tensortrade.env.rewards.risk_adjusted_returns module

class tensortrade.env.rewards.risk_adjusted_returns.RiskAdjustedReturns(*args, **kwargs)[source]

Bases: AbstractRewardScheme

A reward scheme that rewards the agent for increasing its net worth, while penalizing more volatile strategies.

Parameters:

  • return_algorithm ({'sharpe', 'sortino'}, Default 'sharpe'.) – The risk-adjusted return metric to use.

  • risk_free_rate (float, Default 0.) – The risk free rate of returns to use for calculating metrics.

  • target_returns (float, Default 0) – The target returns per period for use in calculating the sortino ratio.

  • window_size (int) – The size of the look back window for computing the reward.

registered_name = 'risk-adjusted'
reward() → float[source]

Computes the reward corresponding to the selected risk-adjusted return metric.

Returns:

float – The reward corresponding to the selected risk-adjusted return metric.