030875
Cum. Ret.: 133.18086900000011
AVG_DRET: 0.000969580270408466
STD_DRET: 0.008857350054419242
Final value: 1341808.690000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.45555925369262695s. Value: 1734655.210000001..Epoch: 6
Elapsed time: 215.95318579673767 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.9847211263393185
Cum. Ret.: 172.46552100000008
AVG_DRET: 0.0010117850765662324
STD_DRET: 0.008092618123468398
Final value: 1734655.210000001
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: IBM
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.2641458511352539s. Value: 9754.949999999997.Elapsed time: 13.65169644355774 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: -0.12419290435643726
Cum. Ret.: -0.024505000000000332
AVG_DRET: -3.8913848831339966e-05
STD_DRET: 0.004974021684939386
Final value: 9754.949999999997
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: COG
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.6151165962219238s. Value: 22178.38000000007...Epoch: 0
Elapsed time: 220.79025673866272 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.2755184017696659
Cum. Ret.: 1.1978040000000072
AVG_DRET: 0.000324024249466348
STD_DRET: 0.01866926297487029
Final value: 21978.04000000007
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.6515095233917236s. Value: 898668.1099999993...Epoch: 1
Elapsed time: 238.36440467834473 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.9281756351334579
Cum. Ret.: 88.53598599999992
AVG_DRET: 0.0009989796205644662
STD_DRET: 0.017085462324952404
Final value: 895359.8599999993
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.45403242111206055s. Value: 1282469.8800000015.Epoch: 2
Elapsed time: 241.64465141296387 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 1.0570238689751923
Cum. Ret.: 127.16114800000017
AVG_DRET: 0.0010442681808777244
STD_DRET: 0.015682941453378577
Final value: 1281611.4800000016
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.45708799362182617s. Value: 7882437.19000001...Epoch: 3
Elapsed time: 223.76290202140808 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.595636302638296
Cum. Ret.: 787.243719000001
AVG_DRET: 0.001357493860600533
STD_DRET: 0.013505300006677573
Final value: 7882437.19000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.6900091171264648s. Value: 2240605.7500000037..Epoch: 4
Elapsed time: 220.75709438323975 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.3936403919165175
Cum. Ret.: 219.42200800000037
AVG_DRET: 0.0011032668122223405
STD_DRET: 0.012566956146601823
Final value: 2204220.080000004
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4028663635253906s. Value: 6044768.730000002...Epoch: 5
Elapsed time: 212.1062285900116 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.6648217899117617
Cum. Ret.: 603.4768730000002
AVG_DRET: 0.0012910946423607317
STD_DRET: 0.012310922514711045
Final value: 6044768.730000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4060332775115967s. Value: 12145541.180000002..Epoch: 6
Elapsed time: 192.2540407180786 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.8487590315726903
Cum. Ret.: 1213.5541180000002
AVG_DRET: 0.0014227569138032688
STD_DRET: 0.012216608781575128
Final value: 12145541.180000002
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: COG
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.26290082931518555s. Value: 14148.31.Elapsed time: 12.556215524673462 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.1624610981942767
Cum. Ret.: 0.453395
AVG_DRET: 0.0008415128123078982
STD_DRET: 0.011491654885826617
Final value: 14533.95
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: RJF
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.431272029876709s. Value: 37304.65000000003....Epoch: 0
Elapsed time: 188.13112664222717 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.36584947444148247
Cum. Ret.: 2.779517000000003
AVG_DRET: 0.0004088441655369647
STD_DRET: 0.017740082671572358
Final value: 37795.17000000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.44322729110717773s. Value: 512732.1399999989..Epoch: 1
Elapsed time: 188.42655324935913 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.8047145707442172
Cum. Ret.: 50.78598599999989
AVG_DRET: 0.0009067967838144244
STD_DRET: 0.017888271445817425
Final value: 517859.8599999989
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.41805553436279297s. Value: 638660.8300000004..Epoch: 2
Elapsed time: 194.24975514411926 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.900156424270952
Cum. Ret.: 63.37065300000003
AVG_DRET: 0.0009205965101761117
STD_DRET: 0.016234974442798297
Final value: 643706.5300000004
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.41002702713012695s. Value: 8123417.550000001..Epoch: 3
Elapsed time: 189.75811743736267 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.4851042011560809
Cum. Ret.: 821.8897890000001
AVG_DRET: 0.0013815426536633538
STD_DRET: 0.014767522512061027
Final value: 8228897.890000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.47527313232421875s. Value: 15919763.159999996.Epoch: 4
Elapsed time: 198.8208179473877 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.8224557232100609
Cum. Ret.: 1611.6476979999995
AVG_DRET: 0.0014846124210336738
STD_DRET: 0.012931722431491557
Final value: 16126476.979999995
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4111945629119873s. Value: 10129190.169999998..Epoch: 5
Elapsed time: 192.06849718093872 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.7143037593969044
Cum. Ret.: 1022.9371729999998
AVG_DRET: 0.0013986599101828384
STD_DRET: 0.012951635685853854
Final value: 10239371.729999999
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4177975654602051s. Value: 5551189.570000001...Epoch: 6
Elapsed time: 195.61077451705933 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.6965534953883277
Cum. Ret.: 561.3270010000001
AVG_DRET: 0.0012719110259668278
STD_DRET: 0.011901164120046747
Final value: 5623270.010000001
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: RJF
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.27608680725097656s. Value: 11148.489999999996.Elapsed time: 14.100430965423584 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 0.4197357641577052
Cum. Ret.: 0.11356899999999959
AVG_DRET: 0.00027896993834690436
STD_DRET: 0.010550710372894696
Final value: 11135.689999999995
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SWKS
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.41637349128723145s. Value: 56026.890000000036.Epoch: 0
Elapsed time: 189.32997488975525 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.2195202690830774
Cum. Ret.: 4.472756000000003
AVG_DRET: 0.1681619043566709
STD_DRET: 12.16055120871966
Final value: 54727.56000000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.6616532802581787s. Value: 187065.63000000024..Epoch: 1
Elapsed time: 254.97554731369019 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.5272557659023474
Cum. Ret.: 17.375111000000025
AVG_DRET: 0.0009714880809719463
STD_DRET: 0.029249362796626446
Final value: 183751.11000000025
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.6935079097747803s. Value: 1292856.430000002...Epoch: 2
Elapsed time: 262.95614409446716 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.21878447630532868
Cum. Ret.: 126.5136990000002
AVG_DRET: 8.292091035624242
STD_DRET: 601.6554126542142
Final value: 1275136.990000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5374023914337158s. Value: 7822383.490000001...Epoch: 3
Elapsed time: 257.16033911705017 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 0.21876253546082886
Cum. Ret.: 770.5170270000001
AVG_DRET: 43.85264955229781
STD_DRET: 3182.1684129480986
Final value: 7715170.270000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5714404582977295s. Value: 63505372.46999998...Epoch: 4
Elapsed time: 256.0806460380554 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.2493048450974689
Cum. Ret.: 6237.002626999998
AVG_DRET: 0.001954080035478364
STD_DRET: 0.024829855592477117
Final value: 62380026.26999998
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.6501264572143555s. Value: 81915875.11000006...Epoch: 5
Elapsed time: 259.1496727466583 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.5057086612317563
Cum. Ret.: 8078.313765000006
AVG_DRET: 0.0019022218586725009
STD_DRET: 0.020054899487931616
Final value: 80793137.65000007
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.6180253028869629s. Value: 73038386.79000005...Epoch: 6
Elapsed time: 256.0048520565033 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.4543726974436983
Cum. Ret.: 7202.732411000006
AVG_DRET: 0.0018950347093044796
STD_DRET: 0.020684342777340922
Final value: 72037324.11000006
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SWKS
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.3398740291595459s. Value: 8574.41999999999.Elapsed time: 16.86365056037903 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: -0.4005774181458391
Cum. Ret.: -0.14255800000000107
AVG_DRET: -0.00026407338820318556
STD_DRET: 0.010464981020994243
Final value: 8574.41999999999
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: VLO
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5750954151153564s. Value: 8456.350000000006...Epoch: 0
Elapsed time: 259.6611399650574 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.12099407511464158
Cum. Ret.: -0.14271799999999946
AVG_DRET: 0.0001377259037964959
STD_DRET: 0.01806973557301269
Final value: 8572.820000000005
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5412986278533936s. Value: 21278.779999999988..Epoch: 1
Elapsed time: 256.5537965297699 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.2700519507737276
Cum. Ret.: 1.103343999999999
AVG_DRET: 0.0002791378573478495
STD_DRET: 0.016408606194397816
Final value: 21033.43999999999
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5645756721496582s. Value: 208803.7000000004...Epoch: 2
Elapsed time: 254.66558837890625 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.7364606077930484
Cum. Ret.: 20.090020000000038
AVG_DRET: 0.0006906357089284297
STD_DRET: 0.014886745982309662
Final value: 210900.2000000004
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.7106883525848389s. Value: 2270715.1599999997..Epoch: 3
Elapsed time: 257.29550981521606 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.326889539877325
Cum. Ret.: 230.79364999999996
AVG_DRET: 0.0011238858783686988
STD_DRET: 0.013445833041034637
Final value: 2317936.4999999995
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.6474230289459229s. Value: 2982024.8899999973..Epoch: 4
Elapsed time: 271.1909189224243 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.469107069168627
Cum. Ret.: 303.4039029999997
AVG_DRET: 0.0011645088534223715
STD_DRET: 0.012583157036057741
Final value: 3044039.029999997
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5387296676635742s. Value: 4597803.509999999...Epoch: 5
Elapsed time: 266.01679396629333 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.6433013471779758
Cum. Ret.: 468.34198099999986
AVG_DRET: 0.0012400033156111524
STD_DRET: 0.011978595661605074
Final value: 4693419.809999999
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5946063995361328s. Value: 4269840.989999998...Epoch: 6
Elapsed time: 260.23998856544495 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.7581041703421663
Cum. Ret.: 434.8636989999998
AVG_DRET: 0.0012138180068692753
STD_DRET: 0.01095996689130146
Final value: 4358636.989999998
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: VLO
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.38436412811279297s. Value: 11946.060000000003.Elapsed time: 19.174386978149414 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 0.832272809332737
Cum. Ret.: 0.19460600000000028
AVG_DRET: 0.00039757378876030655
STD_DRET: 0.007583196478814408
Final value: 11946.060000000003
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: CAT
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.6437900066375732s. Value: 28564.50000000003...Epoch: 0
Elapsed time: 263.8902657032013 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.33247997486507
Cum. Ret.: 1.8719540000000028
AVG_DRET: 0.00030912439211450024
STD_DRET: 0.01475937790330195
Final value: 28719.54000000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4321625232696533s. Value: 32001.61000000011...Epoch: 1
Elapsed time: 230.07374811172485 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.3636623672366781
Cum. Ret.: 2.2098490000000113
AVG_DRET: 0.00031714258658855905
STD_DRET: 0.013843836863906351
Final value: 32098.490000000114
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5464746952056885s. Value: 51371.5800000002.9..Epoch: 2
Elapsed time: 201.86878061294556 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.5016541820233785
Cum. Ret.: 4.10339400000002
AVG_DRET: 0.0003826653973705877
STD_DRET: 0.012109188118899435
Final value: 51033.940000000206
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4963071346282959s. Value: 179327.84999999995..Epoch: 3
Elapsed time: 195.8453516960144 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 0.9215875120686101
Cum. Ret.: 17.030347999999996
AVG_DRET: 0.0006026374917309429
STD_DRET: 0.010380537363825198
Final value: 180303.47999999998
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.395735502243042s. Value: 490362.80000000045.5.Epoch: 4
Elapsed time: 187.9973340034485 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.2856137389065585
Cum. Ret.: 48.30311200000005
AVG_DRET: 0.000786914446748692
STD_DRET: 0.009716666209331832
Final value: 493031.1200000005
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4091908931732178s. Value: 646699.2399999994...Epoch: 5
Elapsed time: 186.85170888900757 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.4519804743050175
Cum. Ret.: 64.02182399999994
AVG_DRET: 0.0008341509691999064
STD_DRET: 0.009119775614514922
Final value: 650218.2399999994
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4144625663757324s. Value: 1176706.9099999995..Epoch: 6
Elapsed time: 184.5476200580597 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.7166920980288338
Cum. Ret.: 117.31099599999995
AVG_DRET: 0.0009441145629724784
STD_DRET: 0.008730368173702584
Final value: 1183109.9599999995
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: CAT
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.25580692291259766s. Value: 11805.770000000004.Elapsed time: 12.817505359649658 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.0084173207099818
Cum. Ret.: 0.18057700000000043
AVG_DRET: 0.00036037533844405763
STD_DRET: 0.005673029436815424
Final value: 11805.770000000004
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: HD
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4031703472137451s. Value: 33886.17999999991...Epoch: 0
Elapsed time: 184.71874928474426 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.3764662201284291
Cum. Ret.: 2.436609999999991
AVG_DRET: 0.00033300148407070326
STD_DRET: 0.014041723787583754
Final value: 34366.09999999991
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.42086243629455566s. Value: 205677.42999999976.Epoch: 1
Elapsed time: 184.821937084198 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.7660741202362402
Cum. Ret.: 19.605476999999976
AVG_DRET: 0.0006695039619771636
STD_DRET: 0.01387339113832309
Final value: 206054.76999999976
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.40171289443969727s. Value: 356472.4599999999..Epoch: 2
Elapsed time: 190.8470962047577 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 1.0118535494714722
Cum. Ret.: 34.883070999999994
AVG_DRET: 0.0007487407105881325
STD_DRET: 0.011746650793807404
Final value: 358830.7099999999
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4043583869934082s. Value: 929290.4299999996...Epoch: 3
Elapsed time: 191.35291504859924 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.2660205544904375
Cum. Ret.: 92.37257299999996
AVG_DRET: 0.0009279951339996986
STD_DRET: 0.011636040190972152
Final value: 933725.7299999996
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.41974592208862305s. Value: 1209701.0100000005.Epoch: 4
Elapsed time: 183.946959733963 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.5244290759650025
Cum. Ret.: 119.97010100000004
AVG_DRET: 0.0009606502856183025
STD_DRET: 0.010003647107191024
Final value: 1209701.0100000005
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.42151737213134766s. Value: 2563417.2499999977.Epoch: 5
Elapsed time: 188.1864845752716 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.8386722844312509
Cum. Ret.: 255.34172499999977
AVG_DRET: 0.0010982807258282082
STD_DRET: 0.009482204180314115
Final value: 2563417.2499999977
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5312814712524414s. Value: 1415848.9399999985..Epoch: 6
Elapsed time: 196.29424262046814 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.7165502265398427
Cum. Ret.: 140.58489399999985
AVG_DRET: 0.000981635642610241
STD_DRET: 0.009078081427278858
Final value: 1415848.9399999985
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: HD
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.33637523651123047s. Value: 11191.549999999988.Elapsed time: 13.90253233909607 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.0126993227198453
Cum. Ret.: 0.11915499999999879
AVG_DRET: 0.0002406548292502076
STD_DRET: 0.0037723704305008396
Final value: 11191.549999999988
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: FMC
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4346022605895996s. Value: 17116.790000000026..Epoch: 0
Elapsed time: 194.1839644908905 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.2325634256576673
Cum. Ret.: 0.7488070000000024
AVG_DRET: 0.00021118901846330063
STD_DRET: 0.014415515790626651
Final value: 17488.070000000025
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.540388822555542s. Value: 86629.84000000014....Epoch: 1
Elapsed time: 215.27391600608826 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.5913758640110534
Cum. Ret.: 7.558074000000014
AVG_DRET: 0.0004962563515419182
STD_DRET: 0.013321181731809266
Final value: 85580.74000000014
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.49362683296203613s. Value: 181990.56000000008.Epoch: 2
Elapsed time: 206.9545283317566 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.7988247454974372
Cum. Ret.: 17.19905600000001
AVG_DRET: 0.0006298578169059169
STD_DRET: 0.012516741532527726
Final value: 181990.56000000008
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4585902690887451s. Value: 302110.26000000007..Epoch: 3
Elapsed time: 209.460932970047 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.0169298668552762
Cum. Ret.: 29.964812000000013
AVG_DRET: 0.0007123941923811065
STD_DRET: 0.011120636318701119
Final value: 309648.1200000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4274747371673584s. Value: 1210354.280000002.9.Epoch: 4
Elapsed time: 203.29744410514832 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.4124922656346044
Cum. Ret.: 120.18261700000018
AVG_DRET: 0.0009693701304996954
STD_DRET: 0.010894412759948737
Final value: 1211826.1700000018
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4728522300720215s. Value: 696926.4400000006...Epoch: 5
Elapsed time: 206.95894360542297 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.418917898839251
Cum. Ret.: 68.69264400000006
AVG_DRET: 0.0008501497591672357
STD_DRET: 0.009511268446573233
Final value: 696926.4400000006
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.46284985542297363s. Value: 1405284.1099999996.Epoch: 6
Elapsed time: 209.39110851287842 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.75155807110014
Cum. Ret.: 139.52841099999998
AVG_DRET: 0.0009773456659104398
STD_DRET: 0.008857760252236611
Final value: 1405284.1099999996
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: FMC
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.27916479110717773s. Value: 11923.06999999999.Elapsed time: 15.295791864395142 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 0.6680995453480606
Cum. Ret.: 0.19230699999999912
AVG_DRET: 0.00041251015383920585
STD_DRET: 0.009801526924664624
Final value: 11923.06999999999
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: EFX
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.6316137313842773s. Value: 11315.720000000001..Epoch: 0
Elapsed time: 225.21629524230957 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.13397049044995027
Cum. Ret.: 0.13331000000000048
AVG_DRET: 0.0001111443431263348
STD_DRET: 0.013169778981458772
Final value: 11333.100000000004
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.534400224685669s. Value: 38566.339999999975...Epoch: 1
Elapsed time: 235.18285584449768 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.43049313492479413
Cum. Ret.: 2.8432729999999973
AVG_DRET: 0.0003296192264573748
STD_DRET: 0.012154765265244666
Final value: 38432.729999999974
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.5696730613708496s. Value: 143575.39000000022..Epoch: 2
Elapsed time: 230.79647755622864 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 0.8212927547934025
Cum. Ret.: 13.465204000000025
AVG_DRET: 0.0005672418485913439
STD_DRET: 0.01096403826169469
Final value: 144652.04000000024
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4442257881164551s. Value: 271098.31000000006..Epoch: 3
Elapsed time: 236.1514208316803 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.0747219682750044
Cum. Ret.: 25.987435000000005
AVG_DRET: 0.0006754483177389464
STD_DRET: 0.009976914913626705
Final value: 269874.35000000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.4507613182067871s. Value: 533649.7099999995...Epoch: 4
Elapsed time: 226.3298637866974 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.4297063443720843
Cum. Ret.: 52.36497099999995
AVG_DRET: 0.0007938128600781377
STD_DRET: 0.008813969764738241
Final value: 533649.7099999995
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.6000769138336182s. Value: 884490.4800000002...Epoch: 5
Elapsed time: 223.13218784332275 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.6998525708950327
Cum. Ret.: 87.44904800000002
AVG_DRET: 0.0008852015918567284
STD_DRET: 0.008266681401593234
Final value: 884490.4800000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5268 days of simulation to go.
Date 2014-12-22 00:00:00 (simulating until 2014-12-31 00:00:00). Time: 0.35805678367614746s. Value: 571412.5799999996..Epoch: 6
Elapsed time: 189.7202923297882 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 1.6263837371641707
Cum. Ret.: 56.14125799999996
AVG_DRET: 0.0007984401511205683
STD_DRET: 0.007793268077005921
Final value: 571412.5799999996
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: EFX
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-12-28 00:00:00 (simulating until 2016-12-30 00:00:00). Time: 0.23465394973754883s. Value: 10960.899999999994.Elapsed time: 10.361101150512695 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 0.44271651538781526
Cum. Ret.: 0.09204199999999951
AVG_DRET: 0.0002110159125822451
STD_DRET: 0.007566407955857323
Final value: 10920.419999999995
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
In [10]:
results_df
Out[10]:
cum_ret
cum_ret_bench
cum_ret_quotient
sharpe
sharpe_bench
sharpe_quotient
BCR
0.060803
0.320985
0.189426
0.453472
0.842292
0.538379
CERN
-0.018543
-0.290124
0.063914
-0.050918
-0.589201
0.086419
DHI
-0.098232
0.099799
-0.984300
-0.366551
0.316697
-1.157418
ALK
-0.107467
0.318033
-0.337911
-0.275229
0.627140
-0.438864
GE
0.104184
0.305246
0.341312
0.688784
0.794915
0.866488
PCG
-0.026200
0.036500
-0.717807
-0.134794
0.193712
-0.695845
SRE
-0.034402
-0.110797
0.310496
-0.118738
-0.209948
0.565558
VZ
-0.031255
0.136228
-0.229431
-0.166705
0.497664
-0.334974
KMB
0.018532
0.036418
0.508867
0.149453
0.195819
0.763220
STT
0.101500
0.064949
1.562757
0.472371
0.257145
1.836981
CA
0.032726
0.044722
0.731763
0.230141
0.213857
1.076146
IBM
-0.024505
0.073257
-0.334505
-0.124193
0.283329
-0.438335
COG
0.453395
-0.146199
-3.101222
1.162461
-0.000946
-1228.565035
RJF
0.113569
0.300601
0.377807
0.419736
0.640959
0.654856
SWKS
-0.142558
-0.089734
1.588669
-0.400577
0.068419
-5.854805
VLO
0.194606
0.254960
0.763282
0.832273
0.529592
1.571536
CAT
0.180577
0.147204
1.226710
1.008417
0.405669
2.485814
HD
0.119155
0.283922
0.419675
1.012699
0.778623
1.300628
FMC
0.192307
-0.021961
-8.756783
0.668100
0.120973
5.522715
EFX
0.092042
0.399834
0.230200
0.442717
0.925748
0.478226
In [11]:
results_df['sharpe_delta'] = results_df['sharpe'] - results_df['sharpe_bench']
results_df
Out[11]:
cum_ret
cum_ret_bench
cum_ret_quotient
sharpe
sharpe_bench
sharpe_quotient
sharpe_delta
BCR
0.060803
0.320985
0.189426
0.453472
0.842292
0.538379
-0.388820
CERN
-0.018543
-0.290124
0.063914
-0.050918
-0.589201
0.086419
0.538282
DHI
-0.098232
0.099799
-0.984300
-0.366551
0.316697
-1.157418
-0.683248
ALK
-0.107467
0.318033
-0.337911
-0.275229
0.627140
-0.438864
-0.902369
GE
0.104184
0.305246
0.341312
0.688784
0.794915
0.866488
-0.106130
PCG
-0.026200
0.036500
-0.717807
-0.134794
0.193712
-0.695845
-0.328506
SRE
-0.034402
-0.110797
0.310496
-0.118738
-0.209948
0.565558
0.091210
VZ
-0.031255
0.136228
-0.229431
-0.166705
0.497664
-0.334974
-0.664369
KMB
0.018532
0.036418
0.508867
0.149453
0.195819
0.763220
-0.046366
STT
0.101500
0.064949
1.562757
0.472371
0.257145
1.836981
0.215226
CA
0.032726
0.044722
0.731763
0.230141
0.213857
1.076146
0.016284
IBM
-0.024505
0.073257
-0.334505
-0.124193
0.283329
-0.438335
-0.407521
COG
0.453395
-0.146199
-3.101222
1.162461
-0.000946
-1228.565035
1.163407
RJF
0.113569
0.300601
0.377807
0.419736
0.640959
0.654856
-0.221223
SWKS
-0.142558
-0.089734
1.588669
-0.400577
0.068419
-5.854805
-0.468996
VLO
0.194606
0.254960
0.763282
0.832273
0.529592
1.571536
0.302681
CAT
0.180577
0.147204
1.226710
1.008417
0.405669
2.485814
0.602749
HD
0.119155
0.283922
0.419675
1.012699
0.778623
1.300628
0.234076
FMC
0.192307
-0.021961
-8.756783
0.668100
0.120973
5.522715
0.547127
EFX
0.092042
0.399834
0.230200
0.442717
0.925748
0.478226
-0.483031
In [12]:
delta = results_df['sharpe_delta']
pd.DataFrame(delta.describe())
Out[12]:
sharpe_delta
count
20.000000
mean
-0.049477
std
0.519187
min
-0.902369
25%
-0.422890
50%
-0.076248
75%
0.251227
max
1.163407
In [13]:
delta.hist(bins=20)
Out[13]:
<matplotlib.axes._subplots.AxesSubplot at 0x7ff7897d26d8>
In [ ]:
In [ ]:
Content source: mtasende/Machine-Learning-Nanodegree-Capstone
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