gym-fx

TheForexenvironmentisaforextradingsimulatorfeaturing:configurableinitialcapital,dynamicordataset-basedspread,CSVhistorytimeseriesfortradingcurrenciesandobservationsfortheagent,fixedoragent-controlledtake-profit,stop-lossandordervolume.

Theenvironmentfeaturesdiscreteactionspacesandoptionallycontinuousactionspacesiftheordersdonthavefixedtake-profit/stop-lossandordervolume.

Aconcatenationofnum_ticksvectorsforthelastest:vectorofvaluesfromtimeseries,equityanditsvariation,order_status(-1=closed,1=opened),time_opened(normalizedwithmax_order_time),order_profitanditsvariation,order_drawdown/order_volume_pips,consecutive_drawdown/max_consecutive_dd

discreteaction0:0=nop,1=close,2=buy,3=selldiscreteaction0parameter:symbol(optional)continuousaction0parameter:percent_tp,percent_sl,percent_max

Therewardfunctionistheaverageoftheareaunderthecurveofequityandthebalancevariation.

ThedatasetsusedforthetestsweregeneratedwithaMQL4programlocatedintheagentsfolder(Pendingdocumentation).

InstallPython,pip,OpenAIGymandotherdependencies:

sudoapt-getinstall-ypython3-numpypython3-devcmakezlib1g-devlibjpeg-devxvfbffmpeglibboost-all-devlibsdl2-devpython3-pipgitgccmakeperl

pip3installgraphvizneat-pythongitpythongymneat-pythonmatplotlib

gitclonehttps://github.com/harveybc/gym-forex

SetthePYTHONPATHvenvironmentvariable,youmayaddthefollowinglinetothe.profilefileinyourhomedirectorytoexportonstartofsessions.Replacewithyourusername.

exportPYTHONPATH=/home/username/gym-forex/:${PYTHONPATH}

cdgym-forexnanoagents/config

Configurethepopulationsizeandotherparametersaccordingtoyourcomputingcapacityorrequirements,startwiththedefaults.

nanores

Forexample:

#!/bin/bashgitpullpython3agents/agent_NEAT.py./datasets/ts_5min_1w.CSV./datasets/vs_5min_1w.CSVconfig_20

Afterediting,changethepermissionofthefiletobeexecutable:

chmod777res

./res