tensortrade.rewards.risk_adjusted_return_strategy module¶
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class
tensortrade.rewards.risk_adjusted_return_strategy.
RiskAdjustedReturnStrategy
(return_algorithm='sharpe', risk_free_rate=0.0, target_returns=0.0)[source]¶ Bases:
tensortrade.rewards.reward_strategy.RewardStrategy
A reward strategy that rewards the agent for increasing its net worth, while penalizing more volatile strategies.
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__init__
(return_algorithm='sharpe', risk_free_rate=0.0, target_returns=0.0)[source]¶ - Parameters
return_algorithm (optional) – The risk-adjusted return metric to use. Options are ‘sharpe’ and ‘sortino’. Defaults to ‘sharpe’.
risk_free_rate (optional) – The risk free rate of returns to use for calculating metrics. Defaults to 0.
target_returns (optional) – The target returns per period for use in calculating the sortino ratio. Default to 0.
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