Optimizing the Pairs-Trading Strategy Using Deep Reinforcement Learning with Trading and Stop-Loss Boundaries

Table 4

Results of applying the DQN method to each window size using OLS.

Formation window	Trading window	MDD	Sharpe ratio	Profit	# of open portfolios	# of closed portfolios	# of stop-loss portfolios	# of portfolio exits
30	15	−0.3682	0.1197	2.7344	328	225	44	58
60	30	−0.3779	0.1327	2.5627	210	147	41	21
90	45	−0.4052	0.1409	2.4112	160	114	34	11
120	60	−0.4383	0.1165	2.0287	134	98	28	8
150	75	−0.4395	0.1244	2.0098	110	80	24	6
180	90	−0.5045	0.1180	1.9390	100	73	21	5