tensortrade.rewards.risk_adjusted_return_strategy module

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.

__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.

get_reward(current_step, trade)[source]

Return the reward corresponding to the selected risk-adjusted return metric.

Return type

float