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add cash bias

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wassname
2017-10-15 09:54:31 +08:00
parent 7fb2f73fea
commit e9271b5cd4
1 changed files with 3 additions and 3 deletions
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src/environments/portfolio.py
+3 -3
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@@ -213,11 +213,11 @@ class PortfolioEnv(gym.Env):
)
self._reset()
def _step(self, action):
def _step(self, action, cash_bias=0.0):
"""
Step the env.
Actions should be portfolio [cash_bias, w0...]
Actions should be portfolio [w0...]
- Where wn is a portfolio weight from 0 to 1. The first is cash_bias
- cn is the portfolio conversion weights see PortioSim._step for description
"""
@@ -229,7 +229,7 @@ class PortfolioEnv(gym.Env):
# normalise just in case
action = np.clip(action, 0, 1)
weights = action # [cash_bias, w0, w1...]
weights = action # np.array([cash_bias] + list(action)) # [w0, w1...]
weights /= (weights.sum() + eps)
weights[0] += np.clip(1 - weights.sum(), 0, 1) # so if weights are all zeros we normalise to [1,0...]