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

Table 5

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

Formation window	Trading window	MDD	Sharpe ratio	Profit	# of open portfolios	# of closed portfolios	# of stop-loss portfolios	# of exited portfolios
30	15	−0.4422	0.1061	2.9436	320	229	46	44
60	30	−0.5031	0.1143	2.5806	204	144	42	17
90	45	−0.5824	0.1072	2.4588	155	110	36	9
120	60	−0.5768	0.1181	2.4378	136	98	31	6
150	75	−0.5805	0.1245	2.4127	110	79	26	5
180	90	−0.5467	0.1209	2.3570	100	72	23	4