In this notebook a sensitivity analysis will be performed. The best Automatic Trader will be trained and tested many times, with the SPY symbol, to assess the sensitivity to changes in the period chosen for training and testing.

In [6]:

    

# 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
The autoreload extension is already loaded. To reload it, use:
  %reload_ext autoreload

In [7]:

    

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 [8]:

    

n_train = 20

data_df = pd.read_pickle('../../data/data_df.pkl')
u_data_df = data_df.unstack()
n_samples = u_data_df.shape[0]
n_test = 504
first_test_start = n_samples - 4 * n_test
test_starts = np.linspace(first_test_start, n_samples - n_test, n_train).astype(np.int)
train_test_pairs = [(u_data_df.iloc[:test_start], u_data_df.iloc[test_start:test_start + n_test]) 
                    for test_start in test_starts]


    

In [9]:

    

for data_train_df, data_test_df in train_test_pairs:
    print(data_train_df.shape)
    print(data_test_df.shape)
    print('-'*100)


    

    




(4008, 2515)
(504, 2515)
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(4087, 2515)
(504, 2515)
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(504, 2515)
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(504, 2515)
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(504, 2515)
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In [10]:

    

n_train = 20

# Set the train/test pairs
n_test = 504
data_df = pd.read_pickle('../../data/data_df.pkl')
u_data_df = data_df.unstack()
n_samples = u_data_df.shape[0]
first_test_start = n_samples - 4 * n_test
test_starts = np.linspace(first_test_start, n_samples - n_test, n_train).astype(np.int)
train_test_pairs = [(u_data_df.iloc[:test_start], u_data_df.iloc[test_start:test_start + n_test]) 
                    for test_start in test_starts]

STARTING_DAYS_AHEAD = 252
POSSIBLE_FRACTIONS = [0.0, 1.0]

symbol = 'SPY'
print('Testing with:\n{}'.format(symbol))

# Results holder
results_df = pd.DataFrame(columns=['sharpe', 
                                   'sharpe_bench', 
                                   'cum_ret', 
                                   'cum_ret_bench', 
                                   'sharpe_quotient', 
                                   'cum_ret_quotient',])

for data_train_all_df, data_test_all_df in train_test_pairs:
    # Set the datasets to use
    total_data_train_df = data_train_all_df.stack()
    total_data_test_df = data_test_all_df.stack()
    data_train_df = data_train_all_df[symbol]
    data_test_df = data_test_all_df[symbol]
    data_in_df = data_train_df
    
    # Set the environment
    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:
SPY
Training: SPY
Starting simulation for agent: Agent_0. 3756 days of simulation to go.
Date 2008-12-18 00:00:00 (simulating until 2008-12-24 00:00:00).  Time: 0.2952439785003662s.  Value: 11871.040000000075.Epoch: 0
Elapsed time: 83.10213375091553 seconds.
Random Actions Rate: 0.6731941654656789
Sharpe ratio: 0.14088576754400703
Cum. Ret.: 0.15990200000000754
AVG_DRET: 8.104422778576851e-05
STD_DRET: 0.009131775721125442
Final value: 11599.020000000075
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3756 days of simulation to go.
Date 2008-12-18 00:00:00 (simulating until 2008-12-24 00:00:00).  Time: 0.25066304206848145s.  Value: 51112.59000000006.Epoch: 1
Elapsed time: 82.40637874603271 seconds.
Random Actions Rate: 0.462439167772485
Sharpe ratio: 0.8542045263385797
Cum. Ret.: 4.058429000000006
AVG_DRET: 0.0004696130417083821
STD_DRET: 0.008727272795792955
Final value: 50584.29000000006
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3756 days of simulation to go.
Date 2008-12-18 00:00:00 (simulating until 2008-12-24 00:00:00).  Time: 0.2515583038330078s.  Value: 59273.65999999997.Epoch: 2
Elapsed time: 79.338054895401 seconds.
Random Actions Rate: 0.31766464247677595
Sharpe ratio: 1.0327189264921566
Cum. Ret.: 4.854435999999996
AVG_DRET: 0.0005002615935670484
STD_DRET: 0.007689804455609531
Final value: 58544.359999999964
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3756 days of simulation to go.
Date 2008-12-18 00:00:00 (simulating until 2008-12-24 00:00:00).  Time: 0.24450111389160156s.  Value: 135313.25000000017.Epoch: 3
Elapsed time: 79.28838229179382 seconds.
Random Actions Rate: 0.21821426927561882
Sharpe ratio: 1.4526007957707954
Cum. Ret.: 12.531325000000017
AVG_DRET: 0.0007250571398121662
STD_DRET: 0.007923667192692923
Final value: 135313.25000000017
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3756 days of simulation to go.
Date 2008-12-18 00:00:00 (simulating until 2008-12-24 00:00:00).  Time: 0.24642038345336914s.  Value: 202450.2100000002.Epoch: 4
Elapsed time: 78.87436366081238 seconds.
Random Actions Rate: 0.14989854377316564
Sharpe ratio: 1.7202243808442341
Cum. Ret.: 19.10163600000002
AVG_DRET: 0.0008283617519029711
STD_DRET: 0.007644255768741483
Final value: 201016.36000000022
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3756 days of simulation to go.
Date 2008-12-18 00:00:00 (simulating until 2008-12-24 00:00:00).  Time: 0.24269986152648926s.  Value: 224069.73000000013.Epoch: 5
Elapsed time: 80.22978639602661 seconds.
Random Actions Rate: 0.1029702296733639
Sharpe ratio: 1.8239300439594206
Cum. Ret.: 21.40697300000001
AVG_DRET: 0.0008558432780979633
STD_DRET: 0.007448800405232696
Final value: 224069.73000000013
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3756 days of simulation to go.
Date 2008-12-18 00:00:00 (simulating until 2008-12-24 00:00:00).  Time: 0.24241971969604492s.  Value: 483188.5999999999.Epoch: 6
Elapsed time: 77.95962119102478 seconds.
Random Actions Rate: 0.070733630441601
Sharpe ratio: 2.314083843968948
Cum. Ret.: 47.318859999999994
AVG_DRET: 0.0010593055001348426
STD_DRET: 0.007266786611308193
Final value: 483188.5999999999
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2010-12-23 00:00:00 (simulating until 2010-12-28 00:00:00).  Time: 0.1707930564880371s.  Value: 11013.449999999988.Elapsed time: 8.073796510696411 seconds.
Random Actions Rate: 0.070733630441601
Sharpe ratio: 0.42077952852655864
Cum. Ret.: 0.10134499999999891
AVG_DRET: 0.0002417606413872504
STD_DRET: 0.009120765016596023
Final value: 11013.449999999988
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 3835 days of simulation to go.
Date 2009-04-16 00:00:00 (simulating until 2009-04-21 00:00:00).  Time: 0.24783658981323242s.  Value: 10447.390000000003.Epoch: 0
Elapsed time: 80.54573512077332 seconds.
Random Actions Rate: 0.6678966195362128
Sharpe ratio: 0.07176234581390205
Cum. Ret.: 0.001304000000000194
AVG_DRET: 4.0387774922736776e-05
STD_DRET: 0.008934156812257822
Final value: 10013.040000000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3835 days of simulation to go.
Date 2009-04-16 00:00:00 (simulating until 2009-04-21 00:00:00).  Time: 0.2506065368652344s.  Value: 30432.030000000028.Epoch: 1
Elapsed time: 80.72244620323181 seconds.
Random Actions Rate: 0.4551896881509232
Sharpe ratio: 0.6151743563205139
Cum. Ret.: 2.0432030000000028
AVG_DRET: 0.00032562050652801716
STD_DRET: 0.008402602025307692
Final value: 30432.030000000028
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3835 days of simulation to go.
Date 2009-04-16 00:00:00 (simulating until 2009-04-21 00:00:00).  Time: 0.3179776668548584s.  Value: 77468.61000000003.Epoch: 2
Elapsed time: 102.61053276062012 seconds.
Random Actions Rate: 0.31022413669769794
Sharpe ratio: 1.1621646024464953
Cum. Ret.: 6.898125000000003
AVG_DRET: 0.0005695126761944818
STD_DRET: 0.007779219431761128
Final value: 78981.25000000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3835 days of simulation to go.
Date 2009-04-16 00:00:00 (simulating until 2009-04-21 00:00:00).  Time: 0.30957603454589844s.  Value: 124989.6000000002.Epoch: 3
Elapsed time: 103.72534322738647 seconds.
Random Actions Rate: 0.21142617571319633
Sharpe ratio: 1.3984820703972367
Cum. Ret.: 11.743134000000019
AVG_DRET: 0.0006950845907836177
STD_DRET: 0.007890073128406344
Final value: 127431.34000000019
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3835 days of simulation to go.
Date 2009-04-16 00:00:00 (simulating until 2009-04-21 00:00:00).  Time: 0.3118295669555664s.  Value: 247114.38000000024.Epoch: 4
Elapsed time: 103.24925446510315 seconds.
Random Actions Rate: 0.14409268167378853
Sharpe ratio: 1.8912770009792863
Cum. Ret.: 24.194081000000022
AVG_DRET: 0.0008683653381500155
STD_DRET: 0.007288658606974556
Final value: 251940.81000000023
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3835 days of simulation to go.
Date 2009-04-16 00:00:00 (simulating until 2009-04-21 00:00:00).  Time: 0.3205745220184326s.  Value: 257516.02000000037.Epoch: 5
Elapsed time: 102.67897605895996 seconds.
Random Actions Rate: 0.09820307652023531
Sharpe ratio: 2.0704843174355902
Cum. Ret.: 25.254620000000042
AVG_DRET: 0.0008750746022832451
STD_DRET: 0.006709241186055719
Final value: 262546.2000000004
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3835 days of simulation to go.
Date 2009-04-16 00:00:00 (simulating until 2009-04-21 00:00:00).  Time: 0.3097257614135742s.  Value: 312628.1100000002.Epoch: 6
Elapsed time: 102.77602815628052 seconds.
Random Actions Rate: 0.06692806411828654
Sharpe ratio: 2.1075234886591954
Cum. Ret.: 29.537631000000022
AVG_DRET: 0.00091584869420672
STD_DRET: 0.0068984508969125715
Final value: 305376.31000000023
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2011-04-18 00:00:00 (simulating until 2011-04-20 00:00:00).  Time: 0.21752309799194336s.  Value: 13087.239999999993.Elapsed time: 10.467347145080566 seconds.
Random Actions Rate: 0.06692806411828654
Sharpe ratio: 1.2491970951947053
Cum. Ret.: 0.30872399999999933
AVG_DRET: 0.0005860275389353371
STD_DRET: 0.007447102472887796
Final value: 13087.239999999993
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 3915 days of simulation to go.
Date 2009-08-10 00:00:00 (simulating until 2009-08-14 00:00:00).  Time: 0.3117659091949463s.  Value: 9804.50999999996.Epoch: 0
Elapsed time: 104.13403558731079 seconds.
Random Actions Rate: 0.6625744973441877
Sharpe ratio: 0.06167478930165911
Cum. Ret.: -0.027037000000003863
AVG_DRET: 3.6032294908774386e-05
STD_DRET: 0.009274372161624031
Final value: 9729.629999999961
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3915 days of simulation to go.
Date 2009-08-10 00:00:00 (simulating until 2009-08-14 00:00:00).  Time: 0.30220794677734375s.  Value: 25879.07000000005.Epoch: 1
Elapsed time: 104.47461771965027 seconds.
Random Actions Rate: 0.4479642495213335
Sharpe ratio: 0.5206306617368684
Cum. Ret.: 1.5876510000000055
AVG_DRET: 0.00027902841930361
STD_DRET: 0.008507833215976663
Final value: 25876.510000000053
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3915 days of simulation to go.
Date 2009-08-10 00:00:00 (simulating until 2009-08-14 00:00:00).  Time: 0.31052494049072266s.  Value: 59016.87000000009.Epoch: 2
Elapsed time: 104.61163878440857 seconds.
Random Actions Rate: 0.30286702801506427
Sharpe ratio: 0.9213715044962688
Cum. Ret.: 4.935559000000009
AVG_DRET: 0.0004905234134787222
STD_DRET: 0.00845133341753655
Final value: 59355.59000000009
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3915 days of simulation to go.
Date 2009-08-10 00:00:00 (simulating until 2009-08-14 00:00:00).  Time: 0.31427764892578125s.  Value: 104302.28999999996.Epoch: 3
Elapsed time: 104.03158593177795 seconds.
Random Actions Rate: 0.2047673151522544
Sharpe ratio: 1.2495905017223943
Cum. Ret.: 9.509846999999995
AVG_DRET: 0.0006332290266730351
STD_DRET: 0.008044394664724487
Final value: 105098.46999999996
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3915 days of simulation to go.
Date 2009-08-10 00:00:00 (simulating until 2009-08-14 00:00:00).  Time: 0.3111393451690674s.  Value: 184310.52000000005.Epoch: 4
Elapsed time: 103.86604690551758 seconds.
Random Actions Rate: 0.13844244990767696
Sharpe ratio: 1.6238475804184873
Cum. Ret.: 17.42922400000001
AVG_DRET: 0.0007730054236410456
STD_DRET: 0.007556793400023167
Final value: 184292.24000000008
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3915 days of simulation to go.
Date 2009-08-10 00:00:00 (simulating until 2009-08-14 00:00:00).  Time: 0.30661845207214355s.  Value: 206979.99000000008.Epoch: 5
Elapsed time: 104.71791124343872 seconds.
Random Actions Rate: 0.09360044557007834
Sharpe ratio: 1.6994592518736453
Cum. Ret.: 19.697999000000006
AVG_DRET: 0.0008022927743822728
STD_DRET: 0.00749415023869263
Final value: 206979.99000000008
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3915 days of simulation to go.
Date 2009-08-10 00:00:00 (simulating until 2009-08-14 00:00:00).  Time: 0.31867122650146484s.  Value: 394434.49.Epoch: 6.
Elapsed time: 103.25596570968628 seconds.
Random Actions Rate: 0.06328292670896563
Sharpe ratio: 2.1241752867071373
Cum. Ret.: 38.443449
AVG_DRET: 0.0009649619412661041
STD_DRET: 0.007211408598552873
Final value: 394434.49
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2011-08-11 00:00:00 (simulating until 2011-08-15 00:00:00).  Time: 0.21541714668273926s.  Value: 10204.589999999998.Elapsed time: 10.485022068023682 seconds.
Random Actions Rate: 0.06328292670896563
Sharpe ratio: 0.23668599324503165
Cum. Ret.: 0.041098999999999775
AVG_DRET: 0.00011194097096610406
STD_DRET: 0.007507870659387995
Final value: 10410.989999999998
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 3994 days of simulation to go.
Date 2009-12-03 00:00:00 (simulating until 2009-12-07 00:00:00).  Time: 0.3149564266204834s.  Value: 18028.08000000002.Epoch: 0
Elapsed time: 107.32101011276245 seconds.
Random Actions Rate: 0.6573605204391066
Sharpe ratio: 0.33519650053416106
Cum. Ret.: 0.802808000000002
AVG_DRET: 0.00018694022366588092
STD_DRET: 0.008853266804394447
Final value: 18028.08000000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3994 days of simulation to go.
Date 2009-12-03 00:00:00 (simulating until 2009-12-07 00:00:00).  Time: 0.33295416831970215s.  Value: 34736.34000000001.Epoch: 1
Elapsed time: 106.82368087768555 seconds.
Random Actions Rate: 0.4409416875836499
Sharpe ratio: 0.6484037349553796
Cum. Ret.: 2.468330000000001
AVG_DRET: 0.0003477289753109769
STD_DRET: 0.00851325502362328
Final value: 34683.30000000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3994 days of simulation to go.
Date 2009-12-03 00:00:00 (simulating until 2009-12-07 00:00:00).  Time: 0.3194305896759033s.  Value: 99497.24000000002.Epoch: 2
Elapsed time: 101.86703395843506 seconds.
Random Actions Rate: 0.2957731196258015
Sharpe ratio: 1.2130592561833424
Cum. Ret.: 8.949724000000002
AVG_DRET: 0.000607172827720262
STD_DRET: 0.007945671063281751
Final value: 99497.24000000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3994 days of simulation to go.
Date 2009-12-03 00:00:00 (simulating until 2009-12-07 00:00:00).  Time: 0.3182361125946045s.  Value: 120280.44999999992.Epoch: 3
Elapsed time: 106.61746335029602 seconds.
Random Actions Rate: 0.19839752229501478
Sharpe ratio: 1.367080472846076
Cum. Ret.: 11.028044999999992
AVG_DRET: 0.0006516359959757379
STD_DRET: 0.007566782606880849
Final value: 120280.44999999992
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3994 days of simulation to go.
Date 2009-12-03 00:00:00 (simulating until 2009-12-07 00:00:00).  Time: 0.31836438179016113s.  Value: 184464.62000000002.Epoch: 4
Elapsed time: 107.75079417228699 seconds.
Random Actions Rate: 0.13308030460171408
Sharpe ratio: 1.5307912326198154
Cum. Ret.: 17.446462000000004
AVG_DRET: 0.0007612053684656314
STD_DRET: 0.007893800507965933
Final value: 184464.62000000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3994 days of simulation to go.
Date 2009-12-03 00:00:00 (simulating until 2009-12-07 00:00:00).  Time: 0.3136000633239746s.  Value: 256570.64000000007.Epoch: 5
Elapsed time: 108.16489887237549 seconds.
Random Actions Rate: 0.08926707989099728
Sharpe ratio: 1.8291951491812597
Cum. Ret.: 24.617777000000007
AVG_DRET: 0.0008386874672074625
STD_DRET: 0.007278474798921641
Final value: 256177.77000000008
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 3994 days of simulation to go.
Date 2009-12-03 00:00:00 (simulating until 2009-12-07 00:00:00).  Time: 0.311309814453125s.  Value: 234814.27000000008.Epoch: 6
Elapsed time: 106.6081132888794 seconds.
Random Actions Rate: 0.05987821846451536
Sharpe ratio: 1.9402972604312985
Cum. Ret.: 22.481427000000007
AVG_DRET: 0.0008124559486295535
STD_DRET: 0.006647094035862484
Final value: 234814.27000000008
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2011-12-02 00:00:00 (simulating until 2011-12-06 00:00:00).  Time: 0.21942996978759766s.  Value: 9956.81.Elapsed time: 10.443028688430786 seconds.
Random Actions Rate: 0.05987821846451536
Sharpe ratio: 0.04450864068924476
Cum. Ret.: -0.004319000000000073
AVG_DRET: 2.20077871815302e-05
STD_DRET: 0.007849325104628628
Final value: 9956.81
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 4074 days of simulation to go.
Date 2010-03-31 00:00:00 (simulating until 2010-04-05 00:00:00).  Time: 0.32106995582580566s.  Value: 23543.130000000067.Epoch: 0
Elapsed time: 110.34492874145508 seconds.
Random Actions Rate: 0.6521223549631092
Sharpe ratio: 0.4492650769845064
Cum. Ret.: 1.3703930000000066
AVG_DRET: 0.00025132967576844224
STD_DRET: 0.008880581018720846
Final value: 23703.930000000066
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4074 days of simulation to go.
Date 2010-03-31 00:00:00 (simulating until 2010-04-05 00:00:00).  Time: 0.32379961013793945s.  Value: 25813.629999999976.Epoch: 1
Elapsed time: 109.46604108810425 seconds.
Random Actions Rate: 0.43394241412513757
Sharpe ratio: 0.48523150858332376
Cum. Ret.: 1.6023869999999976
AVG_DRET: 0.0002756294492957089
STD_DRET: 0.009017307787425847
Final value: 26023.869999999977
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4074 days of simulation to go.
Date 2010-03-31 00:00:00 (simulating until 2010-04-05 00:00:00).  Time: 0.3252589702606201s.  Value: 64276.63.Epoch: 24..
Elapsed time: 109.16763520240784 seconds.
Random Actions Rate: 0.2887587234874091
Sharpe ratio: 0.9511795353503427
Cum. Ret.: 5.427663
AVG_DRET: 0.0004900841671674965
STD_DRET: 0.008179155120307445
Final value: 64276.63
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4074 days of simulation to go.
Date 2010-03-31 00:00:00 (simulating until 2010-04-05 00:00:00).  Time: 0.314877986907959s.  Value: 93256.92999999996.Epoch: 3
Elapsed time: 109.83148646354675 seconds.
Random Actions Rate: 0.19214899875178534
Sharpe ratio: 1.1240985944872388
Cum. Ret.: 8.401628999999996
AVG_DRET: 0.0005841086805230352
STD_DRET: 0.008248776298859997
Final value: 94016.28999999996
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4074 days of simulation to go.
Date 2010-03-31 00:00:00 (simulating until 2010-04-05 00:00:00).  Time: 0.31482934951782227s.  Value: 276315.3499999998.Epoch: 4
Elapsed time: 109.00093603134155 seconds.
Random Actions Rate: 0.1278618954794054
Sharpe ratio: 1.8234684563139079
Cum. Ret.: 26.63153499999998
AVG_DRET: 0.0008416952341681665
STD_DRET: 0.007327517824417633
Final value: 276315.3499999998
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4074 days of simulation to go.
Date 2010-03-31 00:00:00 (simulating until 2010-04-05 00:00:00).  Time: 0.3183102607727051s.  Value: 298669.36000000016.Epoch: 5
Elapsed time: 109.19864273071289 seconds.
Random Actions Rate: 0.08508326570415974
Sharpe ratio: 1.9642176817303898
Cum. Ret.: 28.866936000000017
AVG_DRET: 0.0008580816139014523
STD_DRET: 0.0069348847923418905
Final value: 298669.36000000016
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4074 days of simulation to go.
Date 2010-03-31 00:00:00 (simulating until 2010-04-05 00:00:00).  Time: 0.3193678855895996s.  Value: 338348.03000000014.Epoch: 6
Elapsed time: 109.31407690048218 seconds.
Random Actions Rate: 0.056617040407090174
Sharpe ratio: 2.1402755795577884
Cum. Ret.: 32.834803000000015
AVG_DRET: 0.0008862727282762666
STD_DRET: 0.0065735195650334114
Final value: 338348.03000000014
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2012-03-30 00:00:00 (simulating until 2012-04-03 00:00:00).  Time: 0.22182440757751465s.  Value: 10138.5.Elapsed time: 10.34110689163208 seconds.
Random Actions Rate: 0.056617040407090174
Sharpe ratio: 0.1198740617351363
Cum. Ret.: 0.013849999999999918
AVG_DRET: 5.6998987674308766e-05
STD_DRET: 0.007548179023175003
Final value: 10138.5
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 4153 days of simulation to go.
Date 2010-07-26 00:00:00 (simulating until 2010-07-27 00:00:00).  Time: 0.3208956718444824s.  Value: 14431.889999999963.Epoch: 0
Elapsed time: 112.82887649536133 seconds.
Random Actions Rate: 0.6469906287773092
Sharpe ratio: 0.22888080623262358
Cum. Ret.: 0.44305999999999623
AVG_DRET: 0.0001275176002720816
STD_DRET: 0.008844250341221889
Final value: 14430.599999999962
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4153 days of simulation to go.
Date 2010-07-26 00:00:00 (simulating until 2010-07-27 00:00:00).  Time: 0.3235924243927002s.  Value: 35549.65999999999.Epoch: 1
Elapsed time: 112.34176826477051 seconds.
Random Actions Rate: 0.42713966706700046
Sharpe ratio: 0.6411554261735624
Cum. Ret.: 2.554647999999999
AVG_DRET: 0.0003409770601847167
STD_DRET: 0.00844232584361645
Final value: 35546.47999999999
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4153 days of simulation to go.
Date 2010-07-26 00:00:00 (simulating until 2010-07-27 00:00:00).  Time: 0.309389591217041s.  Value: 88176.6500000001.Epoch: 2
Elapsed time: 112.94320011138916 seconds.
Random Actions Rate: 0.28199526711368184
Sharpe ratio: 1.0517922971617908
Cum. Ret.: 7.817665000000009
AVG_DRET: 0.0005598270146212589
STD_DRET: 0.0084493662592914
Final value: 88176.6500000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4153 days of simulation to go.
Date 2010-07-26 00:00:00 (simulating until 2010-07-27 00:00:00).  Time: 0.3148195743560791s.  Value: 165203.3000000001.Epoch: 3
Elapsed time: 113.79441905021667 seconds.
Random Actions Rate: 0.18617172977765856
Sharpe ratio: 1.4251962730786307
Cum. Ret.: 15.520330000000012
AVG_DRET: 0.000706376191327247
STD_DRET: 0.007867950974661714
Final value: 165203.3000000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4153 days of simulation to go.
Date 2010-07-26 00:00:00 (simulating until 2010-07-27 00:00:00).  Time: 0.31765270233154297s.  Value: 194973.45999999985.Epoch: 4
Elapsed time: 110.70754790306091 seconds.
Random Actions Rate: 0.1229095556218428
Sharpe ratio: 1.6327363829905612
Cum. Ret.: 18.497345999999986
AVG_DRET: 0.0007414895134595957
STD_DRET: 0.007209235512164288
Final value: 194973.45999999985
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4153 days of simulation to go.
Date 2010-07-26 00:00:00 (simulating until 2010-07-27 00:00:00).  Time: 0.31717586517333984s.  Value: 264211.56000000023.Epoch: 5
Elapsed time: 111.52659249305725 seconds.
Random Actions Rate: 0.08114421497399531
Sharpe ratio: 1.9834051516535112
Cum. Ret.: 25.418788000000017
AVG_DRET: 0.0008098184379251894
STD_DRET: 0.006481514456323679
Final value: 264187.8800000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4153 days of simulation to go.
Date 2010-07-26 00:00:00 (simulating until 2010-07-27 00:00:00).  Time: 0.3164246082305908s.  Value: 452887.68000000046.Epoch: 6
Elapsed time: 111.2338593006134 seconds.
Random Actions Rate: 0.053570965987414426
Sharpe ratio: 2.250707715010787
Cum. Ret.: 44.28876800000005
AVG_DRET: 0.0009404804024553115
STD_DRET: 0.006633319576499792
Final value: 452887.68000000046
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2012-07-24 00:00:00 (simulating until 2012-07-26 00:00:00).  Time: 0.21902227401733398s.  Value: 9322.300000000007.Elapsed time: 10.426278829574585 seconds.
Random Actions Rate: 0.053570965987414426
Sharpe ratio: -0.3050748835451026
Cum. Ret.: -0.06776999999999933
AVG_DRET: -0.00012445361438920933
STD_DRET: 0.006475917839135339
Final value: 9322.300000000007
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 4233 days of simulation to go.
Date 2010-11-16 00:00:00 (simulating until 2010-11-17 00:00:00).  Time: 0.3210594654083252s.  Value: 15433.799999999961.Epoch: 0
Elapsed time: 114.60072493553162 seconds.
Random Actions Rate: 0.6418350955963819
Sharpe ratio: 0.25488325494016845
Cum. Ret.: 0.5441599999999962
AVG_DRET: 0.00014147522698876972
STD_DRET: 0.008811287364716765
Final value: 15441.599999999962
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4233 days of simulation to go.
Date 2010-11-16 00:00:00 (simulating until 2010-11-17 00:00:00).  Time: 0.3195528984069824s.  Value: 53066.46999999988.Epoch: 1
Elapsed time: 114.88821029663086 seconds.
Random Actions Rate: 0.4203594795298154
Sharpe ratio: 0.7824267424142954
Cum. Ret.: 4.309340999999988
AVG_DRET: 0.0004331872198339617
STD_DRET: 0.008788853391761492
Final value: 53093.40999999988
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4233 days of simulation to go.
Date 2010-11-16 00:00:00 (simulating until 2010-11-17 00:00:00).  Time: 0.3140394687652588s.  Value: 192663.24000000014.Epoch: 2
Elapsed time: 114.34248757362366 seconds.
Random Actions Rate: 0.2753076191110854
Sharpe ratio: 1.4660160715243118
Cum. Ret.: 18.276104000000014
AVG_DRET: 0.0007306390520348965
STD_DRET: 0.007911601792303788
Final value: 192761.04000000015
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4233 days of simulation to go.
Date 2010-11-16 00:00:00 (simulating until 2010-11-17 00:00:00).  Time: 0.3183321952819824s.  Value: 122480.3300000001.Epoch: 3
Elapsed time: 113.74760270118713 seconds.
Random Actions Rate: 0.18030825717405596
Sharpe ratio: 1.349470996249073
Cum. Ret.: 11.25424900000001
AVG_DRET: 0.0006186971136532917
STD_DRET: 0.007278046156530869
Final value: 122542.4900000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4233 days of simulation to go.
Date 2010-11-16 00:00:00 (simulating until 2010-11-17 00:00:00).  Time: 0.3280797004699707s.  Value: 141320.02000000002.Epoch: 4
Elapsed time: 114.20003747940063 seconds.
Random Actions Rate: 0.1180899668164557
Sharpe ratio: 1.5103427874728923
Cum. Ret.: 13.139178000000003
AVG_DRET: 0.0006492955922247758
STD_DRET: 0.006824442816474175
Final value: 141391.78000000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4233 days of simulation to go.
Date 2010-11-16 00:00:00 (simulating until 2010-11-17 00:00:00).  Time: 0.3199732303619385s.  Value: 255829.4400000003.Epoch: 5
Elapsed time: 114.04222011566162 seconds.
Random Actions Rate: 0.07734110728633985
Sharpe ratio: 1.9353084661188875
Cum. Ret.: 24.58294400000003
AVG_DRET: 0.0007870713187457493
STD_DRET: 0.0064560094990406955
Final value: 255829.4400000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4233 days of simulation to go.
Date 2010-11-16 00:00:00 (simulating until 2010-11-17 00:00:00).  Time: 0.3140373229980469s.  Value: 309155.64999999997.Epoch: 6
Elapsed time: 114.1444845199585 seconds.
Random Actions Rate: 0.05065330304965075
Sharpe ratio: 2.151976240190134
Cum. Ret.: 29.931261
AVG_DRET: 0.0008298669069007924
STD_DRET: 0.006121688750842058
Final value: 309312.61
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2012-11-16 00:00:00 (simulating until 2012-11-20 00:00:00).  Time: 0.2215898036956787s.  Value: 9355.829999999994.Elapsed time: 10.634101629257202 seconds.
Random Actions Rate: 0.05065330304965075
Sharpe ratio: -0.29146191561737117
Cum. Ret.: -0.0644170000000005
AVG_DRET: -0.00011763631085750851
STD_DRET: 0.006407075648716525
Final value: 9355.829999999994
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 4313 days of simulation to go.
Date 2011-03-14 00:00:00 (simulating until 2011-03-15 00:00:00).  Time: 0.32541561126708984s.  Value: 14703.100000000068.Epoch: 0
Elapsed time: 117.31237769126892 seconds.
Random Actions Rate: 0.6367206441888182
Sharpe ratio: 0.2264627090355017
Cum. Ret.: 0.4534730000000067
AVG_DRET: 0.00012542869040769073
STD_DRET: 0.008792258738878877
Final value: 14534.730000000067
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4313 days of simulation to go.
Date 2011-03-14 00:00:00 (simulating until 2011-03-15 00:00:00).  Time: 0.3270094394683838s.  Value: 52443.46000000008.Epoch: 1
Elapsed time: 117.11922645568848 seconds.
Random Actions Rate: 0.41368691707778155
Sharpe ratio: 0.7741768481483431
Cum. Ret.: 4.184299000000008
AVG_DRET: 0.0004185412738245204
STD_DRET: 0.008582195088404533
Final value: 51842.99000000008
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4313 days of simulation to go.
Date 2011-03-14 00:00:00 (simulating until 2011-03-15 00:00:00).  Time: 0.3168933391571045s.  Value: 164961.38999999964.Epoch: 2
Elapsed time: 116.40383291244507 seconds.
Random Actions Rate: 0.2687785717696434
Sharpe ratio: 1.3920761741583094
Cum. Ret.: 15.496138999999964
AVG_DRET: 0.0006802675303336742
STD_DRET: 0.007757414760768592
Final value: 164961.38999999964
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4313 days of simulation to go.
Date 2011-03-14 00:00:00 (simulating until 2011-03-15 00:00:00).  Time: 0.316802978515625s.  Value: 230088.72999999992.Epoch: 3
Elapsed time: 116.63488364219666 seconds.
Random Actions Rate: 0.17462945445032338
Sharpe ratio: 1.5709284429761237
Cum. Ret.: 22.00887299999999
AVG_DRET: 0.0007566269221595315
STD_DRET: 0.007645847957903856
Final value: 230088.72999999992
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4313 days of simulation to go.
Date 2011-03-14 00:00:00 (simulating until 2011-03-15 00:00:00).  Time: 0.3265573978424072s.  Value: 213780.74999999994.Epoch: 4
Elapsed time: 116.5226719379425 seconds.
Random Actions Rate: 0.11345936605301135
Sharpe ratio: 1.643429261199463
Cum. Ret.: 20.378074999999995
AVG_DRET: 0.0007356568670263636
STD_DRET: 0.007105989286115457
Final value: 213780.74999999994
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4313 days of simulation to go.
Date 2011-03-14 00:00:00 (simulating until 2011-03-15 00:00:00).  Time: 0.3227674961090088s.  Value: 336878.59000000014.Epoch: 5
Elapsed time: 116.61847686767578 seconds.
Random Actions Rate: 0.07371624555359978
Sharpe ratio: 1.946613305067267
Cum. Ret.: 32.68785900000002
AVG_DRET: 0.0008392946947376285
STD_DRET: 0.0068443949289504185
Final value: 336878.59000000014
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4313 days of simulation to go.
Date 2011-03-14 00:00:00 (simulating until 2011-03-15 00:00:00).  Time: 0.2689385414123535s.  Value: 356647.90999999945.Epoch: 6
Elapsed time: 105.01496648788452 seconds.
Random Actions Rate: 0.047894546281703095
Sharpe ratio: 2.155102752749216
Cum. Ret.: 34.664790999999944
AVG_DRET: 0.0008486945996801743
STD_DRET: 0.006251492687110557
Final value: 356647.90999999945
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2013-03-15 00:00:00 (simulating until 2013-03-19 00:00:00).  Time: 0.1797161102294922s.  Value: 10041.080000000005.Elapsed time: 8.780878782272339 seconds.
Random Actions Rate: 0.047894546281703095
Sharpe ratio: 0.04643555159214519
Cum. Ret.: -0.0013959999999995087
AVG_DRET: 1.968015844353655e-05
STD_DRET: 0.006727880240718847
Final value: 9986.040000000005
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 4392 days of simulation to go.
Date 2011-07-07 00:00:00 (simulating until 2011-07-07 00:00:00).  Time: 0.2581331729888916s.  Value: 13860.03000000003.Epoch: 0
Elapsed time: 95.92329597473145 seconds.
Random Actions Rate: 0.6317101182070669
Sharpe ratio: 0.20519711697637222
Cum. Ret.: 0.386003000000003
AVG_DRET: 0.00011137108136650379
STD_DRET: 0.008615915921685325
Final value: 13860.03000000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4392 days of simulation to go.
Date 2011-07-07 00:00:00 (simulating until 2011-07-07 00:00:00).  Time: 0.25638890266418457s.  Value: 30077.289999999997.Epoch: 1
Elapsed time: 95.91723465919495 seconds.
Random Actions Rate: 0.4072017075971315
Sharpe ratio: 0.5313681294885365
Cum. Ret.: 2.007729
AVG_DRET: 0.0002878073513571609
STD_DRET: 0.008598182332691032
Final value: 30077.289999999997
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4392 days of simulation to go.
Date 2011-07-07 00:00:00 (simulating until 2011-07-07 00:00:00).  Time: 0.26282358169555664s.  Value: 62967.090000000004.Epoch: 2
Elapsed time: 95.52005887031555 seconds.
Random Actions Rate: 0.2624831008574515
Sharpe ratio: 0.9450392115540353
Cum. Ret.: 5.296709000000001
AVG_DRET: 0.000447358650987552
STD_DRET: 0.007514607158490757
Final value: 62967.090000000004
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4392 days of simulation to go.
Date 2011-07-07 00:00:00 (simulating until 2011-07-07 00:00:00).  Time: 0.33850526809692383s.  Value: 139562.33000000007.Epoch: 3
Elapsed time: 103.52203750610352 seconds.
Random Actions Rate: 0.16919717415307878
Sharpe ratio: 1.4173069863817842
Cum. Ret.: 12.956233000000008
AVG_DRET: 0.0006249069011054247
STD_DRET: 0.006999252535036699
Final value: 139562.33000000007
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4392 days of simulation to go.
Date 2011-07-07 00:00:00 (simulating until 2011-07-07 00:00:00).  Time: 0.32620930671691895s.  Value: 188225.18000000014.Epoch: 4
Elapsed time: 119.31888437271118 seconds.
Random Actions Rate: 0.10906486416790045
Sharpe ratio: 1.6094466957639828
Cum. Ret.: 17.822518000000013
AVG_DRET: 0.0006919034105211005
STD_DRET: 0.006824473380824707
Final value: 188225.18000000014
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4392 days of simulation to go.
Date 2011-07-07 00:00:00 (simulating until 2011-07-07 00:00:00).  Time: 0.3228476047515869s.  Value: 373751.01999999996.Epoch: 5
Elapsed time: 119.64663910865784 seconds.
Random Actions Rate: 0.0703034471793281
Sharpe ratio: 2.108882948324012
Cum. Ret.: 36.375102
AVG_DRET: 0.0008451492547992489
STD_DRET: 0.006361817522515688
Final value: 373751.01999999996
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4392 days of simulation to go.
Date 2011-07-07 00:00:00 (simulating until 2011-07-07 00:00:00).  Time: 0.31382250785827637s.  Value: 364314.93999999994.Epoch: 6
Elapsed time: 119.20824074745178 seconds.
Random Actions Rate: 0.04531775400818115
Sharpe ratio: 2.2004418753782953
Cum. Ret.: 35.431493999999994
AVG_DRET: 0.0008373305792196485
STD_DRET: 0.006040700740756437
Final value: 364314.93999999994
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2013-07-09 00:00:00 (simulating until 2013-07-11 00:00:00).  Time: 0.2169651985168457s.  Value: 12101.299999999997.Elapsed time: 10.393474340438843 seconds.
Random Actions Rate: 0.04531775400818115
Sharpe ratio: 1.0122303263189747
Cum. Ret.: 0.2101299999999997
AVG_DRET: 0.00041700571010512295
STD_DRET: 0.006539776820820398
Final value: 12101.299999999997
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 4472 days of simulation to go.
Date 2011-10-28 00:00:00 (simulating until 2011-10-28 00:00:00).  Time: 0.3267221450805664s.  Value: 18285.599999999984.Epoch: 0
Elapsed time: 122.32380938529968 seconds.
Random Actions Rate: 0.6266763474996012
Sharpe ratio: 0.31145056403726584
Cum. Ret.: 0.8285599999999984
AVG_DRET: 0.00017480766627619643
STD_DRET: 0.008909875254148825
Final value: 18285.599999999984
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4472 days of simulation to go.
Date 2011-10-28 00:00:00 (simulating until 2011-10-28 00:00:00).  Time: 0.33187103271484375s.  Value: 79500.12000000008.Epoch: 1
Elapsed time: 122.42578268051147 seconds.
Random Actions Rate: 0.40073800460759507
Sharpe ratio: 0.9325229737698163
Cum. Ret.: 6.950012000000008
AVG_DRET: 0.0005000083420890558
STD_DRET: 0.008511732775509479
Final value: 79500.12000000008
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4472 days of simulation to go.
Date 2011-10-28 00:00:00 (simulating until 2011-10-28 00:00:00).  Time: 0.32000017166137695s.  Value: 82392.04999999999.Epoch: 2
Elapsed time: 122.04634761810303 seconds.
Random Actions Rate: 0.25625819288955615
Sharpe ratio: 1.0560873218620384
Cum. Ret.: 7.239204999999998
AVG_DRET: 0.0005000534213656776
STD_DRET: 0.0075165204682955625
Final value: 82392.04999999999
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4472 days of simulation to go.
Date 2011-10-28 00:00:00 (simulating until 2011-10-28 00:00:00).  Time: 0.32518529891967773s.  Value: 174963.2200000001.Epoch: 3
Elapsed time: 120.95709347724915 seconds.
Random Actions Rate: 0.16386831462946386
Sharpe ratio: 1.4034383623338038
Cum. Ret.: 16.49632200000001
AVG_DRET: 0.0006688927298039357
STD_DRET: 0.007565948876717732
Final value: 174963.2200000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4472 days of simulation to go.
Date 2011-10-28 00:00:00 (simulating until 2011-10-28 00:00:00).  Time: 0.31468963623046875s.  Value: 278121.7199999999.Epoch: 4
Elapsed time: 120.7258620262146 seconds.
Random Actions Rate: 0.10478816008459926
Sharpe ratio: 1.7966308908010462
Cum. Ret.: 26.81217199999999
AVG_DRET: 0.0007669258278243409
STD_DRET: 0.006776333496806972
Final value: 278121.7199999999
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4472 days of simulation to go.
Date 2011-10-28 00:00:00 (simulating until 2011-10-28 00:00:00).  Time: 0.26632165908813477s.  Value: 264950.7299999998.Epoch: 5
Elapsed time: 117.3800835609436 seconds.
Random Actions Rate: 0.06700843002348947
Sharpe ratio: 1.848955544442215
Cum. Ret.: 25.49507299999998
AVG_DRET: 0.0007541525414032338
STD_DRET: 0.006474899024450799
Final value: 264950.7299999998
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4472 days of simulation to go.
Date 2011-10-28 00:00:00 (simulating until 2011-10-28 00:00:00).  Time: 0.38986682891845703s.  Value: 355698.25000000006.Epoch: 6
Elapsed time: 107.28760075569153 seconds.
Random Actions Rate: 0.04284958997837032
Sharpe ratio: 2.189511176851567
Cum. Ret.: 34.56982500000001
AVG_DRET: 0.0008166689379597161
STD_DRET: 0.005921055629648769
Final value: 355698.25000000006
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2013-10-30 00:00:00 (simulating until 2013-11-01 00:00:00).  Time: 0.22206830978393555s.  Value: 10657.150000000007.Elapsed time: 10.571852207183838 seconds.
Random Actions Rate: 0.04284958997837032
Sharpe ratio: 0.5941316789396529
Cum. Ret.: 0.06823500000000071
AVG_DRET: 0.0001443944053056583
STD_DRET: 0.003858050671490699
Final value: 10682.350000000008
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 4551 days of simulation to go.
Date 2012-02-10 00:00:00 (simulating until 2012-02-24 00:00:00).  Time: 0.2537417411804199s.  Value: 18698.109999999953..Epoch: 0
Elapsed time: 104.9270715713501 seconds.
Random Actions Rate: 0.6217448627896999
Sharpe ratio: 0.3222408423758293
Cum. Ret.: 0.9007229999999953
AVG_DRET: 0.00018107758564763052
STD_DRET: 0.008920401078263154
Final value: 19007.229999999952
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4551 days of simulation to go.
Date 2012-02-10 00:00:00 (simulating until 2012-02-24 00:00:00).  Time: 0.2564527988433838s.  Value: 60025.11999999989...Epoch: 1
Elapsed time: 96.62302279472351 seconds.
Random Actions Rate: 0.3944557902095763
Sharpe ratio: 0.8209684836850467
Cum. Ret.: 5.0112609999999895
AVG_DRET: 0.00042854106552938644
STD_DRET: 0.008286406422425074
Final value: 60112.60999999989
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4551 days of simulation to go.
Date 2012-02-10 00:00:00 (simulating until 2012-02-24 00:00:00).  Time: 0.2540738582611084s.  Value: 101743.0599999999...Epoch: 2
Elapsed time: 96.15926504135132 seconds.
Random Actions Rate: 0.250255980775974
Sharpe ratio: 1.0846641745092294
Cum. Ret.: 9.198113999999988
AVG_DRET: 0.000541946615641571
STD_DRET: 0.007931612397041534
Final value: 101981.13999999988
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4551 days of simulation to go.
Date 2012-02-10 00:00:00 (simulating until 2012-02-24 00:00:00).  Time: 0.2573232650756836s.  Value: 269852.3599999998...Epoch: 3
Elapsed time: 96.3649468421936 seconds.
Random Actions Rate: 0.15877078615291704
Sharpe ratio: 1.6202239464104786
Cum. Ret.: 25.894736999999978
AVG_DRET: 0.0007508374546534618
STD_DRET: 0.007356498530145224
Final value: 268947.36999999976
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4551 days of simulation to go.
Date 2012-02-10 00:00:00 (simulating until 2012-02-24 00:00:00).  Time: 0.26048731803894043s.  Value: 645759.5599999999..Epoch: 4
Elapsed time: 96.52567839622498 seconds.
Random Actions Rate: 0.10072951086903849
Sharpe ratio: 2.0841618602565744
Cum. Ret.: 63.49486599999999
AVG_DRET: 0.0009417738972172529
STD_DRET: 0.007173241879540615
Final value: 644948.6599999999
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4551 days of simulation to go.
Date 2012-02-10 00:00:00 (simulating until 2012-02-24 00:00:00).  Time: 0.25824856758117676s.  Value: 519409.0..9999995..Epoch: 5
Elapsed time: 96.39499425888062 seconds.
Random Actions Rate: 0.06390617950422803
Sharpe ratio: 2.1431100484402377
Cum. Ret.: 50.9409
AVG_DRET: 0.0008901349105617113
STD_DRET: 0.006593433524397055
Final value: 519409.0
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4551 days of simulation to go.
Date 2012-02-10 00:00:00 (simulating until 2012-02-24 00:00:00).  Time: 0.261371374130249s.  Value: 706260.8799999995.6..Epoch: 6
Elapsed time: 96.25286149978638 seconds.
Random Actions Rate: 0.0405442232727246
Sharpe ratio: 2.367595400031518
Cum. Ret.: 69.62608799999995
AVG_DRET: 0.0009565631818582122
STD_DRET: 0.0064136675358056295
Final value: 706260.8799999995
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2014-02-25 00:00:00 (simulating until 2014-02-27 00:00:00).  Time: 0.16922974586486816s.  Value: 9982.719999999998.Elapsed time: 7.950294017791748 seconds.
Random Actions Rate: 0.0405442232727246
Sharpe ratio: 0.060844523057069215
Cum. Ret.: 0.00350999999999968
AVG_DRET: 1.6173647910074285e-05
STD_DRET: 0.00421975040770455
Final value: 10035.099999999997
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 4631 days of simulation to go.
Date 2012-06-06 00:00:00 (simulating until 2012-06-19 00:00:00).  Time: 0.2581217288970947s.  Value: 6845.710000000036...Epoch: 0
Elapsed time: 98.67396903038025 seconds.
Random Actions Rate: 0.6167905000406742
Sharpe ratio: -0.07159765001797883
Cum. Ret.: -0.3042089999999965
AVG_DRET: -3.959983605485904e-05
STD_DRET: 0.008780007567324664
Final value: 6957.910000000035
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4631 days of simulation to go.
Date 2012-06-06 00:00:00 (simulating until 2012-06-19 00:00:00).  Time: 0.2596745491027832s.  Value: 126063.10000000034..Epoch: 1
Elapsed time: 98.42696571350098 seconds.
Random Actions Rate: 0.38819440912288417
Sharpe ratio: 1.0791493696159848
Cum. Ret.: 11.679853000000033
AVG_DRET: 0.0005857977624319053
STD_DRET: 0.008617204855660194
Final value: 126798.53000000033
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4631 days of simulation to go.
Date 2012-06-06 00:00:00 (simulating until 2012-06-19 00:00:00).  Time: 0.2577836513519287s.  Value: 110554.47000000003..Epoch: 2
Elapsed time: 98.42427730560303 seconds.
Random Actions Rate: 0.2443210446080575
Sharpe ratio: 1.0695377432853033
Cum. Ret.: 10.152274000000002
AVG_DRET: 0.0005549175990257391
STD_DRET: 0.008236309420808479
Final value: 111522.74000000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4631 days of simulation to go.
Date 2012-06-06 00:00:00 (simulating until 2012-06-19 00:00:00).  Time: 0.25526928901672363s.  Value: 249856.02999999994.Epoch: 3
Elapsed time: 98.4249587059021 seconds.
Random Actions Rate: 0.1537703053819005
Sharpe ratio: 1.5193077388764187
Cum. Ret.: 24.77050599999999
AVG_DRET: 0.0007312010615631359
STD_DRET: 0.007639964377644154
Final value: 257705.0599999999
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4631 days of simulation to go.
Date 2012-06-06 00:00:00 (simulating until 2012-06-19 00:00:00).  Time: 0.25685811042785645s.  Value: 244957.43999999997.Epoch: 4
Elapsed time: 98.3596887588501 seconds.
Random Actions Rate: 0.09677965668153991
Sharpe ratio: 1.6309986834793322
Cum. Ret.: 23.786371999999997
AVG_DRET: 0.000718079738957812
STD_DRET: 0.00698906907788669
Final value: 247863.71999999997
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4631 days of simulation to go.
Date 2012-06-06 00:00:00 (simulating until 2012-06-19 00:00:00).  Time: 0.26326870918273926s.  Value: 301260.55999999994.Epoch: 5
Elapsed time: 98.86162233352661 seconds.
Random Actions Rate: 0.0609109926922156
Sharpe ratio: 1.8983429153838582
Cum. Ret.: 29.483451999999996
AVG_DRET: 0.000758344467464127
STD_DRET: 0.006341501904968796
Final value: 304834.51999999996
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4631 days of simulation to go.
Date 2012-06-06 00:00:00 (simulating until 2012-06-19 00:00:00).  Time: 0.2560884952545166s.  Value: 547945.2399999999...Epoch: 6
Elapsed time: 98.29485845565796 seconds.
Random Actions Rate: 0.038336042490413724
Sharpe ratio: 2.280233031397191
Cum. Ret.: 54.44473199999998
AVG_DRET: 0.0008865866724949734
STD_DRET: 0.006172231922336476
Final value: 554447.3199999998
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2014-06-19 00:00:00 (simulating until 2014-06-23 00:00:00).  Time: 0.16670966148376465s.  Value: 11016.65999999999.Elapsed time: 7.883310317993164 seconds.
Random Actions Rate: 0.038336042490413724
Sharpe ratio: 0.8120347956429806
Cum. Ret.: 0.09864199999999901
AVG_DRET: 0.00020307483305786217
STD_DRET: 0.003969919826267775
Final value: 10986.419999999991
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 4710 days of simulation to go.
Date 2012-09-28 00:00:00 (simulating until 2012-10-10 00:00:00).  Time: 0.2602653503417969s.  Value: 16272.010000000044..Epoch: 0
Elapsed time: 100.50770592689514 seconds.
Random Actions Rate: 0.6119368097230174
Sharpe ratio: 0.25159170854965884
Cum. Ret.: 0.6007830000000043
AVG_DRET: 0.00013798436945322988
STD_DRET: 0.008706304237730783
Final value: 16007.830000000044
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4710 days of simulation to go.
Date 2012-09-28 00:00:00 (simulating until 2012-10-10 00:00:00).  Time: 0.2589535713195801s.  Value: 31860.47000000001...Epoch: 1
Elapsed time: 100.61071157455444 seconds.
Random Actions Rate: 0.38210883581018995
Sharpe ratio: 0.535766747272167
Cum. Ret.: 2.1986440000000007
AVG_DRET: 0.00028185507034872865
STD_DRET: 0.008351228504219167
Final value: 31986.440000000006
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4710 days of simulation to go.
Date 2012-09-28 00:00:00 (simulating until 2012-10-10 00:00:00).  Time: 0.2573831081390381s.  Value: 198921.1499999998...Epoch: 2
Elapsed time: 100.64280772209167 seconds.
Random Actions Rate: 0.23859843056394153
Sharpe ratio: 1.3787511927261498
Cum. Ret.: 18.99440799999998
AVG_DRET: 0.0006655848721758281
STD_DRET: 0.007663335012760593
Final value: 199944.07999999978
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4710 days of simulation to go.
Date 2012-09-28 00:00:00 (simulating until 2012-10-10 00:00:00).  Time: 0.25946879386901855s.  Value: 186743.1300000003..Epoch: 3
Elapsed time: 100.37812232971191 seconds.
Random Actions Rate: 0.14898690041246554
Sharpe ratio: 1.37404369746497
Cum. Ret.: 17.54879500000003
AVG_DRET: 0.0006483842325263403
STD_DRET: 0.007490868462677437
Final value: 185487.9500000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4710 days of simulation to go.
Date 2012-09-28 00:00:00 (simulating until 2012-10-10 00:00:00).  Time: 0.2600991725921631s.  Value: 297681.72000000026..Epoch: 4
Elapsed time: 100.88956952095032 seconds.
Random Actions Rate: 0.09303119237645381
Sharpe ratio: 1.7145181085080607
Cum. Ret.: 28.78947700000003
AVG_DRET: 0.0007447035436750028
STD_DRET: 0.006895116594879599
Final value: 297894.7700000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4710 days of simulation to go.
Date 2012-09-28 00:00:00 (simulating until 2012-10-10 00:00:00).  Time: 0.25859975814819336s.  Value: 458380.52999999985.Epoch: 5
Elapsed time: 100.17843675613403 seconds.
Random Actions Rate: 0.05809103170160714
Sharpe ratio: 2.022612359970824
Cum. Ret.: 45.05246199999999
AVG_DRET: 0.0008349773673921632
STD_DRET: 0.006553334217295923
Final value: 460524.6199999999
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4710 days of simulation to go.
Date 2012-09-28 00:00:00 (simulating until 2012-10-10 00:00:00).  Time: 0.25817275047302246s.  Value: 510875.1300000003..Epoch: 6
Elapsed time: 100.27842402458191 seconds.
Random Actions Rate: 0.03627351082959194
Sharpe ratio: 2.181427348039068
Cum. Ret.: 50.08751300000003
AVG_DRET: 0.0008549179377443697
STD_DRET: 0.006221340142287314
Final value: 510875.1300000003
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2014-10-10 00:00:00 (simulating until 2014-10-14 00:00:00).  Time: 0.16973233222961426s.  Value: 11561.979999999992.Elapsed time: 7.922870397567749 seconds.
Random Actions Rate: 0.03627351082959194
Sharpe ratio: 1.0811677842488592
Cum. Ret.: 0.13741799999999937
AVG_DRET: 0.00027534140946954027
STD_DRET: 0.004042766936126513
Final value: 11374.179999999993
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 4790 days of simulation to go.
Date 2013-01-28 00:00:00 (simulating until 2013-02-07 00:00:00).  Time: 0.3270890712738037s.  Value: 17502.079999999998..Epoch: 0
Elapsed time: 123.39119791984558 seconds.
Random Actions Rate: 0.6070606022683295
Sharpe ratio: 0.28693415649093895
Cum. Ret.: 0.7871880000000004
AVG_DRET: 0.00016083660458338425
STD_DRET: 0.008898215450842024
Final value: 17871.880000000005
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4790 days of simulation to go.
Date 2013-01-28 00:00:00 (simulating until 2013-02-07 00:00:00).  Time: 0.3371400833129883s.  Value: 73492.11000000003...Epoch: 1
Elapsed time: 132.0554871559143 seconds.
Random Actions Rate: 0.3760434437003957
Sharpe ratio: 0.8236732088865998
Cum. Ret.: 6.331671000000004
AVG_DRET: 0.00045426064429224093
STD_DRET: 0.008754884939082993
Final value: 73316.71000000004
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4790 days of simulation to go.
Date 2013-01-28 00:00:00 (simulating until 2013-02-07 00:00:00).  Time: 0.3337883949279785s.  Value: 128593.12000000002..Epoch: 2
Elapsed time: 132.4111771583557 seconds.
Random Actions Rate: 0.23293995858348693
Sharpe ratio: 1.0936122984711172
Cum. Ret.: 11.902992000000001
AVG_DRET: 0.0005679019708501634
STD_DRET: 0.00824347377603673
Final value: 129029.92000000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4790 days of simulation to go.
Date 2013-01-28 00:00:00 (simulating until 2013-02-07 00:00:00).  Time: 0.34507226943969727s.  Value: 312202.4399999999..Epoch: 3
Elapsed time: 131.8276846408844 seconds.
Random Actions Rate: 0.14429456280617375
Sharpe ratio: 1.65063744324676
Cum. Ret.: 30.804451999999998
AVG_DRET: 0.0007482680982680643
STD_DRET: 0.007196242797424225
Final value: 318044.51999999996
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4790 days of simulation to go.
Date 2013-01-28 00:00:00 (simulating until 2013-02-07 00:00:00).  Time: 0.3431565761566162s.  Value: 482493.47000000015..Epoch: 4
Elapsed time: 133.0699586868286 seconds.
Random Actions Rate: 0.08938320836853103
Sharpe ratio: 1.850605630902839
Cum. Ret.: 48.27364700000002
AVG_DRET: 0.0008397651481087874
STD_DRET: 0.007203511232734895
Final value: 492736.4700000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4790 days of simulation to go.
Date 2013-01-28 00:00:00 (simulating until 2013-02-07 00:00:00).  Time: 0.3318483829498291s.  Value: 464899.26000000094..Epoch: 5
Elapsed time: 134.21684646606445 seconds.
Random Actions Rate: 0.05536839214783228
Sharpe ratio: 1.9877454495139038
Cum. Ret.: 46.4767760000001
AVG_DRET: 0.0008280928238812275
STD_DRET: 0.006613304560710388
Final value: 474767.760000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4790 days of simulation to go.
Date 2013-01-28 00:00:00 (simulating until 2013-02-07 00:00:00).  Time: 0.32953810691833496s.  Value: 618336.2600000002..Epoch: 6
Elapsed time: 133.190434217453 seconds.
Random Actions Rate: 0.03429792804478781
Sharpe ratio: 2.0928358585889244
Cum. Ret.: 62.10037300000005
AVG_DRET: 0.0008882387600311155
STD_DRET: 0.006737438641199169
Final value: 631003.7300000004
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2015-02-05 00:00:00 (simulating until 2015-02-09 00:00:00).  Time: 0.21642565727233887s.  Value: 12193.339999999997.Elapsed time: 10.282173871994019 seconds.
Random Actions Rate: 0.03429792804478781
Sharpe ratio: 1.4589306821867007
Cum. Ret.: 0.2193339999999997
AVG_DRET: 0.00042203357053755366
STD_DRET: 0.004592113468568939
Final value: 12193.339999999997
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 4870 days of simulation to go.
Date 2013-05-22 00:00:00 (simulating until 2013-06-04 00:00:00).  Time: 0.3362753391265869s.  Value: 44105.45999999996...Epoch: 0
Elapsed time: 134.11389899253845 seconds.
Random Actions Rate: 0.6022232507849821
Sharpe ratio: 0.6375532880651845
Cum. Ret.: 3.436879999999997
AVG_DRET: 0.0003424467694276628
STD_DRET: 0.008526618930310701
Final value: 44368.79999999997
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4870 days of simulation to go.
Date 2013-05-22 00:00:00 (simulating until 2013-06-04 00:00:00).  Time: 0.3612649440765381s.  Value: 62810.19.000000004..Epoch: 1
Elapsed time: 135.09593653678894 seconds.
Random Actions Rate: 0.3700743303939099
Sharpe ratio: 0.7947127239123207
Cum. Ret.: 5.295005000000001
AVG_DRET: 0.0004117896803945747
STD_DRET: 0.008225561670310064
Final value: 62950.05
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4870 days of simulation to go.
Date 2013-05-22 00:00:00 (simulating until 2013-06-04 00:00:00).  Time: 0.3443946838378906s.  Value: 192902.47000000006..Epoch: 2
Elapsed time: 136.42772459983826 seconds.
Random Actions Rate: 0.2274156798794839
Sharpe ratio: 1.3796930820979671
Cum. Ret.: 18.070934000000005
AVG_DRET: 0.0006320424981340135
STD_DRET: 0.007272170701372842
Final value: 190709.34000000005
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4870 days of simulation to go.
Date 2013-05-22 00:00:00 (simulating until 2013-06-04 00:00:00).  Time: 0.3493328094482422s.  Value: 236831.28.00000003..Epoch: 3
Elapsed time: 136.4531705379486 seconds.
Random Actions Rate: 0.13975001022091696
Sharpe ratio: 1.4264646940434762
Cum. Ret.: 22.756004
AVG_DRET: 0.000679447545072271
STD_DRET: 0.007561277502406053
Final value: 237560.04
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4870 days of simulation to go.
Date 2013-05-22 00:00:00 (simulating until 2013-06-04 00:00:00).  Time: 0.3484172821044922s.  Value: 349422.0100000001...Epoch: 4
Elapsed time: 136.23905277252197 seconds.
Random Actions Rate: 0.08587827086987179
Sharpe ratio: 1.7729368831914307
Cum. Ret.: 34.049754000000014
AVG_DRET: 0.0007534927881429347
STD_DRET: 0.0067466176072269075
Final value: 350497.54000000015
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4870 days of simulation to go.
Date 2013-05-22 00:00:00 (simulating until 2013-06-04 00:00:00).  Time: 0.3393881320953369s.  Value: 415393.74000000017..Epoch: 5
Elapsed time: 135.58492469787598 seconds.
Random Actions Rate: 0.0527733586275989
Sharpe ratio: 1.980827048358666
Cum. Ret.: 40.66722500000001
AVG_DRET: 0.000786083853405299
STD_DRET: 0.006299739457244704
Final value: 416672.2500000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4870 days of simulation to go.
Date 2013-05-22 00:00:00 (simulating until 2013-06-04 00:00:00).  Time: 0.35720038414001465s.  Value: 525007.1699999996..Epoch: 6
Elapsed time: 136.76736068725586 seconds.
Random Actions Rate: 0.03242994243627984
Sharpe ratio: 2.180125059996107
Cum. Ret.: 51.662278999999955
AVG_DRET: 0.0008327659565621875
STD_DRET: 0.006063757520557008
Final value: 526622.7899999996
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2015-06-02 00:00:00 (simulating until 2015-06-04 00:00:00).  Time: 0.2265012264251709s.  Value: 12092.700000000004.Elapsed time: 10.551401853561401 seconds.
Random Actions Rate: 0.03242994243627984
Sharpe ratio: 1.3773862788197346
Cum. Ret.: 0.19906700000000055
AVG_DRET: 0.00038663937583657517
STD_DRET: 0.004456055579726125
Final value: 11990.670000000006
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 4949 days of simulation to go.
Date 2013-09-16 00:00:00 (simulating until 2013-09-25 00:00:00).  Time: 0.3518850803375244s.  Value: 43525.680000000044..Epoch: 0
Elapsed time: 140.48806881904602 seconds.
Random Actions Rate: 0.5974841940692744
Sharpe ratio: 0.59778922053773
Cum. Ret.: 3.3916170000000037
AVG_DRET: 0.0003396332736518332
STD_DRET: 0.009019083799174477
Final value: 43916.170000000035
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4949 days of simulation to go.
Date 2013-09-16 00:00:00 (simulating until 2013-09-25 00:00:00).  Time: 0.3507516384124756s.  Value: 102336.1...00000001.Epoch: 1
Elapsed time: 139.05863618850708 seconds.
Random Actions Rate: 0.36427281853327553
Sharpe ratio: 0.9636338714900973
Cum. Ret.: 9.200271000000003
AVG_DRET: 0.0005039725276075826
STD_DRET: 0.008302236036575431
Final value: 102002.71000000002
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4949 days of simulation to go.
Date 2013-09-16 00:00:00 (simulating until 2013-09-25 00:00:00).  Time: 0.3501756191253662s.  Value: 106820.9899999999.1.Epoch: 2
Elapsed time: 138.0130319595337 seconds.
Random Actions Rate: 0.22208903204356673
Sharpe ratio: 0.9912233088120873
Cum. Ret.: 9.68209899999999
AVG_DRET: 0.000512340209112635
STD_DRET: 0.008205162860397401
Final value: 106820.9899999999
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4949 days of simulation to go.
Date 2013-09-16 00:00:00 (simulating until 2013-09-25 00:00:00).  Time: 0.3382751941680908s.  Value: 240957.24999999985..Epoch: 3
Elapsed time: 140.16111540794373 seconds.
Random Actions Rate: 0.13540274114507608
Sharpe ratio: 1.4450949347320377
Cum. Ret.: 23.095724999999984
AVG_DRET: 0.0006701547583802142
STD_DRET: 0.007361714948905012
Final value: 240957.24999999985
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4949 days of simulation to go.
Date 2013-09-16 00:00:00 (simulating until 2013-09-25 00:00:00).  Time: 0.3508455753326416s.  Value: 250826.7100000003...Epoch: 4
Elapsed time: 139.67645120620728 seconds.
Random Actions Rate: 0.08255203843656685
Sharpe ratio: 1.6618068390193894
Cum. Ret.: 24.08267100000003
AVG_DRET: 0.0006719776221217075
STD_DRET: 0.006419105877974413
Final value: 250826.7100000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4949 days of simulation to go.
Date 2013-09-16 00:00:00 (simulating until 2013-09-25 00:00:00).  Time: 0.3427262306213379s.  Value: 442985.9200000004.4.Epoch: 5
Elapsed time: 137.32858848571777 seconds.
Random Actions Rate: 0.05033014097351783
Sharpe ratio: 1.9983354264011708
Cum. Ret.: 43.22438100000004
AVG_DRET: 0.0007852725555674905
STD_DRET: 0.006238099568231262
Final value: 442243.81000000035
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 4949 days of simulation to go.
Date 2013-09-16 00:00:00 (simulating until 2013-09-25 00:00:00).  Time: 0.3528907299041748s.  Value: 505481.60000000056..Epoch: 6
Elapsed time: 139.23962473869324 seconds.
Random Actions Rate: 0.030685167058117625
Sharpe ratio: 2.1406953727785294
Cum. Ret.: 49.54816000000005
AVG_DRET: 0.0008109332590445486
STD_DRET: 0.006013544273284044
Final value: 505481.60000000056
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2015-09-23 00:00:00 (simulating until 2015-09-25 00:00:00).  Time: 0.22797322273254395s.  Value: 9093.869999999995.Elapsed time: 10.66059136390686 seconds.
Random Actions Rate: 0.030685167058117625
Sharpe ratio: -0.6687349282712146
Cum. Ret.: -0.0906130000000005
AVG_DRET: -0.00018714456371261886
STD_DRET: 0.004442459520527352
Final value: 9093.869999999995
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 5029 days of simulation to go.
Date 2014-01-09 00:00:00 (simulating until 2014-01-21 00:00:00).  Time: 0.3536393642425537s.  Value: 16955.28999999995.6.Epoch: 0
Elapsed time: 141.57338857650757 seconds.
Random Actions Rate: 0.5927231520223053
Sharpe ratio: 0.2691445991433886
Cum. Ret.: 0.7214259999999943
AVG_DRET: 0.00014415143110641957
STD_DRET: 0.008502243902842556
Final value: 17214.259999999944
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5029 days of simulation to go.
Date 2014-01-09 00:00:00 (simulating until 2014-01-21 00:00:00).  Time: 0.3469231128692627s.  Value: 67869.49000000009...Epoch: 1
Elapsed time: 140.00974297523499 seconds.
Random Actions Rate: 0.35849054586046625
Sharpe ratio: 0.7958066852054732
Cum. Ret.: 5.880199000000009
AVG_DRET: 0.0004185070670905232
STD_DRET: 0.008348250714872983
Final value: 68801.99000000009
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5029 days of simulation to go.
Date 2014-01-09 00:00:00 (simulating until 2014-01-21 00:00:00).  Time: 0.34678101539611816s.  Value: 89045.21.0000003...Epoch: 2
Elapsed time: 142.896963596344 seconds.
Random Actions Rate: 0.21682208807409242
Sharpe ratio: 1.0199563905838234
Cum. Ret.: 7.891885
AVG_DRET: 0.0004602800894933894
STD_DRET: 0.007163757165364692
Final value: 88918.85
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5029 days of simulation to go.
Date 2014-01-09 00:00:00 (simulating until 2014-01-21 00:00:00).  Time: 0.3532073497772217s.  Value: 176558.29999999993..Epoch: 3
Elapsed time: 141.00802874565125 seconds.
Random Actions Rate: 0.13113823619523743
Sharpe ratio: 1.4334339785522798
Cum. Ret.: 16.901492999999995
AVG_DRET: 0.0005956288370498136
STD_DRET: 0.00659626798350635
Final value: 179014.92999999993
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5029 days of simulation to go.
Date 2014-01-09 00:00:00 (simulating until 2014-01-21 00:00:00).  Time: 0.3515627384185791s.  Value: 335865.9799999999...Epoch: 4
Elapsed time: 140.48617124557495 seconds.
Random Actions Rate: 0.07931496806967962
Sharpe ratio: 1.882931485639297
Cum. Ret.: 32.910237999999985
AVG_DRET: 0.0007193572459243393
STD_DRET: 0.0060647146995322825
Final value: 339102.37999999983
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5029 days of simulation to go.
Date 2014-01-09 00:00:00 (simulating until 2014-01-21 00:00:00).  Time: 0.34591174125671387s.  Value: 326455.22000000026.Epoch: 5
Elapsed time: 140.23765754699707 seconds.
Random Actions Rate: 0.047971242731437276
Sharpe ratio: 1.82958624567346
Cum. Ret.: 31.645522000000028
AVG_DRET: 0.00071264717871218
STD_DRET: 0.006183323290267288
Final value: 326455.22000000026
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5029 days of simulation to go.
Date 2014-01-09 00:00:00 (simulating until 2014-01-21 00:00:00).  Time: 0.3455774784088135s.  Value: 446354.8000000001...Epoch: 6
Elapsed time: 141.0628468990326 seconds.
Random Actions Rate: 0.029013945100208806
Sharpe ratio: 2.1970130324412183
Cum. Ret.: 43.93343600000001
AVG_DRET: 0.0007725728665121875
STD_DRET: 0.005582221801014022
Final value: 449334.36000000004
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-01-19 00:00:00 (simulating until 2016-01-21 00:00:00).  Time: 0.22289705276489258s.  Value: 10621.53000000001.Elapsed time: 10.47951054573059 seconds.
Random Actions Rate: 0.029013945100208806
Sharpe ratio: 0.3373484563174576
Cum. Ret.: 0.04865700000000084
AVG_DRET: 0.00011257417582545462
STD_DRET: 0.005297370141251168
Final value: 10486.570000000009
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 5108 days of simulation to go.
Date 2014-05-06 00:00:00 (simulating until 2014-05-14 00:00:00).  Time: 0.3460712432861328s.  Value: 13724.870000000028..Epoch: 0
Elapsed time: 137.38240480422974 seconds.
Random Actions Rate: 0.588058854138613
Sharpe ratio: 0.18131436073897686
Cum. Ret.: 0.3673030000000028
AVG_DRET: 9.7363605728889e-05
STD_DRET: 0.008524417584706232
Final value: 13673.030000000028
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5108 days of simulation to go.
Date 2014-05-06 00:00:00 (simulating until 2014-05-14 00:00:00).  Time: 0.3570990562438965s.  Value: 40572.10999999981.5.Epoch: 1
Elapsed time: 144.23507142066956 seconds.
Random Actions Rate: 0.35287062850083456
Sharpe ratio: 0.6159384656946347
Cum. Ret.: 3.0635569999999808
AVG_DRET: 0.0003057422403861427
STD_DRET: 0.007879857924806093
Final value: 40635.56999999981
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5108 days of simulation to go.
Date 2014-05-06 00:00:00 (simulating until 2014-05-14 00:00:00).  Time: 0.34578704833984375s.  Value: 198004.53000000026.Epoch: 2
Elapsed time: 143.72769355773926 seconds.
Random Actions Rate: 0.21174356883201145
Sharpe ratio: 1.3058574677208432
Cum. Ret.: 18.91471700000003
AVG_DRET: 0.0006136277989301002
STD_DRET: 0.007459496585145171
Final value: 199147.1700000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5108 days of simulation to go.
Date 2014-05-06 00:00:00 (simulating until 2014-05-14 00:00:00).  Time: 0.2731590270996094s.  Value: 225108.85000000003..Epoch: 3
Elapsed time: 129.07812571525574 seconds.
Random Actions Rate: 0.12705885761078758
Sharpe ratio: 1.4800921330347043
Cum. Ret.: 21.674549000000006
AVG_DRET: 0.0006344368752751963
STD_DRET: 0.006804558272080412
Final value: 226745.49000000005
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5108 days of simulation to go.
Date 2014-05-06 00:00:00 (simulating until 2014-05-14 00:00:00).  Time: 0.27437806129455566s.  Value: 392058.2600000001..Epoch: 4
Elapsed time: 114.30164813995361 seconds.
Random Actions Rate: 0.07624294511710206
Sharpe ratio: 1.957786368938579
Cum. Ret.: 38.43208600000001
AVG_DRET: 0.0007375740466075083
STD_DRET: 0.0059805427143013856
Final value: 394320.8600000001
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5108 days of simulation to go.
Date 2014-05-06 00:00:00 (simulating until 2014-05-14 00:00:00).  Time: 0.27706384658813477s.  Value: 443690.56000000006.Epoch: 5
Elapsed time: 114.3819477558136 seconds.
Random Actions Rate: 0.04575034585889374
Sharpe ratio: 2.0844442057152155
Cum. Ret.: 43.413678000000004
AVG_DRET: 0.0007597370276503924
STD_DRET: 0.005785931515343131
Final value: 444136.78
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5108 days of simulation to go.
Date 2014-05-06 00:00:00 (simulating until 2014-05-14 00:00:00).  Time: 0.27422189712524414s.  Value: 419764.51999999984.Epoch: 6
Elapsed time: 113.9397075176239 seconds.
Random Actions Rate: 0.027452955063496192
Sharpe ratio: 2.0787758766873634
Cum. Ret.: 41.01869799999999
AVG_DRET: 0.000748458500398555
STD_DRET: 0.005715580253497615
Final value: 420186.9799999999
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-05-11 00:00:00 (simulating until 2016-05-13 00:00:00).  Time: 0.20675921440124512s.  Value: 10457.689999999993.Elapsed time: 7.986555099487305 seconds.
Random Actions Rate: 0.027452955063496192
Sharpe ratio: 0.2671027949950477
Cum. Ret.: 0.03706899999999935
AVG_DRET: 8.97655704788111e-05
STD_DRET: 0.005334965718809017
Final value: 10370.689999999993
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
Starting simulation for agent: Agent_0. 5188 days of simulation to go.
Date 2014-08-28 00:00:00 (simulating until 2014-09-08 00:00:00).  Time: 0.27335500717163086s.  Value: 30822.38000000003..Epoch: 0
Elapsed time: 113.40839743614197 seconds.
Random Actions Rate: 0.5833729177432452
Sharpe ratio: 0.46956617746988827
Cum. Ret.: 2.076900000000003
AVG_DRET: 0.00025321217573814653
STD_DRET: 0.00856028152896101
Final value: 30769.00000000003
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5188 days of simulation to go.
Date 2014-08-28 00:00:00 (simulating until 2014-09-08 00:00:00).  Time: 0.2745656967163086s.  Value: 86004.26000000004...Epoch: 1
Elapsed time: 113.6628406047821 seconds.
Random Actions Rate: 0.34726934811863924
Sharpe ratio: 0.8760232021833805
Cum. Ret.: 7.595718000000003
AVG_DRET: 0.0004474715319216152
STD_DRET: 0.008108678326977911
Final value: 85957.18000000004
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5188 days of simulation to go.
Date 2014-08-28 00:00:00 (simulating until 2014-09-08 00:00:00).  Time: 0.2772648334503174s.  Value: 194191.7700000002...Epoch: 2
Elapsed time: 113.50627064704895 seconds.
Random Actions Rate: 0.2067219723007789
Sharpe ratio: 1.3668547856970277
Cum. Ret.: 18.464767000000023
AVG_DRET: 0.0005965637776283342
STD_DRET: 0.006928429032739974
Final value: 194647.67000000022
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5188 days of simulation to go.
Date 2014-08-28 00:00:00 (simulating until 2014-09-08 00:00:00).  Time: 0.27471256256103516s.  Value: 447800.8400000006..Epoch: 3
Elapsed time: 113.50506162643433 seconds.
Random Actions Rate: 0.12305714300279824
Sharpe ratio: 1.6794370822026972
Cum. Ret.: 43.90759300000006
AVG_DRET: 0.0007592719208790721
STD_DRET: 0.007176850034127854
Final value: 449075.93000000063
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5188 days of simulation to go.
Date 2014-08-28 00:00:00 (simulating until 2014-09-08 00:00:00).  Time: 0.27457690238952637s.  Value: 539154.6300000006..Epoch: 4
Elapsed time: 113.53345203399658 seconds.
Random Actions Rate: 0.07325326996192778
Sharpe ratio: 1.8755712871180703
Cum. Ret.: 53.06896400000006
AVG_DRET: 0.0007917794540390644
STD_DRET: 0.006701483040348931
Final value: 540689.6400000006
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5188 days of simulation to go.
Date 2014-08-28 00:00:00 (simulating until 2014-09-08 00:00:00).  Time: 0.28127074241638184s.  Value: 591824.3799999998..Epoch: 5
Elapsed time: 113.18766641616821 seconds.
Random Actions Rate: 0.04360609574686037
Sharpe ratio: 2.0948328247577983
Cum. Ret.: 58.182437999999976
AVG_DRET: 0.0008053977015935755
STD_DRET: 0.006103251771890619
Final value: 591824.3799999998
----------------------------------------------------------------------------------------------------
Starting simulation for agent: Agent_0. 5188 days of simulation to go.
Date 2014-08-28 00:00:00 (simulating until 2014-09-08 00:00:00).  Time: 0.2725496292114258s.  Value: 693620.2699999997...Epoch: 6
Elapsed time: 113.48727917671204 seconds.
Random Actions Rate: 0.025957770721670673
Sharpe ratio: 2.2583813931202523
Cum. Ret.: 68.36202699999997
AVG_DRET: 0.0008345730302816983
STD_DRET: 0.005866341342804478
Final value: 693620.2699999997
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
Starting simulation for agent: Agent_0. 484 days of simulation to go.
Date 2016-09-02 00:00:00 (simulating until 2016-09-07 00:00:00).  Time: 0.16725397109985352s.  Value: 10705.180000000013.Elapsed time: 7.893847227096558 seconds.
Random Actions Rate: 0.025957770721670673
Sharpe ratio: 0.45094349011648843
Cum. Ret.: 0.07051800000000141
AVG_DRET: 0.00015657793406894903
STD_DRET: 0.005511993632368788
Final value: 10705.180000000013
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Training: SPY
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: 0.2761063575744629s.  Value: 17227.61000000001...Epoch: 0
Elapsed time: 115.67652606964111 seconds.
Random Actions Rate: 0.5787243211477068
Sharpe ratio: 0.2539614192169971
Cum. Ret.: 0.7079870000000013
AVG_DRET: 0.00014019874868940492
STD_DRET: 0.008763481263372523
Final value: 17079.870000000014
----------------------------------------------------------------------------------------------------
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: 0.34953761100769043s.  Value: 102768.43999999999.Epoch: 1
Elapsed time: 116.6727294921875 seconds.
Random Actions Rate: 0.3417569794774213
Sharpe ratio: 0.9431734408453822
Cum. Ret.: 9.188734
AVG_DRET: 0.00047238355021239924
STD_DRET: 0.007950665337944054
Final value: 101887.34
----------------------------------------------------------------------------------------------------
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: 0.28032922744750977s.  Value: 124940.14999999997.Epoch: 2
Elapsed time: 118.08150839805603 seconds.
Random Actions Rate: 0.2018194652505709
Sharpe ratio: 1.1453093049102228
Cum. Ret.: 11.552408999999997
AVG_DRET: 0.0005049966210883905
STD_DRET: 0.006999482846771406
Final value: 125524.08999999997
----------------------------------------------------------------------------------------------------
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: 0.2785005569458008s.  Value: 349450.2400000004...Epoch: 3
Elapsed time: 116.73968458175659 seconds.
Random Actions Rate: 0.1191814622668657
Sharpe ratio: 1.6837129499230332
Cum. Ret.: 33.99554400000004
AVG_DRET: 0.000696803184001027
STD_DRET: 0.006569651689294091
Final value: 349955.4400000004
----------------------------------------------------------------------------------------------------
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: 0.27852511405944824s.  Value: 506734.87000000046.Epoch: 4
Elapsed time: 116.44227242469788 seconds.
Random Actions Rate: 0.0703808273916143
Sharpe ratio: 1.9257062650990293
Cum. Ret.: 49.741863000000045
AVG_DRET: 0.0007656000395325434
STD_DRET: 0.00631120335968839
Final value: 507418.63000000047
----------------------------------------------------------------------------------------------------
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: 0.27970290184020996s.  Value: 366415.4000000001..Epoch: 5
Elapsed time: 116.83240604400635 seconds.
Random Actions Rate: 0.04156234342247517
Sharpe ratio: 1.8725507756007531
Cum. Ret.: 35.694520000000004
AVG_DRET: 0.000701813557952438
STD_DRET: 0.0059496089460533644
Final value: 366945.20000000007
----------------------------------------------------------------------------------------------------
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: 0.27716517448425293s.  Value: 797406.1499999998..Epoch: 6
Elapsed time: 116.69424366950989 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 2.369481127261349
Cum. Ret.: 78.85590499999998
AVG_DRET: 0.0008479936211032683
STD_DRET: 0.005681193765999352
Final value: 798559.0499999998
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
Testing: SPY
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: 0.17040491104125977s.  Value: 10710.920000000011.Elapsed time: 7.9672534465789795 seconds.
Random Actions Rate: 0.024544019369877303
Sharpe ratio: 0.47839445079824355
Cum. Ret.: 0.07085700000000084
AVG_DRET: 0.00015534179259124915
STD_DRET: 0.005154688781096498
Final value: 10708.570000000009
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------

In [11]:

    

results_df


    

    
Out[11]:







  

    

      

      
cum_ret
      
cum_ret_bench
      
cum_ret_quotient
      
sharpe
      
sharpe_bench
      
sharpe_quotient
    
  
  

    

      
SPY
      
0.101345
      
0.488584
      
0.207426
      
0.420780
      
1.047845
      
0.401566
    
    

      
SPY
      
0.308724
      
0.471219
      
0.655161
      
1.249197
      
1.267268
      
0.985740
    
    

      
SPY
      
0.041099
      
0.140276
      
0.292986
      
0.236686
      
0.467989
      
0.505751
    
    

      
SPY
      
-0.004319
      
0.105701
      
-0.040861
      
0.044509
      
0.357456
      
0.124515
    
    

      
SPY
      
0.013850
      
0.202008
      
0.068562
      
0.119874
      
0.573396
      
0.209060
    
    

      
SPY
      
-0.067770
      
0.285350
      
-0.237498
      
-0.305075
      
0.785689
      
-0.388290
    
    

      
SPY
      
-0.064417
      
0.120515
      
-0.534515
      
-0.291462
      
0.410339
      
-0.710296
    
    

      
SPY
      
-0.001396
      
0.176189
      
-0.007923
      
0.046436
      
0.546393
      
0.084986
    
    

      
SPY
      
0.210130
      
0.395566
      
0.531214
      
1.012230
      
1.045023
      
0.968620
    
    

      
SPY
      
0.068235
      
0.467438
      
0.145976
      
0.594132
      
1.606871
      
0.369744
    
    

      
SPY
      
0.003510
      
0.312195
      
0.011243
      
0.060845
      
1.207244
      
0.050400
    
    

      
SPY
      
0.098642
      
0.422100
      
0.233694
      
0.812035
      
1.674833
      
0.484845
    
    

      
SPY
      
0.137418
      
0.357784
      
0.384081
      
1.081168
      
1.483456
      
0.728817
    
    

      
SPY
      
0.219334
      
0.311479
      
0.704170
      
1.458931
      
1.282891
      
1.137221
    
    

      
SPY
      
0.199067
      
0.302889
      
0.657227
      
1.377386
      
1.297610
      
1.061480
    
    

      
SPY
      
-0.090613
      
0.101113
      
-0.896153
      
-0.668735
      
0.455434
      
-1.468346
    
    

      
SPY
      
0.048657
      
0.014068
      
3.458592
      
0.337348
      
0.121951
      
2.766263
    
    

      
SPY
      
0.037069
      
0.054757
      
0.676971
      
0.267103
      
0.263162
      
1.014974
    
    

      
SPY
      
0.070518
      
0.133240
      
0.529255
      
0.450943
      
0.513198
      
0.878693
    
    

      
SPY
      
0.070857
      
0.107023
      
0.662075
      
0.478394
      
0.442715
      
1.080591
    
  

In [12]:

    

results_df['sharpe_delta'] = results_df['sharpe'] - results_df['sharpe_bench']
results_df


    

    
Out[12]:







  

    

      

      
cum_ret
      
cum_ret_bench
      
cum_ret_quotient
      
sharpe
      
sharpe_bench
      
sharpe_quotient
      
sharpe_delta
    
  
  

    

      
SPY
      
0.101345
      
0.488584
      
0.207426
      
0.420780
      
1.047845
      
0.401566
      
-0.627066
    
    

      
SPY
      
0.308724
      
0.471219
      
0.655161
      
1.249197
      
1.267268
      
0.985740
      
-0.018071
    
    

      
SPY
      
0.041099
      
0.140276
      
0.292986
      
0.236686
      
0.467989
      
0.505751
      
-0.231303
    
    

      
SPY
      
-0.004319
      
0.105701
      
-0.040861
      
0.044509
      
0.357456
      
0.124515
      
-0.312948
    
    

      
SPY
      
0.013850
      
0.202008
      
0.068562
      
0.119874
      
0.573396
      
0.209060
      
-0.453522
    
    

      
SPY
      
-0.067770
      
0.285350
      
-0.237498
      
-0.305075
      
0.785689
      
-0.388290
      
-1.090764
    
    

      
SPY
      
-0.064417
      
0.120515
      
-0.534515
      
-0.291462
      
0.410339
      
-0.710296
      
-0.701801
    
    

      
SPY
      
-0.001396
      
0.176189
      
-0.007923
      
0.046436
      
0.546393
      
0.084986
      
-0.499958
    
    

      
SPY
      
0.210130
      
0.395566
      
0.531214
      
1.012230
      
1.045023
      
0.968620
      
-0.032793
    
    

      
SPY
      
0.068235
      
0.467438
      
0.145976
      
0.594132
      
1.606871
      
0.369744
      
-1.012740
    
    

      
SPY
      
0.003510
      
0.312195
      
0.011243
      
0.060845
      
1.207244
      
0.050400
      
-1.146399
    
    

      
SPY
      
0.098642
      
0.422100
      
0.233694
      
0.812035
      
1.674833
      
0.484845
      
-0.862798
    
    

      
SPY
      
0.137418
      
0.357784
      
0.384081
      
1.081168
      
1.483456
      
0.728817
      
-0.402288
    
    

      
SPY
      
0.219334
      
0.311479
      
0.704170
      
1.458931
      
1.282891
      
1.137221
      
0.176040
    
    

      
SPY
      
0.199067
      
0.302889
      
0.657227
      
1.377386
      
1.297610
      
1.061480
      
0.079777
    
    

      
SPY
      
-0.090613
      
0.101113
      
-0.896153
      
-0.668735
      
0.455434
      
-1.468346
      
-1.124169
    
    

      
SPY
      
0.048657
      
0.014068
      
3.458592
      
0.337348
      
0.121951
      
2.766263
      
0.215397
    
    

      
SPY
      
0.037069
      
0.054757
      
0.676971
      
0.267103
      
0.263162
      
1.014974
      
0.003941
    
    

      
SPY
      
0.070518
      
0.133240
      
0.529255
      
0.450943
      
0.513198
      
0.878693
      
-0.062255
    
    

      
SPY
      
0.070857
      
0.107023
      
0.662075
      
0.478394
      
0.442715
      
1.080591
      
0.035679
    
  

In [13]:

    

delta = results_df['sharpe_delta']
pd.DataFrame(delta.describe())


    

    
Out[13]:







  

    

      

      
sharpe_delta
    
  
  

    

      
count
      
20.000000
    
    

      
mean
      
-0.403402
    
    

      
std
      
0.460441
    
    

      
min
      
-1.146399
    
    

      
25%
      
-0.742050
    
    

      
50%
      
-0.357618
    
    

      
75%
      
-0.012568
    
    

      
max
      
0.215397
    
  

In [14]:

    

delta.hist(bins=20)


    

    
Out[14]:





<matplotlib.axes._subplots.AxesSubplot at 0x7fdc2b45f390>






    

In [15]:

    

results_df['sharpe_delta'].plot()


    

    
Out[15]:





<matplotlib.axes._subplots.AxesSubplot at 0x7fdc2b5af048>






    

In [ ]: