MIGT, a PPO-based portfolio agent using a Gated Instance Attention transformer, reports higher backtest returns and risk-adjusted ratios than 15 strategies on DJIA data for 2019-2021, but with weak statistical evidence.
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MIGT: Memory Instance Gated Transformer Framework for Financial Portfolio Management
MIGT, a PPO-based portfolio agent using a Gated Instance Attention transformer, reports higher backtest returns and risk-adjusted ratios than 15 strategies on DJIA data for 2019-2021, but with weak statistical evidence.