Web: http://arxiv.org/abs/2209.05559

Sept. 15, 2022, 1:11 a.m. | Berend Jelmer Dirk Gort, Xiao-Yang Liu, Xinghang Sun, Jiechao Gao, Shuaiyu Chen, Christina Dan Wang

cs.LG updates on arXiv.org arxiv.org

Designing profitable and reliable trading strategies is challenging in the
highly volatile cryptocurrency market. Existing works applied deep
reinforcement learning methods and optimistically reported increased profits in
backtesting, which may suffer from the false positive issue due to overfitting.
In this paper, we propose a practical approach to address backtest overfitting
for cryptocurrency trading using deep reinforcement learning. First, we
formulate the detection of backtest overfitting as a hypothesis test. Then, we
train the DRL agents, estimate the probability of …

arxiv cryptocurrency overfitting reinforcement reinforcement learning trading

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