Deep Reinforcement Learning and Genetic Algorithm for a Pairs Trading Task on Commodities
“The average annualized returns of the traditional DM-ST, CA-ST and CA-DM-ST methods are not high, at 0.12%, 0.37% and 0.43%, respectively.”
AssetCommodities
StrategyPairs trading
TechniqueReinforcement learningsymbolic search
FrequencyAnnual
Also stated: 1980–2018, Sharpe ratio, Profit, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
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