Pair Trading On Csi 300 Pair Trading
評価指標
Annual Return
Annual Volatility
Euclidean Distance
Max Dropdown
Sharpe Ratio
評価結果
このベンチマークにおける各モデルのパフォーマンス結果
モデル名 | Annual Return | Annual Volatility | Euclidean Distance | Max Dropdown | Sharpe Ratio | Paper Title | Repository |
|---|---|---|---|---|---|---|---|
| Trials | 0.68±0.51 | 0.26±0.09 | 0.046±0.02 | -0.14±0.07 | 1.91±0.88 | Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning |
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