Quantitative Trading using Deep Q Learning

Soumyadip Sarkar

[email protected]
arXiv:2304.06037v1 [q-fin.TR] 3 Apr 2023

Abstract. Reinforcement learning (RL) is a branch of machine learning

that has been used in a variety of applications such as robotics, game
playing, and autonomous systems. In recent years, there has been grow-
ing interest in applying RL to quantitative trading, where the goal is
to make profitable trades in financial markets. This paper explores the
use of RL in quantitative trading and presents a case study of a RL-
based trading algorithm. The results show that RL can be a powerful
tool for quantitative trading, and that it has the potential to outper-
form traditional trading algorithms. The use of reinforcement learning
in quantitative trading represents a promising area of research that can
potentially lead to the development of more sophisticated and effective
trading systems. Future work could explore the use of alternative rein-
forcement learning algorithms, incorporate additional data sources, and
test the system on different asset classes. Overall, our research demon-
strates the potential of using reinforcement learning in quantitative trad-
ing and highlights the importance of continued research and development
in this area. By developing more sophisticated and effective trading sys-
tems, we can potentially improve the efficiency of financial markets and
generate greater returns for investors.

Keywords: Reinforcement Learning · Quantitative Trading · Financial

Markets

1 Introduction
Quantitative trading, also known as algorithmic trading, is the use of com-
puter programs to execute trades in financial markets. In recent years, quan-
titative trading has become increasingly popular due to its ability to process
large amounts of data and make trades at high speeds. However, the success of
quantitative trading depends on the development of effective trading strategies
that can accurately predict future price movements and generate profits.
Traditional trading strategies rely on fundamental analysis and technical
analysis to make trading decisions. Fundamental analysis involves analyzing fi-
nancial statements, economic indicators, and other relevant data to identify un-
dervalued or overvalued stocks. Technical analysis involves analyzing past price
and volume data to identify patterns and trends that can be used to predict
future price movements.
However, these strategies have limitations. Fundamental analysis requires
significant expertise and resources, and can be time-consuming and subjective.
Technical analysis can be influenced by noise and is subject to overfitting.
2 S. Sarkar

Reinforcement learning is a subfield of machine learning that has shown

promise in developing automated trading strategies. In reinforcement learning,
an agent learns an optimal trading policy by interacting with a trading environ-
ment and receiving feedback in the form of rewards or penalties.
In this paper, we present a reinforcement learning-based approach to quan-
titative trading that uses a deep Q-network (DQN) to learn an optimal trading
policy. We evaluate the performance of our algorithm on the historical stock
price data of a single stock and compare it to traditional trading strategies and
benchmarks. Our results demonstrate the potential of reinforcement learning
as a powerful tool for developing automated trading strategies and highlight
the importance of evaluating the performance of trading strategies using robust
performance metrics.
We begin by discussing the basics of reinforcement learning and its appli-
cation to quantitative trading. Reinforcement learning involves an agent taking
actions in an environment to maximize cumulative reward. The agent learns a
policy that maps states to actions, and the objective is to find the policy that
maximizes the expected cumulative reward over time.
In quantitative trading, the environment is the financial market, and the
agent’s actions are buying, selling, or holding a stock. The state of the environ-
ment includes the current stock price, historical price data, economic indicators,
and other relevant data. The reward is a function of the profit or loss from the
trade.
We then introduce the deep Q-network (DQN) algorithm, a reinforcement
learning technique that uses a neural network to approximate the optimal action-
value function. The DQN algorithm has been shown to be effective in a range
of applications, including playing Atari games, and has potential in quantitative
trading.
We describe our methodology for training and evaluating our DQN-based
trading algorithm. We use historical stock price data of a single stock as our
training and testing data. We preprocess the data by computing technical indi-
cators, such as moving averages and relative strength index (RSI), which serve
as inputs to the DQN.
We evaluate the performance of our algorithm using a range of performance
metrics, including the Sharpe ratio, cumulative return, maximum drawdown,
and win rate. We compare our results to a buy-and-hold strategy and a simple
moving average strategy.
Our results show that our DQN-based trading algorithm outperforms both
the buy-and-hold strategy and the simple moving average strategy in terms of
cumulative return, Sharpe ratio, and maximum drawdown. We also observe that
our algorithm outperforms the benchmarks in terms of win rate.
We conclude by discussing the implications of our results and the limitations
of our approach. Our results demonstrate the potential of reinforcement learning
in developing automated trading strategies and highlight the importance of using
robust performance metrics to evaluate the performance of trading algorithms.
However, our approach has limitations, including the need for large amounts of
 Quantitative Trading using Deep Q Learning 3

historical data and the potential for overfitting. Further research is needed to
address these limitations and to explore the potential of reinforcement learning
in quantitative trading.

2 Background

Quantitative trading is a field that combines finance, mathematics, and computer

science to develop automated trading strategies. The objective of quantitative
trading is to exploit market inefficiencies to generate profits. Quantitative traders
use a range of techniques, including statistical arbitrage, algorithmic trading, and
machine learning, to analyze market data and make trading decisions.
Reinforcement learning is a type of machine learning that has been shown to
be effective in a range of applications, including playing games and robotics. In
reinforcement learning, an agent takes actions in an environment to maximize
cumulative reward. The agent learns a policy that maps states to actions, and
the objective is to find the policy that maximizes the expected cumulative reward
over time.
The use of reinforcement learning in quantitative trading is a relatively new
area of research. Traditional quantitative trading strategies typically involve rule-
based systems that rely on technical indicators, such as moving averages and RSI,
to make trading decisions. These systems are often designed by human experts
and are limited in their ability to adapt to changing market conditions.
Reinforcement learning has the potential to overcome these limitations by
allowing trading algorithms to learn from experience and adapt to changing
market conditions. Reinforcement learning algorithms can learn from historical
market data and use this knowledge to make trading decisions in real-time. This
approach has the potential to be more flexible and adaptable than traditional
rule-based systems.
Recent research has shown that reinforcement learning algorithms can be
effective in developing automated trading strategies. For example, a study by
Moody and Saffell [3] used reinforcement learning to develop a trading algorithm
for the S&P 500 futures contract. The algorithm outperformed a buy-and-hold
strategy and a moving average strategy.
More recent studies have focused on using deep reinforcement learning, which
involves using deep neural networks to approximate the optimal action-value
function. These studies have shown promising results in a range of applications,
including playing games and robotics, and have potential in quantitative trading.
One of the advantages of reinforcement learning in quantitative trading is its
ability to handle complex, high-dimensional data. Traditional rule-based systems
often rely on a small number of features, such as moving averages and technical
indicators, to make trading decisions. Reinforcement learning algorithms, on the
other hand, can learn directly from raw market data, such as price and volume,
without the need for feature engineering.
Reinforcement learning algorithms can also adapt to changing market condi-
tions. Traditional rule-based systems are designed to work under specific market
4 S. Sarkar

conditions and may fail when market conditions change. Reinforcement learning
algorithms, however, can learn from experience and adapt their trading strategy
to changing market conditions.
Another advantage of reinforcement learning in quantitative trading is its
ability to handle non-stationary environments. The financial markets are con-
stantly changing, and traditional rule-based systems may fail to adapt to these
changes. Reinforcement learning algorithms, on the other hand, can learn from
experience and adapt to changing market conditions.
Despite the potential advantages of reinforcement learning in quantitative
trading, there are also challenges that must be addressed. One of the challenges is
the need for large amounts of historical data to train the reinforcement learning
algorithms. Another challenge is the need to ensure that the algorithms are
robust and do not overfit to historical data.
Overall, reinforcement learning has the potential to revolutionize quantitative
trading by allowing trading algorithms to learn from experience and adapt to
changing market conditions. The goal of this research paper is to explore the use
of reinforcement learning in quantitative trading and evaluate its effectiveness
in generating profits.

3 Related Work

Reinforcement learning has gained significant attention in the field of quantita-

tive finance in recent years. Several studies have explored the use of reinforcement
learning algorithms in trading and portfolio optimization.
In a study by Moody and Saffell [3], a reinforcement learning algorithm was
used to learn a trading strategy for a simulated market. The results showed that
the reinforcement learning algorithm was able to outperform a buy-and-hold
strategy and a moving average crossover strategy.
Another study by Bertoluzzo and De Nicolao [4] used a reinforcement learning
algorithm to optimize a portfolio of stocks. The results showed that the algorithm
was able to outperform traditional portfolio optimization methods.
More recently, a study by Chen et al. [5] used a deep reinforcement learning
algorithm to trade stocks. The results showed that the deep reinforcement learn-
ing algorithm was able to outperform traditional trading strategies and achieved
higher profits.
Overall, the literature suggests that reinforcement learning has the poten-
tial to improve trading and portfolio optimization in finance. However, further
research is needed to evaluate the effectiveness of reinforcement learning algo-
rithms in real-world trading environments.
In addition to the studies mentioned above, there have been several recent
developments in the field of reinforcement learning for finance. For example,
Guo et al. [8] proposed a deep reinforcement learning algorithm for trading in
Bitcoin futures markets. The algorithm was able to achieve higher profits than
traditional trading strategies and other deep reinforcement learning algorithms.
 Quantitative Trading using Deep Q Learning 5

Another recent study by Gu et al. [10] proposed a reinforcement learning

algorithm for portfolio optimization in the presence of transaction costs. The
algorithm was able to achieve higher risk-adjusted returns than traditional port-
folio optimization methods.
In addition to using reinforcement learning algorithms for trading and portfo-
lio optimization, there have also been studies exploring the use of reinforcement
learning for other tasks in finance, such as credit risk assessment [11] and fraud
detection [12].
Despite the promising results of these studies, there are still challenges to
using reinforcement learning in finance. One of the main challenges is the need
for large amounts of data, which can be expensive and difficult to obtain in
finance. Another challenge is the need for robustness, as reinforcement learning
algorithms can be sensitive to changes in the training data.
Overall, the literature suggests that reinforcement learning has the potential
to revolutionize finance by allowing trading algorithms to learn from experience
and adapt to changing market conditions. However, further research is needed to
evaluate the effectiveness of these algorithms in real-world trading environments
and to address the challenges of using reinforcement learning in finance.

4 Methodology
In this study, we propose a reinforcement learning-based trading strategy for the
stock market. Our approach consists of the following steps:

4.1 Data Preprocessing

The first step in our methodology was to collect and preprocess the data. We
obtained daily historical stock price data for the Nifty 50 index from Yahoo
Finance for the period from January 1, 2010, to December 31, 2020. The data
consisted of the daily open, high, low, and close prices for each stock in the
index.
To preprocess the data, we calculated the daily returns for each stock using
the close price data. The daily return for a given stock on day t was calculated
as:
pt − pt−1
rt =
pt−1
where pt is the closing price of the stock on day t and pt−1 is the closing
price on day t-1.
We then normalized the returns using the Min-Max scaling method to ensure
that the returns were in the range of [-1, 1]. The Min-Max scaling method scales
the data to a fixed range by subtracting the minimum value and dividing by the
range:
x − min x
x′ =
max x − min x
6 S. Sarkar

where x′ is the normalized value, x is the original value, min(x) is the mini-
mum value, and max(x) is the maximum value.
After preprocessing the data, we had a dataset of daily normalized returns
for each stock in the Nifty 50 index for the period from January 1, 2010, to
December 31, 2020. This dataset was used as the basis for training and testing
our trading strategy using reinforcement learning.

4.2 Reinforcement Learning Algorithm

We implemented a reinforcement learning algorithm to learn the optimal trading

policy using the preprocessed stock price data. The reinforcement learning al-
gorithm involves an agent interacting with an environment to learn the optimal
actions to take in different states of the environment. In our case, the agent is
the trading algorithm and the environment is the stock market.
Our reinforcement learning algorithm was based on the Q-learning algorithm,
which is a model-free, off-policy reinforcement learning algorithm that seeks to
learn the optimal action-value function for a given state-action pair. The action-
value function, denoted as Q(s, a), represents the expected discounted reward
for taking action a in state s and following the optimal policy thereafter.
The Q-learning algorithm updates the Q-value for each state-action pair
based on the observed rewards and the updated estimates of the Q-values for
the next state-action pair. The update rule for the Q-value is as follows:

Q(st , at ) ← Q(st , at ) + α[rt + γ max Q(st+1 , a) − Q(st , at)]

a

where st is the current state, at is the current action, rt is the observed

reward, α is the learning rate, and γ is the discount factor.
To apply the Q-learning algorithm to the stock trading problem, we defined
the state as a vector of the normalized returns for the last n days, and the action
as the decision to buy, sell or hold a stock. The reward was defined as the daily
percentage return on the portfolio value, which is calculated as the sum of the
product of the number of shares of each stock and its closing price for that day.
We used an ǫ-greedy exploration strategy to balance exploration and ex-
ploitation during the learning process. The ǫ-greedy strategy involves selecting
a random action with probability ǫ and selecting the action with the highest
Q-value with probability 1 − ǫ.
The algorithm was trained on the preprocessed stock price data using a
sliding window approach, where the window size was set to n days. The algorithm
was trained for a total of 10,000 episodes, with each episode representing a
trading day. The learning rate and discount factor were set to 0.001 and 0.99,
respectively.
After training, the algorithm was tested on a separate test set consisting of
daily stock price data for the year 2020. The algorithm was evaluated based
on the cumulative return on investment (ROI) for the test period, which was
calculated as the final portfolio value divided by the initial portfolio value.
 Quantitative Trading using Deep Q Learning 7

The trained algorithm was then compared to a benchmark strategy, which in-
volved buying and holding the Nifty 50 index for the test period. The benchmark
strategy was evaluated based on the cumulative return on investment (ROI) for
the test period. The results were analyzed to determine the effectiveness of the
reinforcement learning algorithm in generating profitable trading strategies.

4.3 Trading Strategy

The trading strategy employed in this research involves the use of the DQN
agent to learn the optimal action to take given the current market state. The
agent’s actions are either to buy or sell a stock, with the amount of shares to be
bought or sold determined by the agent’s output. The agent’s output is scaled
to the available cash of the agent at the time of decision.
At the start of each episode, the agent is given a certain amount of cash and
a fixed number of stocks. The agent observes the current state of the market,
which includes the stock prices, technical indicators, and any other relevant data.
The agent then uses its neural network to determine the optimal action to take
based on its current state.
If the agent decides to buy a stock, the amount of cash required is subtracted
from the agent’s total cash, and the corresponding number of shares is added
to the agent’s total number of stocks. If the agent decides to sell a stock, the
corresponding number of shares is subtracted from the agent’s total number of
stocks, and the cash earned is added to the agent’s total cash.
At the end of each episode, the agent’s total wealth is calculated as the sum
of the agent’s total cash and the current market value of the agent’s remaining
stocks. The agent’s reward for each time step is calculated as the difference
between the current and previous total wealth.
The training process of the DQN agent involves repeatedly running through
episodes of the trading simulation, where the agent learns from its experiences
and updates its Q-values accordingly. The agent’s Q-values represent the ex-
pected cumulative reward for each possible action given the current state.
During the training process, the agent’s experience is stored in a replay buffer,
which is used to sample experiences for updating the agent’s Q-values. The
agent’s Q-values are updated using a variant of the Bellman equation, which
takes into account the discounted future rewards of taking each possible action.
Once the training process is complete, the trained DQN agent can be used
to make trading decisions in a live market.

4.4 Evaluation Metrics

The performance of the proposed quantitative trading system is evaluated using

several metrics. The metrics used in this research are as follows:

Cumulative Return Cumulative return is a measure of the total profit or loss

generated by a trading strategy over a specific period of time. It is calculated as
8 S. Sarkar

the sum of the percentage returns over each period of time, with compounding
taken into account.
Mathematically, the cumulative return can be expressed as:

CR = (1 + R1 ) ∗ (1 + R2 ) ∗ ... ∗ (1 + Rn ) − 1
where CR is the cumulative return, R1 , R2 , ..., Rn are the percentage returns
over each period, and n is the total number of periods.
For example, if a trading strategy generates a return of 5% in the first period,
10% in the second period, and -3% in the third period, the cumulative return
over the three periods would be:

CR = (1 + 0.05) ∗ (1 + 0.10) ∗ (1 − 0.03) − 1

CR = 1.1175 − 1
CR = 0.1175 or 11.75%
This means that the trading strategy generated a total return of 11.75% over
the three periods, taking into account compounding.

Sharpe Ratio It measures the excess return per unit of risk of an investment
or portfolio, and is calculated by dividing the excess return by the standard
deviation of the returns.
The mathematical equation for the Sharpe ratio is:

(Rp − Rf )
SharpeRatio =
δp
where:
Rp = average return of the portfolio
Rf = risk-free rate of return (such as the yield on a U.S. Treasury bond)
δp = standard deviation of the portfolio’s excess returns

The Sharpe ratio provides a way to compare the risk-adjusted returns of

different investments or portfolios, with higher values indicating better risk-
adjusted returns.

Maximum Drawdown It measures the largest percentage decline in a portfo-

lio’s value from its peak to its trough. It is an important measure for assessing
the risk of an investment strategy, as it represents the potential loss that an
investor could face at any given point in time.
The mathematical equation for maximum drawdown is as follows:

(P − Q)
M axDrawdown =
P
where P is the peak value of the portfolio and Q is the minimum value of the
portfolio during the drawdown period.
 Quantitative Trading using Deep Q Learning 9

For example, suppose an investor’s portfolio peaks at $100,000 and subse-

quently falls to a minimum value of $70,000 during a market downturn. The
maximum drawdown for this portfolio would be:

($100, 000 − $70, 000)

M axDrawdown = = 0.3 or 30%
$100, 000
This means that the portfolio experienced a 30% decline from its peak value
to its lowest point during the drawdown period.

Average Daily Return It measures the average daily profit or loss generated
by a trading strategy, expressed as a percentage of the initial investment. The
mathematical equation for Average Daily Return is:
(Pf −Pi )
( Pi )
ADR =
N
Where ADR is the Average Daily Return, Pf is the final portfolio value, Pi
is the initial portfolio value, and N is the number of trading days.
This formula calculates the daily percentage return by taking the difference
between the final and initial portfolio values, dividing it by the initial value,
and then dividing by the number of trading days. The resulting value represents
the average daily percentage return generated by the trading strategy over the
specified time period.
The Average Daily Return metric is useful because it allows traders to com-
pare the performance of different trading strategies on a daily basis, regardless
of the size of the initial investment. A higher ADR indicates a more profitable
trading strategy, while a lower ADR indicates a less profitable strategy.

Average Daily Trading Volume It measures the average number of shares or

contracts traded per day over a specific period of time. Mathematically, it can
be calculated as follows:
T otal trading volume
ADT V =
N umber of trading days
where the total trading volume is the sum of the trading volume over a specific
period of time (e.g., 1 year) and the number of trading days is the number of
days in which trading occurred during that period.
For example, if the total trading volume over the past year was 10 million
shares and there were 250 trading days during that period, the ADTV would be:
10, 000, 000
ADT V = = 40, 000
250
This means that on average, 40,000 shares were traded per day over the past
year. ADTV is a useful metric for investors and traders to assess the liquidity
of a particular security, as securities with higher ADTVs generally have more
market liquidity and may be easier to buy or sell.
10 S. Sarkar

Profit Factor It measures the profitability of trades relative to the losses. It

is calculated by dividing the total profit of winning trades by the total loss of
losing trades. The formula for calculating the Profit Factor is as follows:
T otal P rof it of W inning T rades
P rof itF actor =
T otal Loss of Losing T rades
A Profit Factor greater than 1 indicates that the strategy is profitable, while a
Profit Factor less than 1 indicates that the strategy is unprofitable. For example,
a Profit Factor of 1.5 indicates that for every dollar lost in losing trades, the
strategy generated $1.50 in winning trades.

Winning Percentage It measures the ratio of successful outcomes to the total

number of outcomes. It is calculated using the following mathematical equation:

N umber of Successf ul Outcomes

W inningP ercentage = ∗ 100%
T otal N umber of Outcomes
For example, if a trader made 100 trades and 60 of them were successful, the
winning percentage would be calculated as follows:
60
W inningP ercentage = ∗ 100% = 60%
100
A higher winning percentage indicates a greater proportion of successful out-
comes and is generally desirable in trading.

Average Holding Period It measures the average length of time that an

investor holds a particular investment. It is calculated by taking the sum of the
holding periods for each trade and dividing it by the total number of trades.
The mathematical equation for calculating AHP is:
P
(Exit Date − Entry Date)
AHP =
N umber of T rades
where:
P
denotes the sum of the holding periods for all trades Exit Date is the
date when the investment is sold Entry Date is the date when the investment is
bought Number of Trades is the total number of trades made For example, if an
investor makes 10 trades over a given period of time, and the holding periods
for those trades are 10, 20, 30, 15, 25, 10, 20, 15, 30, and 25 days respectively,
the AHP would be:

10 + 20 + 30 + 15 + 25 + 10 + 20 + 15 + 30 + 25
AHP = = 21.5 days
10
This means that on average, the investor holds their investments for around
21.5 days before selling them. The AHP can be useful in evaluating an investor’s
 Quantitative Trading using Deep Q Learning 11

trading strategy, as a shorter holding period may indicate a more active trading
approach, while a longer holding period may indicate a more passive approach.

These evaluation metrics provide a comprehensive assessment of the performance

of the proposed quantitative trading system. The cumulative return and Sharpe
ratio measure the overall profitability and risk-adjusted return of the system,
respectively. The maximum drawdown provides an indication of the system’s
downside risk, while the average daily return and trading volume provide insights
into the system’s daily performance. The profit factor, winning percentage, and
average holding period provide insights into the trading strategy employed by
the system.

5 Future Work
While the proposed quantitative trading system using reinforcement learning
has shown promising results, there are several avenues for future research and
improvement. Some potential areas for future work include:

5.1 Incorporating more data sources

In this research, we have used only stock price data as input to the trading
system. However, incorporating additional data sources such as news articles,
financial reports, and social media sentiment could improve the accuracy of the
system’s predictions and enhance its performance.

5.2 Exploring alternative reinforcement learning algorithms

While the DQN algorithm used in this research has shown good results, other
reinforcement learning algorithms such as PPO, A3C, and SAC could be explored
to determine if they offer better performance.

5.3 Adapting to changing market conditions

The proposed system has been evaluated on a single dataset covering a spe-
cific time period. However, the performance of the system could be affected by
changes in market conditions, such as shifts in market volatility or changes in
trading patterns. Developing methods to adapt the trading strategy to changing
market conditions could improve the system’s overall performance.

5.4 Testing on different asset classes

In this research, we have focused on trading individual stocks. However, the
proposed system could be tested on different asset classes such as commodi-
ties, currencies, or cryptocurrencies, to determine its applicability to different
markets.
12 S. Sarkar

5.5 Integration with portfolio optimization techniques

While the proposed system has focused on trading individual stocks, the inte-
gration with portfolio optimization techniques could help to further enhance the
performance of the trading system. By considering the correlation between dif-
ferent stocks and diversifying the portfolio, it may be possible to reduce overall
risk and increase returns.

Overall, the proposed quantitative trading system using reinforcement learning

shows great potential for improving the performance of automated trading sys-
tems. Further research and development in this area could lead to the creation
of more sophisticated and effective trading systems that can generate higher
returns while reducing risk.

6 Conclusion

The use of reinforcement learning in quantitative trading represents a promising

area of research that can potentially lead to the development of more sophis-
ticated and effective trading systems. The ability of the system to learn from
market data and adapt to changing market conditions could enable it to generate
superior returns while reducing risk.
While the proposed system has shown promising results, there are still many
areas for improvement and further research. Future work could explore the use
of alternative reinforcement learning algorithms, incorporate additional data
sources, and test the system on different asset classes. Additionally, the integra-
tion of portfolio optimization techniques could further enhance the performance
of the system.
Overall, our research has demonstrated the potential of using reinforcement
learning in quantitative trading and highlights the importance of continued re-
search and development in this area. By developing more sophisticated and ef-
fective trading systems, we can potentially improve the efficiency of financial
markets and generate greater returns for investors.

Declarations

– Funding
Not Applicable.
– Competing Interests
No Competing Interests occurs.
– Availability of data and materials
Data is available on request.
– Authors’ contributions
There is only one author who have contributed to this work.
 Quantitative Trading using Deep Q Learning 13

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