A weighted sum of return, downside risk, differential return, and the Treynor ratio is proposed as an RL trading reward, with simple gradient properties and anecdotal backtest results.
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A Risk-Aware Reinforcement Learning Reward for Financial Trading
A weighted sum of return, downside risk, differential return, and the Treynor ratio is proposed as an RL trading reward, with simple gradient properties and anecdotal backtest results.