tensortrade.rewards.risk_adjusted_returns module¶
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class
tensortrade.rewards.risk_adjusted_returns.
RiskAdjustedReturns
(return_algorithm='sharpe', risk_free_rate=0.0, target_returns=0.0)[source]¶ Bases:
tensortrade.rewards.reward_scheme.RewardScheme
A reward scheme that rewards the agent for increasing its net worth, while penalizing more volatile strategies.
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__init__
(return_algorithm='sharpe', risk_free_rate=0.0, target_returns=0.0)[source]¶ Parameters: - return_algorithm (optional) – The risk-adjusted return metric to use. Options are ‘sharpe’ and ‘sortino’. Defaults to ‘sharpe’.
- risk_free_rate (optional) – The risk free rate of returns to use for calculating metrics. Defaults to 0.
- target_returns (optional) – The target returns per period for use in calculating the sortino ratio. Default to 0.
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