Table 2 Out-of-sample backtesting averaged returns (average value of PnL returns of multiple RL agent’s testing episodes) of the best PMM strategies and the benchmarks
Equity | \(PMM_{(MLP, w=0.80)}\) ($) strategy 1 | \(PMM_{(LSTM, w=0.90)}\) ($) strategy 2 | \(PMM_{(CNN, w=0.95)}\) ($) strategy 3 | \({ PMM_{(perfect, w=0.50)}}\) ($) | RMM-Spooner ($) | AS model ($) |
|---|---|---|---|---|---|---|
VOD | 6.6356 | 4.3670 | 10.3290 | 14.4481 | 9.7375 | -4.3579 |
AAL | -2.0023 | -1.9823 | -2.4106 | -0.3446 | -1.9563 | -4.3562 |
GSK | -6.4512 | -10.7045 | -5.9494 | -8.8139 | -14.2216 | -4.3849 |
MO | 4.2870 | -3.8337 | 8.5449 | 6.7650 | 7.3401 | -4.4449 |
AMZN | 3992.554 | 3885.496 | 3951.784 | 4176.199 | 3828.689 | 0.0132 |
WMT | -7.8498 | -0.9850 | -7.8599 | 0.5000 | -4.5429 | -4.6585 |
NVDA | -4.3581 | -1.9429 | 1.2900 | 1.9002 | -1.6871 | 0.2147 |
CVX | -18.7016 | -13.5129 | -20.179 | -2.1177 | -14.2416 | -4.3447 |
UPS | -2.6849 | -3.6351 | -1.1051 | -0.955 | -1.775 | -4.4126 |
TXN | -16.4483 | -12.575 | -14.934 | -5.5586 | -15.7651 | -3.1253 |