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

Table 6

Average top-5 performance results for XOM and CVX using OLS within the training period.

Model	MDD	Sharpe ratio	Profit	# of open portfolios	# of closed portfolios	# of stop-loss portfolios	# of exited portfolios
PTDQN	−0.0842	0.1835	3.4068	469	336	64	96
PTA0	−0.2014	0.1452	2.5934	565	382	132	50
PTA1	−0.1431	0.1773	2.7603	409	279	45	84
PTA2	−0.1234	0.1955	2.6307	325	191	16	118
PTA3	−0.2586	0.0861	1.3850	208	86	2	120
PTA4	−0.2591	0.0803	1.1933	124	39	2	83
PTA5	−0.2448	−0.0638	0.8588	47	11	0	36