Create an allocation model using SAC algorithm to create a 1.55 SHARPE portfolio using FinRL. The result is also very interesting as during the backtesting window the max drawdown of SPY was around 30% whereas for our model it stands aroudn 10%.
Create an allocation model using SAC algorithm to create a 1.55 SHARPE portfolio using FinRL. The result is also very interesting as during the backtesting window the max drawdown of SPY was around 30% whereas for our model it stands aroudn 10%.